iM-Best Reports – 11/2/2015

Fig-0.all-11-3-2015 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-11-3-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 70 days, and showing a 10.90% return to 11/2/2015. Over the previous week the market value of Best(SPY-SH) gained 2.10% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $432,268 which includes $127 cash and excludes $13,643 spent on fees and slippage.
Fig-2.Combo3-11-3-2015
The iM-Combo3 model currently holds SH, SPY, and SSO, so far held for an average period of 46 days, and showing a 6.96% return to 11/2/2015. Over the previous week the market value of iM-Combo3 gained 1.26% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $136,188 which includes -$1,454 cash and excludes $1,676 spent on fees and slippage.
Fig-14.Best8TaxEff-11-3-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 9 stocks, 5 of them winners, so far held for an average period of 109 days, and showing a -0.48% return to 11/2/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.24% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $429,032 which includes $185,358 cash and excludes $5,620 spent on fees and slippage.
Fig-8.VDIGXtrade-11-3-2015Fig-8.1.VDIGXtrade-11-3-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 8 of them winners, so far held for an average period of 174 days, and showing a 4.84% return to 11/2/2015. Since inception, on 7/1/2014, the model gained 27.13% while the benchmark SPY gained 10.12% and the ETF VDIGX gained 11.50% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.18% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $127,125 which includes $306 cash and excludes $708 spent on fees and slippage.
Fig-4.Bestoga3-11-3-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 445 days, and showing a 38.58% return to 11/2/2015. Over the previous week the market value of iM-BESTOGA-3 gained -0.48% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $181,897 which includes $14,741 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-11-3-2015
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 56 days, and showing a -3.41% return to 11/2/2015. Over the previous week the market value of iM-Best3x4 gained 3.83% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $99,871 which includes $2,319 cash and excludes $435 spent on fees and slippage.
Fig-12.Best2x4-11-3-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 5 stocks, 0 of them winners, so far held for an average period of 58 days, and showing a -1.74% return to 11/2/2015. Over the previous week the market value of iM-Best2x4 gained 3.30% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $95,144 which includes $701 cash and excludes $289 spent on fees and slippage.
Fig-7.USMVtrade-11-3-2015Fig-7.1.USMVtrade-11-3-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 9 of them winners, so far held for an average period of 114 days, and showing a 1.18% return to 11/2/2015. Since inception, on 7/1/2014, the model gained 28.69% while the benchmark SPY gained 10.12% and the ETF USMV gained 16.52% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.85% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $128,685 which includes $57 cash and excludes $1,344 spent on fees and slippage.
Fig-9.USMVQ1-11-3-2015 Fig-9.1.USMVQ1-11-3-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 10 of them winners, so far held for an average period of 239 days, and showing a 6.79% return to 11/2/2015. Since inception, on 1/5/2015, the model gained 9.49% while the benchmark SPY gained 5.83% and the ETF USMV gained 7.01% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.43% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $109,495 which includes $161 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-11-3-2015 Fig-10.1.USMVQ2-11-3-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 176 days, and showing a -7.89% return to 11/2/2015. Since inception, on 3/31/2015, the model gained 0.38% while the benchmark SPY gained 2.05% and the ETF USMV gained 3.35% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.01% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $100,381 which includes $248 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-11-3-2015 Fig-5.1.USMVQ3-11-3-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 99 days, and showing a 2.91% return to 11/2/2015. Since inception, on 7/1/2014, the model gained 23.69% while the benchmark SPY gained 10.12% and the ETF USMV gained 16.52% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.41% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $123,694 which includes $88 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-11-3-2015Fig-6.1.USMVQ4-11-3-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 9 of them winners, so far held for an average period of 84 days, and showing a 5.10% return to 11/2/2015. Since inception, on 9/30/2014, the model gained 15.09% while the benchmark SPY gained 8.66% and the ETF USMV gained 14.91% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.40% at a time when SPY gained 1.64%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $115,093 which includes $29 cash and excludes $353 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-3-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 18.06% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-11-3-2015
The iM-Best(Short) model currently holds 4 position(s). Over the previous week the market value of iM-Best(Short) gained -2.86% at a time when SPY gained 1.64%. Over the period 1/2/2009 to 11/2/2015 the starting capital of $100,000 would have grown to $101,554 which includes $182,632 cash and excludes $21,102 spent on fees and slippage.
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