iM-Best Reports – 11/30/2015

Performance-wk-12-1-2015 Performance-mth-12-1-2015 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-12-1-2015
The iM-Best(SPY-SH) model currently holds SH, so far held for a period of 0 days, and showing a 0.02% return to 11/30/2015. Over the previous week the market value of Best(SPY-SH) gained -0.14% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $428,969 which includes -$2,391 cash and excludes $14,503 spent on fees and slippage.
Fig-2.Combo3-12-1-2015
The iM-Combo3 model currently holds SH, SSO, and XLB, so far held for an average period of 7 days, and showing a 0.43% return to 11/30/2015. Over the previous week the market value of iM-Combo3 gained -0.09% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $135,235 which includes -$35 cash and excludes $2,114 spent on fees and slippage.
Fig-14.Best8TaxEff-12-1-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 9 stocks, 2 of them winners, so far held for an average period of 137 days, and showing a -1.31% return to 11/30/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.20% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $427,083 which includes $190,806 cash and excludes $5,620 spent on fees and slippage.
Fig-8.VDIGXtrade-12-1-2015Fig-8.1.VDIGXtrade-12-1-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 7 of them winners, so far held for an average period of 151 days, and showing a 3.67% return to 11/30/2015. Since inception, on 7/1/2014, the model gained 26.85% while the benchmark SPY gained 9.23% and the ETF VDIGX gained 10.79% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.00% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $126,854 which includes $157 cash and excludes $730 spent on fees and slippage.
Fig-4.Bestoga3-12-1-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 473 days, and showing a 37.93% return to 11/30/2015. Over the previous week the market value of iM-BESTOGA-3 gained 0.08% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $181,110 which includes $14,741 cash and excludes $805 spent on fees and slippage.
Fig-13.Best3x4-12-1-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 8 stocks, 1 of them winners, so far held for an average period of 44 days, and showing a -8.05% return to 11/30/2015. Over the previous week the market value of iM-Best3x4 gained -0.38% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $99,289 which includes $227 cash and excludes $588 spent on fees and slippage.
Fig-12.Best2x4-12-1-2015
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 48 days, and showing a -3.09% return to 11/30/2015. Over the previous week the market value of iM-Best2x4 gained -0.79% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,711 which includes $709 cash and excludes $409 spent on fees and slippage.
Fig-7.USMVtrade-12-1-2015Fig-7.1.USMVtrade-12-1-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 9 of them winners, so far held for an average period of 101 days, and showing a 1.73% return to 11/30/2015. Since inception, on 7/1/2014, the model gained 29.24% while the benchmark SPY gained 9.23% and the ETF USMV gained 15.23% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.54% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $129,240 which includes $164 cash and excludes $1,426 spent on fees and slippage.
Fig-9.USMVQ1-12-1-2015 Fig-9.1.USMVQ1-12-1-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 10 of them winners, so far held for an average period of 240 days, and showing a 3.62% return to 11/30/2015. Since inception, on 1/5/2015, the model gained 6.02% while the benchmark SPY gained 4.97% and the ETF USMV gained 5.82% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.33% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $106,020 which includes $46 cash and excludes $243 spent on fees and slippage.
Fig-10.USMVQ2-12-1-2015 Fig-10.1.USMVQ2-12-1-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 184 days, and showing a -7.45% return to 11/30/2015. Since inception, on 3/31/2015, the model gained -0.01% while the benchmark SPY gained 1.23% and the ETF USMV gained 2.21% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.67% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $99,989 which includes $42 cash and excludes $166 spent on fees and slippage.
Fig-5.USMVQ3-12-1-2015 Fig-5.1.USMVQ3-12-1-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 105 days, and showing a 2.51% return to 11/30/2015. Since inception, on 7/1/2014, the model gained 20.12% while the benchmark SPY gained 9.23% and the ETF USMV gained 15.23% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.38% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,120 which includes $356 cash and excludes $475 spent on fees and slippage.
Fig-6.USMVQ4-12-1-2015Fig-6.1.USMVQ4-12-1-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 9 of them winners, so far held for an average period of 78 days, and showing a 1.59% return to 11/30/2015. Since inception, on 9/30/2014, the model gained 12.90% while the benchmark SPY gained 7.77% and the ETF USMV gained 13.64% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.65% at a time when SPY gained -0.18%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $112,897 which includes $43 cash and excludes $372 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-12-1-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 16.14% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-12-1-2015
The iM-Best(Short) model currently holds 3position(s), valued ($58,902). Over the previous week the market value of iM-Best(Short) gained 0.61% at a time when SPY gained -0.18%. Over the period 1/2/2009 to 11/30/2015 the starting capital of $100,000 would have grown to $99,504 which includes $158,341 cash and excludes $21,417 spent on fees and slippage.
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