Commentary on Actual and Simulated Performance of Portfolio Model No. 2003
Channel Trend White Paper, April 26, 2011
Model Portfolio #2003 is an all-long stock portfolio. No cash. It held 50 positions at any point in time. The stocks selected for purchase were the top-ranked stocks in the actual rankings that Channel Trend Inc. generated during the period of the simulation, subject to certain minimum market cap and minimum price criteria. Positions were closed pursuant to a set of decision rules.
Money has been managed as per this model from the beginning of this year. Here is the actual performance through April 21st (gain of 9.45% vs. 6.34% for the S&P 500):
Simulation of Model Portfolio No. 2003 |
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Period |
Channel Trend End-of-Period Portfolio Index |
% Change |
S&P 500 End-of-Period Index |
% Change |
Channel Trend Delta v. S&P 500 (% Points) |
Universe of 4000 Stocks End-of-Period Index |
% Change |
Channel Trend Delta v. Universe (% Points) |
Start 10/20/00 |
1.00 |
1.00 |
1.00 |
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10/20/00 - 12/31/00 |
1.06 |
5.97% |
0.93 |
-7.06% |
13.03% |
1.03 |
3.24% |
2.73% |
2001 |
1.66 |
56.90% |
0.84 |
-9.69% |
66.59% |
1.29 |
24.47% |
32.43% |
2002 |
1.86 |
11.68% |
0.65 |
-22.51% |
34.19% |
1.15 |
-10.08% |
21.77% |
2003 |
3.41 |
83.83% |
0.79 |
22.00% |
61.83% |
1.78 |
54.10% |
29.73% |
2004 |
4.57 |
33.84% |
0.85 |
7.01% |
26.83% |
2.12 |
19.16% |
14.69% |
2005 |
6.04 |
32.10% |
0.92 |
8.37% |
23.73% |
2.56 |
20.95% |
11.15% |
2006 |
7.75 |
28.42% |
1.01 |
9.67% |
18.75% |
2.97 |
16.03% |
12.39% |
2007 |
8.83 |
13.97% |
1.01 |
0.14% |
13.83% |
2.93 |
-1.50% |
15.47% |
2008 |
5.41 |
-38.79% |
0.67 |
-33.99% |
-4.80% |
2.02 |
-30.92% |
-7.87% |
2009 |
8.54 |
57.96% |
0.80 |
19.67% |
38.29% |
3.32 |
63.94% |
-5.98% |
1/1/10 - 5/28/10 |
10.26 |
20.13% |
0.76 |
-4.50% |
24.63% |
3.65 |
9.76% |
10.37% |
Cumulative |
925.95% |
-23.77% |
949.72% |
264.53% |
661.43% |
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Channel Trend Portfolio Annualized Rate of Return |
27.33% |
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S&P Annualized Rate of Return |
-2.78% |
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Universe of 4000 US Stocks Annualized Rate of Return |
14.37% |
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Channel Trend % of Winning Periods (Weeks) |
59.6% |
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This simulation was run using Channel Trend’s actual historic stock rankings during the period of the simulation. Past performance is no guarantee of future performance.