iM-Best Reports – 12/19/2016

Performance-wk-12-20-2016 Performance-mth-12-20-2016 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-12-20-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 5.1%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.32% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $466,382 which includes -$2,720 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-12-20-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -3.9%, and for the last 12 months is -2.2%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.34% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $127,111 which includes -$1,697 cash and excludes $3,054 spent on fees and slippage.
Fig-15.Combo5-12-20-2016
iM-Combo5: The model’s out of sample performance from inception is -1.0%. The benchmark SPY performance over the same period is 20.0%. Over the previous week the market value of iM-Combo5 gained 0.03% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,034 which includes -$1,258 cash and excludes $330 spent on fees and slippage.
Fig-14.Best8TaxEff-12-20-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -12.8%, and for the last 12 months is -13.2%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.73% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $388,432 which includes $154,726 cash and excludes $7,837 spent on fees and slippage.
Fig-8.VDIGXtrade-12-20-2016Fig-8.1.VDIGXtrade-12-20-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 16.4%, and for the last 12 months is 19.6%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Since inception, on 7/1/2014, the model gained 46.77% while the benchmark SPY gained 21.30% and the ETF VDIGX gained 19.31% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.12% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $146,767 which includes $363 cash and excludes $1,491 spent on fees and slippage.
Fig-19.Best2MCsETF-12-20-2016
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is -2.8%. The benchmark SPY performance over the same period is 8.8%. Over the previous week the market value of iM-BESTOGA-3 gained 0.13% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $55 which includes $105 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-12-20-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 11.9%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.20% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $202,716 which includes $20,366 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-12-20-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is 5.4%. The benchmark SPY performance over the same period is 8.8%. Over the previous week the market value of iM-BESTOGA-3 gained 0.17% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $105,356 which includes $382 cash and excludes $271 spent on fees and slippage.
Fig-16.ShortRSL3000-12-20-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -40.4%, and for the last 12 months is -39.4%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -1.95% at a time when SPY gained 0.27%. Over the period 2/3/2014 to 12/19/2016 the starting capital of $100,000 would have grown to $8,471 which includes $17,263 cash and excludes $1,602 spent on fees and slippage.
Fig-17.BestogaX5-12-20-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -0.9%. The benchmark SPY performance over the same period is 12.8%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.52% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $99,106 which includes $20,171 cash and excludes $336 spent on fees and slippage.
Fig-7.USMVtrade-12-20-2016Fig-7.1.USMVtrade-12-20-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 11.7%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Since inception, on 7/1/2014, the model gained 39.92% while the benchmark SPY gained 21.30% and the ETF USMV gained 28.65% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.40% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $139,920 which includes $336 cash and excludes $2,697 spent on fees and slippage.
Fig-9.USMVQ1-12-20-2016 Fig-9.1.USMVQ1-12-20-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 21.6%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Since inception, on 1/5/2015, the model gained 26.84% while the benchmark SPY gained 16.57% and the ETF USMV gained 18.15% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.10% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $126,842 which includes $78 cash and excludes $598 spent on fees and slippage.
Fig-10.USMVQ2-12-20-2016 Fig-10.1.USMVQ2-12-20-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.9%, and for the last 12 months is 18.4%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Since inception, on 3/31/2015, the model gained 15.27% while the benchmark SPY gained 12.41% and the ETF USMV gained 14.11% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.04% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $115,272 which includes $235 cash and excludes $515 spent on fees and slippage.
Fig-5.USMVQ3-12-20-2016 Fig-5.1.USMVQ3-12-20-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 32.6%, and for the last 12 months is 34.4%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Since inception, on 7/1/2014, the model gained 55.47% while the benchmark SPY gained 21.30% and the ETF USMV gained 28.65% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.59% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $155,467 which includes -$131 cash and excludes $865 spent on fees and slippage.
Fig-6.USMVQ4-12-20-2016Fig-6.1.USMVQ4-12-20-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 38.54% while the benchmark SPY gained 19.69% and the ETF USMV gained 26.87% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.47% at a time when SPY gained 0.27%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $138,544 which includes $15 cash and excludes $713 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-12-20-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 29.96% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-12-20-2016
iM-Best(Short): The model’s out of sample performance YTD is -7.9%, and for the last 12 months is -7.6%. Over the same period the benchmark SPY performance was 13.0% and 15.2% respectively. Over the previous week the market value of iM-Best(Short) gained 1.31% at a time when SPY gained 0.27%. Over the period 1/2/2009 to 12/19/2016 the starting capital of $100,000 would have grown to $96,447 which includes $134,461 cash and excludes $20,947 spent on fees and slippage.
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