iM-Best Reports – 10/5/2015

Fig-0.all-10-6-2015 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-10-6-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 42 days, and showing a 4.16% return to 10/5/2015. Over the previous week the market value of Best(SPY-SH) gained 5.13% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $405,930 which includes -$338 cash and excludes $13,641 spent on fees and slippage.
Fig-2.Combo3-10-6-2015
The iM-Combo3 model currently holds SPY, SSO, and XLP, so far held for an average period of 30 days, and showing a 3.39% return to 10/5/2015. Over the previous week the market value of iM-Combo3 gained 6.95% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $128,738 which includes -$2,271 cash and excludes $1,554 spent on fees and slippage.
Fig-14.Best8TaxEff-10-6-2015
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 141 days, and showing a 6.80% return to 10/5/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 5.38% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $448,970 which includes $1,001 cash and excludes $5,110 spent on fees and slippage.
Fig-8.VDIGXtrade-10-6-2015Fig-8.1.VDIGXtrade-10-6-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 6 of them winners, so far held for an average period of 150 days, and showing a -0.41% return to 10/5/2015. Since inception, on 7/1/2014, the model gained 18.04% while the benchmark SPY gained 3.88% and the ETF VDIGX gained 4.89% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 4.69% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $118,038 which includes $203 cash and excludes $650 spent on fees and slippage.
Fig-4.Best10-10-6-2015
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 -2.64% return to 10/5/2015. Over the previous week the market value of iM-Best10 gained 2.76% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $761,329 which includes $9,110 cash and excludes $84,455 spent on fees and slippage.
Fig-13.Best3x4-10-6-2015
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 52 days, and showing a 1.19% return to 10/5/2015. Over the previous week the market value of iM-Best3x4 gained 3.57% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $98,009 which includes -$903 cash and excludes $355 spent on fees and slippage.
Fig-12.Best2x4-10-6-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 4 stocks, 2 of them winners, so far held for an average period of 43 days, and showing a 0.19% return to 10/5/2015. Over the previous week the market value of iM-Best2x4 gained 3.45% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $93,128 which includes $1,163 cash and excludes $235 spent on fees and slippage.
Fig-7.USMVtrade-10-6-2015Fig-7.1.USMVtrade-10-6-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 1 of them winners, so far held for an average period of 96 days, and showing a -4.63% return to 10/5/2015. Since inception, on 7/1/2014, the model gained 20.16% while the benchmark SPY gained 3.88% and the ETF USMV gained 12.04% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 5.31% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,156 which includes $176 cash and excludes $1,301 spent on fees and slippage.
Fig-9.USMVQ1-10-6-2015 Fig-9.1.USMVQ1-10-6-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 211 days, and showing a 0.88% return to 10/5/2015. Since inception, on 1/5/2015, the model gained 3.31% while the benchmark SPY gained -0.17% and the ETF USMV gained 2.89% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 5.43% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $103,308 which includes $34 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-10-6-2015 Fig-10.1.USMVQ2-10-6-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 3 of them winners, so far held for an average period of 165 days, and showing a -8.21% return to 10/5/2015. Since inception, on 3/31/2015, the model gained -4.69% while the benchmark SPY gained -3.73% and the ETF USMV gained -0.62% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 4.43% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $95,312 which includes $83 cash and excludes $134 spent on fees and slippage.
Fig-5.USMVQ3-10-6-2015 Fig-5.1.USMVQ3-10-6-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 4 of them winners, so far held for an average period of 71 days, and showing a -1.82% return to 10/5/2015. Since inception, on 7/1/2014, the model gained 17.81% while the benchmark SPY gained 3.88% and the ETF USMV gained 12.04% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 5.46% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $117,806 which includes $179 cash and excludes $439 spent on fees and slippage.
Fig-6.USMVQ4-10-6-2015Fig-6.1.USMVQ4-10-6-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 9 of them winners, so far held for an average period of 247 days, and showing a 4.19% return to 10/5/2015. Since inception, on 9/30/2014, the model gained 8.78% while the benchmark SPY gained 2.49% and the ETF USMV gained 10.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 5.02% at a time when SPY gained 5.56%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $108,779 which includes $91 cash and excludes $232 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-10-6-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 17.39% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-10-6-2015
The iM-Best(Short) model currently holds 4 position(s). Over the previous week the market value of iM-Best(Short) gained -3.29% at a time when SPY gained 5.56%. Over the period 1/2/2009 to 10/5/2015 the starting capital of $100,000 would have grown to $106,199 which includes $191,040 cash and excludes $20,614 spent on fees and slippage.
Posted in pmp SPY-SH

Leave a Reply

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