iM-Best Reports – 11/16/2015

Performance-wk-11-17-2015 Performance-mth-11-17-2015 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. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
Fig-1.SPY-SH-11-17-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 84 days, and showing a 8.38% return to 11/16/2015. Over the previous week the market value of Best(SPY-SH) gained -1.18% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $422,471 which includes $127 cash and excludes $13,643 spent on fees and slippage.
Fig-2.Combo3-11-17-2015
The iM-Combo3 model currently holds SPY, TLT, and XLB, so far held for an average period of 28 days, and showing a 2.67% return to 11/16/2015. Over the previous week the market value of iM-Combo3 gained -1.04% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $133,691 which includes $1,076 cash and excludes $1,900 spent on fees and slippage.
Fig-14.Best8TaxEff-11-17-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 9 stocks, 3 of them winners, so far held for an average period of 123 days, and showing a 0.91% return to 11/16/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.76% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $432,306 which includes $199,291 cash and excludes $5,620 spent on fees and slippage.
Fig-8.VDIGXtrade-11-17-2015Fig-8.1.VDIGXtrade-11-17-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 6 of them winners, so far held for an average period of 137 days, and showing a 2.27% return to 11/16/2015. Since inception, on 7/1/2014, the model gained 25.15% while the benchmark SPY gained 7.63% and the ETF VDIGX gained 9.41% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.41% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $125,148 which includes $157 cash and excludes $730 spent on fees and slippage.
Fig-4.Bestoga3-11-17-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 459 days, and showing a 37.39% return to 11/16/2015. Over the previous week the market value of iM-BESTOGA-3 gained 2.54% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $41,673 which includes -$124,043 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-11-17-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 8 stocks, 2 of them winners, so far held for an average period of 61 days, and showing a -5.66% return to 11/16/2015. Over the previous week the market value of iM-Best3x4 gained -2.23% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $97,254 which includes $2,539 cash and excludes $509 spent on fees and slippage.
Fig-12.Best2x4-11-17-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 6 stocks, 1 of them winners, so far held for an average period of 61 days, and showing a -1.77% return to 11/16/2015. Over the previous week the market value of iM-Best2x4 gained -1.05% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $93,807 which includes $248 cash and excludes $353 spent on fees and slippage.
Fig-7.USMVtrade-11-17-2015Fig-7.1.USMVtrade-11-17-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 4 of them winners, so far held for an average period of 96 days, and showing a -0.65% return to 11/16/2015. Since inception, on 7/1/2014, the model gained 25.95% while the benchmark SPY gained 7.63% and the ETF USMV gained 13.99% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.28% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $125,954 which includes $34 cash and excludes $1,405 spent on fees and slippage.
Fig-9.USMVQ1-11-17-2015 Fig-9.1.USMVQ1-11-17-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 253 days, and showing a 2.06% return to 11/16/2015. Since inception, on 1/5/2015, the model gained 4.70% while the benchmark SPY gained 3.42% and the ETF USMV gained 4.68% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.57% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $104,698 which includes $207 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-11-17-2015 Fig-10.1.USMVQ2-11-17-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 3 of them winners, so far held for an average period of 190 days, and showing a -11.31% return to 11/16/2015. Since inception, on 3/31/2015, the model gained -3.24% while the benchmark SPY gained -0.27% and the ETF USMV gained 1.11% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -2.72% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $96,756 which includes $347 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-11-17-2015 Fig-5.1.USMVQ3-11-17-2015
The iM-Best12(USMV)Q3-Investor model currently holds 1 stocks, 1 of them winners, so far held for an average period of 504 days, and showing a 10.59% return to 11/16/2015. Since inception, on 7/1/2014, the model gained 18.79% while the benchmark SPY gained 7.63% and the ETF USMV gained 13.99% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.76% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $113,991 which includes -$4,659 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-11-17-2015Fig-6.1.USMVQ4-11-17-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 64 days, and showing a -0.51% return to 11/16/2015. Since inception, on 9/30/2014, the model gained 10.58% while the benchmark SPY gained 6.19% and the ETF USMV gained 12.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.21% at a time when SPY gained -1.18%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $110,584 which includes -$6 cash and excludes $372 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-17-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 15.89% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-11-17-2015
The iM-Best(Short) model currently holds 2 position(s). Over the previous week the market value of iM-Best(Short) gained 0.09% at a time when SPY gained -1.18%. Over the period 1/2/2009 to 11/16/2015 the starting capital of $100,000 would have grown to $98,556 which includes $137,918 cash and excludes $21,272 spent on fees and slippage.
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