iM-Best Reports – 11/14/2016

Performance-wk-11-15-2016 Performance-mth-11-15-2016 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-11-15-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.62% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $447,787 which includes -$2,720 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-11-15-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -10.0%, and for the last 12 months is -10.1%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.37% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $119,142 which includes -$1,697 cash and excludes $3,054 spent on fees and slippage.
Fig-15.Combo5-11-15-2016
iM-Combo5: The model’s out of sample performance from inception is -4.1%. The benchmark SPY performance over the same period is 14.6%. Over the previous week the market value of iM-Combo5 gained -2.08% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $95,951 which includes -$1,311 cash and excludes $330 spent on fees and slippage.
Fig-14.Best8TaxEff-11-15-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -7.2%, and for the last 12 months is -4.8%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.21% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $413,435 which includes $191,016 cash and excludes $7,763 spent on fees and slippage.
Fig-8.VDIGXtrade-11-15-2016Fig-8.1.VDIGXtrade-11-15-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 14.7%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Since inception, on 7/1/2014, the model gained 40.82% while the benchmark SPY gained 15.81% and the ETF VDIGX gained 15.70% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 7.28% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $140,824 which includes -$196 cash and excludes $1,435 spent on fees and slippage.
Fig-19.Best2MCsETF-11-15-2016
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is -6.2%. The benchmark SPY performance over the same period is 3.9%. Over the previous week the market value of iM-BESTOGA-3 gained -2.17% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $43 which includes $103 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-11-15-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 7.9%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -7.08% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $193,646 which includes $20,041 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-11-15-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is 0.4%. The benchmark SPY performance over the same period is 3.9%. Over the previous week the market value of iM-BESTOGA-3 gained 2.99% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $100,438 which includes $170 cash and excludes $271 spent on fees and slippage.
Fig-16.ShortRSL3000-11-15-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -37.0%, and for the last 12 months is -34.0%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -0.44% at a time when SPY gained 1.61%. Over the period 2/3/2014 to 11/14/2016 the starting capital of $100,000 would have grown to $8,952 which includes $13,411 cash and excludes $1,550 spent on fees and slippage.
Fig-17.BestogaX5-11-15-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -4.0%. The benchmark SPY performance over the same period is 7.7%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.78% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $95,989 which includes $20,171 cash and excludes $336 spent on fees and slippage.
Fig-7.USMVtrade-11-15-2016Fig-7.1.USMVtrade-11-15-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Since inception, on 7/1/2014, the model gained 35.60% while the benchmark SPY gained 15.81% and the ETF USMV gained 23.73% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.01% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $135,602 which includes $676 cash and excludes $2,497 spent on fees and slippage.
Fig-9.USMVQ1-11-15-2016 Fig-9.1.USMVQ1-11-15-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 17.1%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Since inception, on 1/5/2015, the model gained 22.15% while the benchmark SPY gained 11.28% and the ETF USMV gained 13.63% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 4.80% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $122,149 which includes -$439 cash and excludes $579 spent on fees and slippage.
Fig-10.USMVQ2-11-15-2016 Fig-10.1.USMVQ2-11-15-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.5%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Since inception, on 3/31/2015, the model gained 10.96% while the benchmark SPY gained 7.32% and the ETF USMV gained 9.75% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 4.38% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $110,962 which includes -$525 cash and excludes $480 spent on fees and slippage.
Fig-5.USMVQ3-11-15-2016 Fig-5.1.USMVQ3-11-15-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 27.6%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Since inception, on 7/1/2014, the model gained 49.63% while the benchmark SPY gained 15.81% and the ETF USMV gained 23.73% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 4.17% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $149,632 which includes $2,788 cash and excludes $790 spent on fees and slippage.
Fig-6.USMVQ4-11-15-2016Fig-6.1.USMVQ4-11-15-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 34.24% while the benchmark SPY gained 14.27% and the ETF USMV gained 22.02% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.36% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $134,237 which includes $20 cash and excludes $692 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-15-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 29.74% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-11-15-2016
iM-Best(Short): The model’s out of sample performance YTD is -10.4%, and for the last 12 months is -5.4%. Over the same period the benchmark SPY performance was 7.9% and 9.2% respectively. Over the previous week the market value of iM-Best(Short) gained -3.41% at a time when SPY gained 1.61%. Over the period 1/2/2009 to 11/14/2016 the starting capital of $100,000 would have grown to $93,833 which includes $132,561 cash and excludes $20,669 spent on fees and slippage.

 

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