Market Trend Indicator Models
Market Trend Indicator Models 1972-2009:
| Table 1. Summary Return Results for Market Trend Indicator Models (1972-2009). | |||||
| MTI SP500 | MTI Nasdaq Composite | SP500[1] | Nasdaq Composite[2] | 3-Month Tbill[3] | |
|---|---|---|---|---|---|
| Avg Return | 10.49% | 13.78% | 8.12% | 11.76% | 6.03% |
| Risk (Std Dev of Return) | 0.1111 | 0.1912 | 0.1795 | 0.2766 | 0.0334 |
| Risk-Return (Sharpe Ratio[4]) | 0.4062 | 0.4077 | 0.1191 | 0.2091 | - |
| 3-yr Cmpd Return | 6.48% | 9.26% | -7.70% | -2.06% | 1.99% |
| 5-yr Cmpd Return | 7.16% | 7.69% | -1.65% | 0.85% | 2.80% |
| 10-yr Cmpd Return | 6.22% | 5.72% | -2.72% | -5.67% | 2.73% |
| 15-yr Cmpd Return | 11.29% | 14.64% | 6.09% | 7.64% | 3.54% |
| 20-yr Cmpd Return | 9.48% | 13.06% | 5.91% | 8.37% | 3.87% |
| Cmpd Annual Return | 9.95% | 12.33% | 6.49% | 8.19% | 5.98% |
| Number of switches | 22 | 22 | - | - | - |
| Compound Annual Return By Decade | |||||
| 1970s[5] | 6.47% | 7.78% | 0.70% | 3.57% | 7.05% |
| 1980s | 13.80% | 14.63% | 12.59% | 11.65% | 9.44% |
| 1990's | 12.84% | 20.91% | 15.31% | 24.50% | 5.02% |
| 2000's [6] | 6.22% | 5.72% | -2.72% | -5.67% | 2.73% |
| $10,000 becomes: | $367,843 | $830,465 | $109,227 | $198,839 | $90,836 |
| Maximum return | 34.11% | 85.59% | 34.11% | 85.59% | 15.61% |
| Minimum return | -6.54% | -21.10% | -38.49% | -40.54% | 0.15% |
| Maximum expected return | 32.70% | 52.02% | 44.02% | 67.08% | 12.70% |
| Minimum expected return | -11.72% | -24.47% | -27.79% | -43.55% | -0.64% |
| Maximum daily drawdown [7] | -19.92% | -37.33% | -56.84% | -77.98% | 0.00% |
| Maximum annual drawdown [8] | -6.54% | -21.10% | -41.92% | -67.18% | 0.15% |
| Correlation (daily) to SP500 | 0.6666 | 0.5227 | 1.0000 | 0.8179 | -0.0084 |
| Frequency with which single year return matched or beat the following: | |||||
| SP500[1] | 71.05% | - | - | - | - |
| Composite[2] | - | 57.89% | - | - | - |
| 3-Month Tbill[3] | 71.05% | 73.68% | - | - | - |
| Frequency with which rolling 5-year compound return matched or beat the following: | |||||
| SP500[1] | 70.59% | - | - | - | - |
| Composite[2] | - | 67.65% | - | - | - |
| 3-Month Tbill[3] | 79.41% | 91.18% | - | - | - |
| Frequency with which rolling 10-year compound return matched or beat the following: | |||||
| SP500[1] | 75.86% | - | - | - | - |
| Composite[2] | - | 72.41% | - | - | - |
| 3-Month Tbill[3] | 86.21% | 100.00% | - | - | - |
| Total Holding Period: January 1, 1972 - December 31, 2009 | |||||
[1] S&P 500 Index Returns (not adjusted for dividends)
[2] Nasdaq Composite Index Returns (not adjusted for dividends)
[3] Board of Governors of the Federal Reserve System (St. Louis Fed): 3-Month Treasury Bill, Secondary Market Rate
[4] Calculated using the 3-Month Tbill Compound Annual Return as the Risk Free Rate
[5] January 1, 1972 - December 31, 1979
[6] January 1, 2000 - December 31, 2009
[7] Maximum consecutive compounded daily loss
[8] Maximum consecutive compounded annual loss
| Table 2. Annual Performance for Market Trend Indicator Models (1972-2009). | |||||
