iM-Best Reports – 8/24/2015

Fig-0.all-8-25-2015 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active return indicates how the models over- or underperformed the benchmark ETF SPY.
Fig-1.SPY-SH-8-25-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 0 days, and showing a -0.22% return to 8/24/2015. Over the previous week the market value of Best(SPY-SH) gained 10.54% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $388,925 which includes $30,580 cash and excludes $13,610 spent on fees and slippage.
Fig-2.Combo3-8-25-2015
The iM-Combo3 model currently holds SPY, TLT, and XLV, so far held for an average period of 242 days, and showing a 6.70% return to 8/24/2015. Over the previous week the market value of iM-Combo3 gained 0.78% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $124,946 which includes $6,104 cash and excludes $1,352 spent on fees and slippage.
Fig-14.Best8TaxEff-8-25-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 6 of them winners, so far held for an average period of 192 days, and showing a 6.35% return to 8/24/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -6.62% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $442,774 which includes $2,419 cash and excludes $4,806 spent on fees and slippage.
Fig-8.VDIGXtrade-8-25-2015Fig-8.1.VDIGXtrade-8-25-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 8 of them winners, so far held for an average period of 165 days, and showing a 9.69% return to 8/24/2015. Since inception, on 7/1/2014, the model gained 13.04% while the benchmark SPY gained -1.32% and the ETF VDIGX gained -0.51% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -10.05% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $125,682 which includes $12,382 cash and excludes $552 spent on fees and slippage.
Fig-4.Best10-8-25-2015
The iM-Best10(S&P 1500) model currently holds 10 stocks, 1 of them winners, so far held for an average period of 14 days, and showing a -6.14% return to 8/24/2015. Over the previous week the market value of iM-Best10 gained -6.96% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $753,221 which includes $6,760 cash and excludes $76,001 spent on fees and slippage.
Fig-13.Best3x4-8-25-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 7 stocks, 0 of them winners, so far held for an average period of 28 days, and showing a 0.97% return to 8/24/2015. Over the previous week the market value of iM-Best3x4 gained -3.55% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $97,763 which includes $5,256 cash and excludes $153 spent on fees and slippage.
Fig-12.Best2x4-8-25-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 4 stocks, 0 of them winners, so far held for an average period of 21 days, and showing a 0.95% return to 8/24/2015. Over the previous week the market value of iM-Best2x4 gained -7.97% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,401 which includes $765 cash and excludes $119 spent on fees and slippage.
Fig-7.USMVtrade-8-25-2015Fig-7.1.USMVtrade-8-25-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 0 of them winners, so far held for an average period of 71 days, and showing a -9.99% return to 8/24/2015. Since inception, on 7/1/2014, the model gained 16.88% while the benchmark SPY gained -1.32% and the ETF USMV gained 7.49% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -9.31% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $116,877 which includes $152 cash and excludes $1,259 spent on fees and slippage.
Fig-9.USMVQ1-8-25-2015 Fig-9.1.USMVQ1-8-25-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 174 days, and showing a -4.53% return to 8/24/2015. Since inception, on 1/5/2015, the model gained -0.84% while the benchmark SPY gained -5.17% and the ETF USMV gained -1.29% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -8.71% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $99,165 which includes $262 cash and excludes $210 spent on fees and slippage.
Fig-10.USMVQ2-8-25-2015 Fig-10.1.USMVQ2-8-25-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 0 of them winners, so far held for an average period of 135 days, and showing a -11.54% return to 8/24/2015. Since inception, on 3/31/2015, the model gained -6.96% while the benchmark SPY gained -8.57% and the ETF USMV gained -4.66% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -9.09% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $93,044 which includes $158 cash and excludes $120 spent on fees and slippage.
Fig-5.USMVQ3-8-25-2015 Fig-5.1.USMVQ3-8-25-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 1 of them winners, so far held for an average period of 52 days, and showing a -8.39% return to 8/24/2015. Since inception, on 7/1/2014, the model gained 11.73% while the benchmark SPY gained -1.32% and the ETF USMV gained 7.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -9.09% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $111,727 which includes $246 cash and excludes $408 spent on fees and slippage.
Fig-6.USMVQ4-8-25-2015Fig-6.1.USMVQ4-8-25-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 282 days, and showing a 2.39% return to 8/24/2015. Since inception, on 9/30/2014, the model gained 6.91% while the benchmark SPY gained -2.64% and the ETF USMV gained 6.01% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -8.98% at a time when SPY gained -10.01%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $106,913 which includes $355 cash and excludes $184 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-8-25-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 17.75% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-8-25-2015
The iM-Best(Short) model currently holds 1 position(s). Over the previous week the market value of iM-Best(Short) gained 3.36% at a time when SPY gained -10.01%. Over the period 1/2/2009 to 8/24/2015 the starting capital of $100,000 would have grown to $105,148 which includes $126,133 cash and excludes $19,800 spent on fees and slippage.

 

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