iM-Best Reports – 9/21/2015

Fig-0.all-9-22-2015 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-9-22-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 28 days, and showing a 3.45% return to 9/21/2015. Over the previous week the market value of Best(SPY-SH) gained 0.21% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $402,086 which includes $30,580 cash and excludes $13,610 spent on fees and slippage.
Fig-2.Combo3-9-22-2015
The iM-Combo3 model currently holds SPY, SSO, and XLP, so far held for an average period of 16 days, and showing a 1.55% return to 9/21/2015. Over the previous week the market value of iM-Combo3 gained 0.98% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $126,232 which includes $628 cash and excludes $1,550 spent on fees and slippage.
Fig-14.Best8TaxEff-9-22-2015
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 127 days, and showing a 8.50% return to 9/21/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.32% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $455,705 which includes $614 cash and excludes $5,110 spent on fees and slippage.
Fig-8.VDIGXtrade-9-22-2015Fig-8.1.VDIGXtrade-9-22-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 3 of them winners, so far held for an average period of 136 days, and showing a -1.49% return to 9/21/2015. Since inception, on 7/1/2014, the model gained 16.71% while the benchmark SPY gained 2.83% and the ETF VDIGX gained 3.77% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.37% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $116,707 which includes $142 cash and excludes $650 spent on fees and slippage.
Fig-4.Best10-9-22-2015
The iM-Best10(S&P 1500) model currently holds 10 stocks, 4 of them winners, so far held for an average period of 8 days, and showing a -0.51% return to 9/21/2015. Over the previous week the market value of iM-Best10 gained 2.40% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $807,063 which includes $4,917 cash and excludes $81,767 spent on fees and slippage.
Fig-13.Best3x4-9-22-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 7 stocks, 3 of them winners, so far held for an average period of 35 days, and showing a 1.31% return to 9/21/2015. Over the previous week the market value of iM-Best3x4 gained -0.53% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $103,116 which includes -$1,524 cash and excludes $314 spent on fees and slippage.
Fig-12.Best2x4-9-22-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 5 stocks, 3 of them winners, so far held for an average period of 27 days, and showing a 0.27% return to 9/21/2015. Over the previous week the market value of iM-Best2x4 gained -1.11% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $97,938 which includes $497 cash and excludes $206 spent on fees and slippage.
Fig-7.USMVtrade-9-22-2015Fig-7.1.USMVtrade-9-22-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 2 of them winners, so far held for an average period of 82 days, and showing a -4.63% return to 9/21/2015. Since inception, on 7/1/2014, the model gained 20.04% while the benchmark SPY gained 2.83% and the ETF USMV gained 10.58% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.27% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,043 which includes $192 cash and excludes $1,300 spent on fees and slippage.
Fig-9.USMVQ1-9-22-2015 Fig-9.1.USMVQ1-9-22-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 202 days, and showing a -1.04% return to 9/21/2015. Since inception, on 1/5/2015, the model gained 2.91% while the benchmark SPY gained -1.18% and the ETF USMV gained 1.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.71% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $102,908 which includes $389 cash and excludes $210 spent on fees and slippage.
Fig-10.USMVQ2-9-22-2015 Fig-10.1.USMVQ2-9-22-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 3 of them winners, so far held for an average period of 151 days, and showing a -8.28% return to 9/21/2015. Since inception, on 3/31/2015, the model gained -4.89% while the benchmark SPY gained -4.71% and the ETF USMV gained -1.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.20% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $95,112 which includes -$42 cash and excludes $134 spent on fees and slippage.
Fig-5.USMVQ3-9-22-2015 Fig-5.1.USMVQ3-9-22-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 4 of them winners, so far held for an average period of 57 days, and showing a -3.20% return to 9/21/2015. Since inception, on 7/1/2014, the model gained 15.99% while the benchmark SPY gained 2.83% and the ETF USMV gained 10.58% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.52% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $115,990 which includes $145 cash and excludes $439 spent on fees and slippage.
Fig-6.USMVQ4-9-22-2015Fig-6.1.USMVQ4-9-22-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 233 days, and showing a 3.39% return to 9/21/2015. Since inception, on 9/30/2014, the model gained 7.86% while the benchmark SPY gained 1.46% and the ETF USMV gained 9.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.22% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $107,862 which includes $146 cash and excludes $232 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-22-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 16.48% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-9-22-2015
The iM-Best(Short) model currently holds 3 position(s). Over the previous week the market value of iM-Best(Short) gained -1.60% at a time when SPY gained 0.75%. Over the period 1/2/2009 to 9/21/2015 the starting capital of $100,000 would have grown to $107,844 which includes $172,481 cash and excludes $20,286 spent on fees and slippage.
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