iM-Best Reports – 4/25/2016

Performance-wk-4-26-2016 Performance-mth-4-26-2016 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-4-26-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -3.6%, and for the last 12 months is 18.6%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.35% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $419,090 which includes $18 cash and excludes $14,506 spent on fees and slippage.
Fig-2.Combo3-4-26-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.5%, and for the last 12 months is -1.4%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.01% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,388 which includes $620 cash and excludes $2,662 spent on fees and slippage.
Fig-15.Combo5-4-26-2016
iM-Combo5: The model’s out of sample performance from inception is -0.6%. The benchmark SPY performance over the same period is 9.2%. Over the previous week the market value of iM-Combo5 gained -1.06% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,433 which includes $45 cash and excludes $132 spent on fees and slippage.
Fig-14.Best8TaxEff-4-26-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 8.7%, and for the last 12 months is 9.7%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.26% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $484,023 which includes $1,806 cash and excludes $6,294 spent on fees and slippage.
Fig-8.VDIGXtrade-4-26-2016Fig-8.1.VDIGXtrade-4-26-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Since inception, on 7/1/2014, the model gained 31.29% while the benchmark SPY gained 10.41% and the ETF VDIGX gained 14.60% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.97% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $131,294 which includes -$47 cash and excludes $1,050 spent on fees and slippage.
Fig-4.Bestoga3-4-26-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 33.4%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.23% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $195,114 which includes $17,365 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-4-26-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -27.1%, and for the last 12 months is 0.3%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -5.54% at a time when SPY gained -0.30%. Over the period 2/3/2014 to 4/25/2016 the starting capital of $100,000 would have grown to $10,353 which includes $20,174 cash and excludes $1,128 spent on fees and slippage.
Fig-17.BestogaX5-4-26-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -4.5%. The benchmark SPY performance over the same period is 2.6%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -4.69% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $95,547 which includes $20,770 cash and excludes $82 spent on fees and slippage.
Fig-13.Best3x4-4-26-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is 0.6%, and since inception 3.3%. Over the same period the benchmark SPY performance was 2.9% and 0.6% respectively. Over the previous week the market value of iM-Best3x4 gained 3.30% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $103,347 which includes $7,821 cash and excludes $1,100 spent on fees and slippage.
Fig-12.Best2x4-4-26-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is 4.2%, and since inception 3.0%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-Best2x4 gained 2.98% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $102,951 which includes $806 cash and excludes $780 spent on fees and slippage.
Fig-7.USMVtrade-4-26-2016Fig-7.1.USMVtrade-4-26-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 6.0%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Since inception, on 7/1/2014, the model gained 35.74% while the benchmark SPY gained 10.41% and the ETF USMV gained 22.44% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.32% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $135,741 which includes $90 cash and excludes $1,842 spent on fees and slippage.
Fig-9.USMVQ1-4-26-2016 Fig-9.1.USMVQ1-4-26-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is -4.0%, and for the last 12 months is -2.5%. Over the same period the benchmark SPY performance was -9.0% and -7.9% respectively. Since inception, on 1/5/2015, the model gained 0.17% while the benchmark SPY gained -6.18% and the ETF USMV gained 1.97% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.18% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $100,167 which includes -$69 cash and excludes $371 spent on fees and slippage.
Fig-10.USMVQ2-4-26-2016 Fig-10.1.USMVQ2-4-26-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is -4.2%, and since inception -4.7%. Over the same period the benchmark SPY performance was -9.0% and -8.4% respectively. Since inception, on 3/31/2015, the model gained -4.68% while the benchmark SPY gained -9.53% and the ETF USMV gained -1.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.02% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $95,321 which includes $43 cash and excludes $211 spent on fees and slippage.
Fig-5.USMVQ3-4-26-2016 Fig-5.1.USMVQ3-4-26-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is -3.5%, and for the last 12 months is -8.7%. Over the same period the benchmark SPY performance was -9.0% and -7.9% respectively. Since inception, on 7/1/2014, the model gained 13.16% while the benchmark SPY gained -2.37% and the ETF USMV gained 11.04% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.54% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $113,158 which includes -$10 cash and excludes $547 spent on fees and slippage.
Fig-6.USMVQ4-4-26-2016Fig-6.1.USMVQ4-4-26-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 8.03% while the benchmark SPY gained -3.68% and the ETF USMV gained 9.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.51% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $108,029 which includes -$106 cash and excludes $468 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-26-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 19.51% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-4-26-2016
iM-Best(Short): The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 2.3%. Over the same period the benchmark SPY performance was 2.9% and 0.7% respectively. Over the previous week the market value of iM-Best(Short) gained 2.63% at a time when SPY gained -0.30%. Over the period 1/2/2009 to 4/25/2016 the starting capital of $100,000 would have grown to $105,407 which includes $146,675 cash and excludes $18,828 spent on fees and slippage.
Posted in pmp SPY-SH

Leave a Reply

With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
By the mere act of reading this page and navigating this site you acknowledge, agree to, and abide by the Terms of Use / Disclaimer
Share This