Channel Capital Research

Twin Foundations™ Ultra Conservative Strategy

Twin Foundations™ Ultra Conservative 1996-2009:

Table. Summary Return Results for the Ultra Conservative Model (1996-2011).
Cash = 3-Month Tbill
 
Ultra Conservative Rus2000V[1] RusMid Value[2] S&P 400[3] ND100 [4] SP500 [5]
Avg Return 12.04% 10.50% 11.49% 12.29% 16.46% 8.45%
Risk (Std Dev of Return) 0.1122 0.1961 0.1969 0.1894 0.4268 0.2002
Risk-Return (Sharpe Ratio[11]) 0.8087 0.3844 0.4331 0.4928 0.3164 0.2744
3-yr Cmpd Return 7.97% 12.36% 18.19% 19.57% 23.42% 14.11%
5-yr Cmpd Return 7.36% -1.87% 0.04% 3.32% 5.33% -0.25%
10-yr Cmpd Return 9.62% 6.40% 7.67% 7.04% 3.75% 2.92%
Cmpd Annual Return 11.52% 8.77% 9.59% 10.54% 8.97% 6.47%
Number of switches 27 - - - - -
 
Compound Annual Return By Decade
1990's [7] 20.11% 10.19% 14.12% 21.15% 59.27% 26.39%
2000's [8] 8.79% 8.30% 8.13% 7.21% -3.98% 0.55%
 
$10,000 becomes: $57,197 $38,392 $43,311 $49,670 $39,530 $27,258
 
Max Return 33.10% 46.03% 38.07% 37.38% 101.95% 33.36%
Min Return -5.98% -28.92% -38.44% -36.23% -41.89% -37.00%
 
Max Expected Return 34.48% 49.72% 50.87% 50.17% 101.82% 48.50%
Min Expected Return -10.41% -28.72% -27.90% -25.59% -68.89% -31.59%
 
Max Daily Drawdown [9] -17.16% -61.70% -62.46% -55.15% -82.89% -55.24%
Max Annual Drawdown [10] -5.98% -35.87% -39.32% -36.23% -73.45% -37.61%
 
Correlation to the S&P500 [12] 0.3337 0.8571 0.9297 0.9178 0.8253 1.0000
 
Frequency with which single year return matched or beat the following:
Rus2000V[1] 43.75% - - - - -
RusMid Value[2] 43.75% - - - - -
S&P 400[3] 50.00% - - - - -
ND100 [4] 56.25% - - - - -
SP500 [5] 56.25% - - - - -
3-Month Tbill [6] 93.75% - - - - -
 
Frequency with which rolling 5-year compound return matched or beat the following:
Rus2000V[1] 58.33% - - - - -
RusMid Value[2] 66.67% - - - - -
S&P 400[3] 75.00% - - - - -
ND100 [4] 83.33% - - - - -
SP500 [5] 91.67% - - - - -
3-Month Tbill [6] 100.00% - - - - -
 
Total Holding Period: January 1, 1996 - December 31, 2011

[1] Russell 2000 Value Small-cap Index
[2] Russell Midcap Value Index
[3] S&P 400 Mid-cap Index
[4] Nasdaq 100 Index (excludes dividends)
[5] S&P 500 Composite Index
[6] Board of Governors of the Federal Researve System (St. Louis Fed): 3-Month Treasury Bill, Secondary Market Rate
[7] January 1, 1996 - December 31, 1999
[8] January 1, 2000 - December 31, 2011
[9] Maximum consecutive compounded daily loss
[10] Maximum consecutive compounded annual loss
[11] Calculated using the 3-Month Tbill Compound Annual Return as the Risk Free Rate
[12] Daily Correlation
* Data drawn from Datastream, Frank Russell Company and the Federal Reserve Bank Reports. Market indices include dividends.

Table. Annual Performance for the Ultra Conservative Model (1996-2011).
Cash = 3-Month Tbill
 