| Year | MTI SP500 | MTI Nasdaq Composite | SP500[1] | Nasdaq Composite[2] | 3-Month Tbill[3] |
|---|---|---|---|---|---|
| 1972 | 13.64% | 13.84% | 15.63% | 17.18% | 4.33% |
| 1973 | -5.61% | -16.24% | -17.37% | -31.06% | 7.62% |
| 1974 | 8.52% | 8.52% | -29.72% | -35.11% | 8.52% |
| 1975 | 12.21% | 7.34% | 31.55% | 29.76% | 6.23% |
| 1976 | 19.15% | 26.10% | 19.15% | 26.10% | 5.35% |
| 1977 | -5.92% | 0.22% | -11.50% | 7.33% | 5.63% |
| 1978 | 0.40% | 1.23% | 1.06% | 12.31% | 7.76% |
| 1979 | 12.31% | 28.11% | 12.31% | 28.11% | 11.08% |
| 1980 | 12.96% | 20.87% | 25.77% | 33.88% | 12.65% |
| 1981 | -3.09% | 4.01% | -9.73% | -3.21% | 15.61% |
| 1982 | 26.44% | 40.74% | 14.76% | 18.67% | 11.69% |
| 1983 | 17.27% | 19.87% | 17.27% | 19.87% | 9.11% |
| 1984 | -0.72% | -6.16% | 1.40% | -11.22% | 10.13% |
| 1985 | 26.33% | 31.48% | 26.33% | 31.48% | 7.85% |
| 1986 | 14.62% | 7.26% | 14.62% | 7.26% | 6.23% |
| 1987 | 18.12% | 17.87% | 2.03% | -5.26% | 6.02% |
| 1988 | 3.82% | -0.73% | 12.40% | 15.41% | 6.98% |
| 1989 | 27.25% | 19.26% | 27.25% | 19.26% | 8.52% |
| 1990 | -6.54% | -14.33% | -6.56% | -17.81% | 7.88% |
| 1991 | 19.48% | 36.51% | 26.31% | 56.84% | 5.59% |
| 1992 | 4.46% | 15.45% | 4.46% | 15.45% | 3.55% |
| 1993 | 7.06% | 14.75% | 7.06% | 14.75% | 3.08% |
| 1994 | -1.54% | -3.20% | -1.54% | -3.20% | 4.38% |
| 1995 | 34.11% | 39.92% | 34.11% | 39.92% | 5.69% |
| 1996 | 20.27% | 22.71% | 20.27% | 22.71% | 5.22% |
| 1997 | 31.01% | 21.64% | 31.01% | 21.64% | 5.26% |
| 1998 | 7.79% | 14.86% | 26.67% | 39.63% | 4.89% |
| 1999 | 19.53% | 85.59% | 19.53% | 85.59% | 4.77% |
| 2000 | -5.89% | -21.10% | -10.14% | -39.29% | 6.02% |
| 2001 | 3.41% | 3.41% | -13.04% | -21.05% | 3.41% |
| 2002 | 1.62% | 1.62% | -23.37% | -31.53% | 1.62% |
| 2003 | 20.01% | 33.82% | 26.38% | 50.01% | 1.02% |
| 2004 | 8.99% | 8.59% | 8.99% | 8.59% | 1.38% |
| 2005 | 3.00% | 1.37% | 3.00% | 1.37% | 3.20% |
| 2006 | 13.62% | 9.52% | 13.62% | 9.52% | 4.84% |
| 2007 | -0.50% | 5.51% | 3.53% | 9.81% | 4.48% |
| 2008 | 1.39% | 1.39% | -38.49% | -40.54% | 1.39% |
| 2009 | 19.68% | 21.93% | 23.45% | 43.89% | 0.15% |
| Total Holding Period: January 1, 1972 - December 31, 2009 | |||||
[1] S&P 500 Index Returns (not adjusted for dividends)
[2] Nasdaq Composite Index Returns (not adjusted for dividends)
[3] Board of Governors of the Federal Reserve System (St. Louis Fed): 3-Month Treasury Bill, Secondary Market Rate
* 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. 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 and Ultra Conservative Strategies were used since 2007.
How the Test Results Were Obtained- Twin Foundations™ 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, 2009. 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. 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 and the Kenneth R. French PhD – Data Library. Where available, dividend adjusted returns were included in historical testing.
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