iM-Best Reports – 10/12/2015

Fig-0.all-10-13-2015 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.
Fig-1.SPY-SH-10-13-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 49 days, and showing a 6.22% return to 10/12/2015. Over the previous week the market value of Best(SPY-SH) gained 1.54% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $412,173 which includes $64 cash and excludes $13,641 spent on fees and slippage.
Fig-2.Combo3-10-13-2015
The iM-Combo3 model currently holds SPY, SSO, and XLP, so far held for an average period of 37 days, and showing a 5.65% return to 10/12/2015. Over the previous week the market value of iM-Combo3 gained 2.22% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $131,601 which includes -$2,271 cash and excludes $1,554 spent on fees and slippage.
Fig-14.Best8TaxEff-10-13-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 7 of them winners, so far held for an average period of 148 days, and showing a 6.80% return to 10/12/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.00% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $448,974 which includes $1,001 cash and excludes $5,110 spent on fees and slippage.
Fig-8.VDIGXtrade-10-13-2015Fig-8.1.VDIGXtrade-10-13-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 6 of them winners, so far held for an average period of 157 days, and showing a 1.68% return to 10/12/2015. Since inception, on 7/1/2014, the model gained 20.51% while the benchmark SPY gained 5.48% and the ETF VDIGX gained 7.01% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.10% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,515 which includes $203 cash and excludes $650 spent on fees and slippage.
Fig-4.Bestoga3-10-13-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 425 days, and showing a 28.12% return to 10/12/2015. Over the previous week the market value of iM-BESTOGA-3 gained -0.25% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $169,275 which includes $14,741 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-10-13-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 6 stocks, 1 of them winners, so far held for an average period of 53 days, and showing a -0.51% return to 10/12/2015. Over the previous week the market value of iM-Best3x4 gained 1.38% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $99,361 which includes $81 cash and excludes $393 spent on fees and slippage.
Fig-12.Best2x4-10-13-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 4 stocks, 1 of them winners, so far held for an average period of 50 days, and showing a 0.19% return to 10/12/2015. Over the previous week the market value of iM-Best2x4 gained 1.15% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,200 which includes $1,163 cash and excludes $235 spent on fees and slippage.
Fig-7.USMVtrade-10-13-2015Fig-7.1.USMVtrade-10-13-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 1 of them winners, so far held for an average period of 100 days, and showing a -4.50% return to 10/12/2015. Since inception, on 7/1/2014, the model gained 21.86% while the benchmark SPY gained 5.48% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.42% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $121,858 which includes -$284 cash and excludes $1,324 spent on fees and slippage.
Fig-9.USMVQ1-10-13-2015 Fig-9.1.USMVQ1-10-13-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 8 of them winners, so far held for an average period of 218 days, and showing a 3.19% return to 10/12/2015. Since inception, on 1/5/2015, the model gained 5.78% while the benchmark SPY gained 1.36% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.30% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $105,779 which includes $130 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-10-13-2015 Fig-10.1.USMVQ2-10-13-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 155 days, and showing a -11.53% return to 10/12/2015. Since inception, on 3/31/2015, the model gained -3.71% while the benchmark SPY gained -2.25% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.03% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $96,292 which includes $122 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-10-13-2015 Fig-5.1.USMVQ3-10-13-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 78 days, and showing a -0.13% return to 10/12/2015. Since inception, on 7/1/2014, the model gained 19.95% while the benchmark SPY gained 5.48% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.82% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $119,953 which includes $7 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-10-13-2015Fig-6.1.USMVQ4-10-13-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 128 days, and showing a -1.70% return to 10/12/2015. Since inception, on 9/30/2014, the model gained 10.25% while the benchmark SPY gained 4.08% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.36% at a time when SPY gained 1.54%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $110,254 which includes $605 cash and excludes $314 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-10-13-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 17.95% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-10-13-2015
The iM-Best(Short) model currently holds 2 position(s). Over the previous week the market value of iM-Best(Short) gained -2.81% at a time when SPY gained 1.54%. Over the period 1/2/2009 to 10/12/2015 the starting capital of $100,000 would have grown to $103,217 which includes $144,360 cash and excludes $20,756 spent on fees and slippage.
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