Home Page Template

iM-feesWe offer three categories of membership – bronze, silver and gold at $20, $40 and $80 per month respectively, or discounted on a per year basis. The table to the left (just click on it) lists what you can access depending on the membership level you choose. All information not listed will remain free, however selected key articles could in future be restricted to a paid membership category.

Please select your membership level here.

Most Recent Updates

Model Performance Tables: Jun 27, 2017

Business Cycle Index: Jun 22, 2017

Weekly Macro Signals: Jun 23, 2017

iM System Performance Jun 2, 2017

Monthly Update: Jun 2, 2017

 

 

June 25, 2017

iM-Best Holdings

Your Membership category does not entitle you to view any of the iM-Best model holdings

June 27, 2017

Performance-wk-6-27-2017 Performance-mth-6-27-2017 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 10.0%, and for the last 12 months is 22.4%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $508,236 which includes $2,193 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 9.9%, and for the last 12 months is 13.0%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.05% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $138,100 which includes $271 cash and excludes $3,345 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 12.5%, and for the last 12 months is 12.1%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-Combo5 gained -0.04% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $110,975 which includes $728 cash and excludes $555 spent on fees and slippage.
RequireSilver
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 6.7%, and for the last 12 months is -9.6%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.88% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $419,718 which includes $566 cash and excludes $8,444 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-6-27-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 31.0%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Since inception, on 7/1/2014, the model gained 62.94% while the benchmark SPY gained 32.06% and VDIGX gained 28.33% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.58% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $162,935 which includes $382 cash and excludes $1,542 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.75% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $221,105 which includes -$652 cash and excludes $1,298 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.9%, and since inception 7.8%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.05% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $107,822 which includes -$429 cash and excludes $942 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.25% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $112,273 which includes $1,681 cash and excludes $662 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-6-27-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 13.0%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Since inception, on 6/30/2014, the model gained 52.22% while the benchmark SPY gained 32.06% and the ETF USMV gained 41.51% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.95% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $152,216 which includes -$138 cash and excludes $3,142 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-6-27-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is 25.5%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Since inception, on 1/5/2015, the model gained 42.25% while the benchmark SPY gained 26.91% and the ETF USMV gained 29.96% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.09% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $142,250 which includes $510 cash and excludes $727 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-6-27-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 9.4%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Since inception, on 3/30/2015, the model gained 25.85% while the benchmark SPY gained 22.38% and the ETF USMV gained 25.52% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.61% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $125,845 which includes $323 cash and excludes $642 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-6-27-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 4.9%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Since inception, on 7/1/2014, the model gained 62.57% while the benchmark SPY gained 32.06% and the ETF USMV gained 41.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.57% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $162,570 which includes $824 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-6-27-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 57.29% while the benchmark SPY gained 30.07% and the ETF USMV gained 39.56% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.56% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $157,290 which includes $765 cash and excludes $827 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-6-27-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.94% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 0.6%. Over the same period the benchmark SPY performance was 9.8% and 22.2% respectively. Over the previous week the market value of iM-Best(Short) gained 0.03% at a time when SPY gained -0.56%. Over the period 1/2/2009 to 6/26/2017 the starting capital of $100,000 would have grown to $98,677 which includes $118,070 cash and excludes $22,293 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 9.8%, and since inception 6.4%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. gained -0.33% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,434 which includes $457 cash and excludes $107 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.4%, and since inception 6.9%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. gained -0.72% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,874 which includes $851 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 8.0%, and since inception 18.7%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. gained -0.20% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,656 which includes $1,074 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 11.3%, and since inception 19.8%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. gained -0.56% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,836 which includes $137 cash and excludes $1,389 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 18.5%, and since inception 23.1%. Over the same period the benchmark SPY performance was 9.8% and 18.5% respectively. gained -0.11% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $123,136 which includes $269 cash and excludes $1,955 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 2.0%. The benchmark SPY performance over the same period is 4.5%. gained 0.07% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $102,038 which includes -$376 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 8.4%. The benchmark SPY performance over the same period is 4.1%. gained -0.30% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $101,516 which includes -$40 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 19.3%, and since inception 34.7%. Over the same period the benchmark SPY performance was 9.8% and 16.2% respectively. gained -0.71% at a time when SPY gained -0.56%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $134,695 which includes $359 cash and excludes $1,030 spent on fees and slippage.