Year Ultra Conservative Rus2000V[1] RusMid Value[2] S&P 400[3] ND100 [4] SP500 [5]
1996 6.72% 21.37% 20.26% 19.20% 42.54% 22.96%
1997 26.79% 31.79% 34.37% 32.25% 20.63% 33.36%
1998 25.70% -6.45% 5.08% 19.11% 85.31% 28.58%
1999 22.35% -1.49% -0.11% 14.72% 101.95% 21.04%
2000 6.02% 22.83% 19.18% 17.51% -36.84% -9.10%
2001 3.43% 14.02% 2.33% -0.60% -32.65% -11.89%
2002 1.62% -11.42% -9.64% -14.51% -37.58% -22.10%
2003 20.30% 46.03% 38.07% 35.62% 49.12% 28.68%
2004 16.04% 22.25% 23.70% 16.48% 10.44% 10.88%
2005 7.27% 4.71% 12.65% 12.56% 1.49% 4.91%
2006 15.47% 23.48% 20.22% 10.32% 6.79% 15.80%
2007 11.78% -9.78% -1.42% 7.98% 18.67% 5.49%
2008 1.39% -28.92% -38.44% -36.23% -41.89% -37.00%
2009 0.59% 20.58% 34.21% 37.38% 53.54% 26.46%
2010 33.10% 24.50% 24.75% 26.64% 19.22% 15.06%
2011 -5.98% -5.50% -1.38% -1.73% 2.70% 2.11%

[1] Russell 2000 Value Small-cap Index
[2] Russell Midcap Value Index
[3] S&P 400 Mid-cap Index
[4] Nasdaq 100 Index (excludes dividends)
[5] S&P 500 Composite Index
[6] Board of Governors of the Federal Researve System (St. Louis Fed): 3-Month Treasury Bill, Secondary Market Rate
* Data drawn from Datastream, Frank Russell Company and the Federal Reserve Bank Reports. Market indices include dividends.

Source: Channel Capital Research Institute, LLC. Past performance is not an assurance of future results. The performance results shown herein are hypothetical and back-tested and are not that of any fund or account managed by Channel Capital Research Institute, LLC. (Does not reflect performance information for any strategy available for investment).

* Data for Twin Foundations™ drawn from Datastream, Frank Russell Company, Federal Reserve Bank Reports, and other proprietary databases. Data for Follow the Fed® drawn from Datastream, Standard & Poor's, Kenneth R. French PhD Data Library, and other proprietary databases. Data for the Hedge Fund Toolbox™ drawn from Datastream, Ryan Labs Inc., MSCI Inc., the Federal Reserve Bank Reports, and other proprietary databases. Market indices include dividends except where noted. Actual live signals issued from ChannelCapitalResearch.com were used since 2006 (except for the Twin Foundations™ Filtered Conservative and Ultra Conservative Strategies). Live signals for the Filtered Conservative Strategy, the Ultra Conservative Strategy, and the U.S. Equity Market Trend Indicator (MTI) were used since 2007. Live signals for the Hedge Fund Toolbox™ were used since 2008.

How the Test Results Were Obtained Channel Capital Research Institute simulated results using closing values for the Nasdaq 100, S&P 500, S&P 400, Russell Midcap Value and Russell 2000 Value indices. The test period was from January 1, 1996 through December 31, 2010. Dividends received were included in the overall returns except those returns related to the Nasdaq 100. Interest on cash balances was calculated using 3-month Treasury Bills unless noted otherwise. 3-Month model versions invest "cash" positions in 3-Month Treasury Bills, 5-Year model versions invest "cash" positions in 5-Year Treasury Bonds, and 10-Year model versions invest "cash" positions in 10-Year Treasury Bonds. Returns on Ryan Labs Inc. index data calculated on an intramonth, calendar day basis where possible. Ryan Labs Inc. Treasury Bond Indices (NTSY05, NTSY10, and NTSY30) were used for the 1997-2010 test period. No commissions or fees were charged. Data came from industry sources, but we cannot guarantee their accuracy.

Special Bonus Report Data were obtained from Standard & Poor's, the Kenneth R. French PhD Data Library, and CCRI proprietary databases. Where available, dividend adjusted returns were included in historical testing.

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This work is based upon publicly available information and what we have learned as financial journalists. The model results described in this article are purely hypothetical and may have inherent limitations. They may contain errors and you should not make any investment decision based solely on what you read here. It is your money and your responsibility. Furthermore, we do not warrant or represent that the information contained in this report is correct, complete, accurate or timely. Investments of the type discussed in the report may involve appreciable risks, including the risk that most or all of the investor's principal may be lost. We will not be responsible for any investment decisions, damages or other losses resulting from or related to use of the information we provide.

No representation is made that any account will or is likely to achieve profits or losses similar to those shown, and there are frequently significant differences between hypothetical performance results and those subsequently achieved by following a particular strategy, which can adversely affect trading results. Unlike an actual performance record, simulated results do not represent actual trading. Also, since trades have not actually been executed, the results may not have compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated investment programs in general are also subject to the fact that they are designed with the benefit of hindsight. This cannot be fully accounted for in the preparation of model performance results. As with all historical data, past performance is not a guarantee of future results. All investments involve risk including loss of principal.