June 22, 2017

 

Business Cycle Index

BCI-6-22-2017

The BCI at 223.3 is below last week’s 223.5, and for this Business Cycle is below the previous high as indicated by the BCIp at 83.3. Also, the 6-month smoothed annualized growth BCIg at 15.3 is below last week’s 15.9.

No recession is signaled.

 

 



June 23, 2017

Market Signals Summary:

The MAC-US model is invested. 

To view this premium content requires membership category: Silver or higher. However, it can be freely viewed after 07-21-2017 16:00 (New York), or please login or register
The MAC-AU is also invested.  The recession indicators COMP and iM-BCIg do not signal a recession. 

 

Stock-markets:

Fig-2a.-6-23-2017The MAC-US model generated a buy-signal 4/5/2016 and thus is invested in the stock-markets. The sell-spread (red graph) is above last week’s level and has to fall below zero to signal a sell.

 

 

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 07-21-2017 16:00 (New York), or please login or register

Fig-2.1-6-23-2017The MAC-AU model is invested in the markets after it generated a buy signal on March 21, 2016. The sell-spread is below last week’s level and has to fall below zero to signal a sell.

This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.

 

Recession:

Fig-3.-6-23-2017Figure 3 shows the COMP below last week’s  revised  level. No recession is indicated.    COMP can be used for stock market exit timing as discussed in this article The Use of Recession Indicators in Stock Market Timing.

 

 

Fig-3.1-6-23-2017Figure 3.1 shows the recession indicator iM-BCIg which is also down from last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-6-23-2017The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is below previous week’s level and far away from signalling a recession. A downward trend of the FRR2-10 has set in.

A description of this indicator can be found here.



June 23, 2017

Bond-market:

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 07-21-2017 16:00 (New York), or please login or register

The Yield Curve:

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 07-21-2017 16:00 (New York), or please login or register

 

 

 

Silver:

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 07-21-2017 16:00 (New York), or please login or register



 

iM Sytems, Performance Reports

June 2, 2017

iM-Best Systems Performance (R2G and others)

Performance-mth-6-2-2017Performance comparison of the iM-Best  models hosted on P123 and on iMarketSignals. Links to the description and to the models can be found  here

 

 

iM Vanguard / TIAA-CREF Systems

Fig13.2s4b-4-7-2015Performance comparison of the iM Vanguard / TIAA-CREF Systems, read more ….

 

 

 



Monthly Updates

June 2, 2017

Unemployment

Fig-8.-6-2-2017The unemployment rate recession model (article link), has been updated with the May UER of 4.3%. Based on the historic patterns of the unemployment rate indicators prior to recessions one can reasonably conclude that the U.S. economy is not likely to go into recession anytime soon. The growth rate UERg is unchanged at -7.81% (previous at -7.81%) and EMA spread of the UER is -0.31% (previous at -0.26)

Here is the link to the full update.

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

DAGS.-6-2-2017The updated level of this indicator, -88bps, confirms the January 20, 2017 signal. Based on past history a recession could start at the earliest in October 2017, but not later than May 2019. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a recession start for April 2018.

 

Coppock Indicator for the S&P500

Fig-9.-6-2-2017The Coppock indicator for the S&P500 entered the market end May 2017.  This model is in stocks.   This indicator is described here.

 

 

CAPE-Cycle-ID

Fig-9a-6-2-2017Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE.  A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.

 

 

Trade Weighted USD

USD-6-2-2017 The rise of the TW$ value seems to be halted for now and is possible trending downwards.

 

 

TIAA Real Estate Account

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 06-30-2017 16:00 (New York), or please login or register

 

 

 



 

 

Posted in pmp
With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
By the mere act of reading this page and navigating this site you acknowledge, agree to, and abide by the Terms of Use / Disclaimer
Share This