iM-Best Reports – 4/5/2016

Performance-wk-4-5-2016 Performance-mth-4-5-2016 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-4-5-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -2.4%, and for the last 12 months is 16.9%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.31% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $424,508 which includes $18 cash and excludes $14,506 spent on fees and slippage.
Fig-2.Combo3-4-5-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.4%, and for the last 12 months is -1.4%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.72% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,580 which includes -$429 cash and excludes $2,661 spent on fees and slippage.
Fig-15.Combo5-4-5-2016
iM-Combo5: The model’s out of sample performance from inception is 0.0%. The benchmark SPY performance over the same period is 8.0%. Over the previous week the market value of iM-Combo5 gained 1.68% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $100,055 which includes -$1,226 cash and excludes $129 spent on fees and slippage.
Fig-14.Best8TaxEff-4-5-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 7.6%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.42% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $479,235 which includes $1,790 cash and excludes $6,294 spent on fees and slippage.
Fig-8.VDIGXtrade-4-5-2016Fig-8.1.VDIGXtrade-4-5-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 9.4%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Since inception, on 7/1/2014, the model gained 27.88% while the benchmark SPY gained 9.16% and the ETF VDIGX gained 12.83% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.83% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $127,880 which includes $75 cash and excludes $1,025 spent on fees and slippage.
Fig-4.Bestoga3-4-5-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 7.2%, and for the last 12 months is 38.5%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.61% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $196,953 which includes $16,378 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-4-5-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -6.2%, and for the last 12 months is 24.9%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -2.04% at a time when SPY gained 1.48%. Over the period 2/3/2014 to 4/4/2016 the starting capital of $100,000 would have grown to $13,325 which includes $26,173 cash and excludes $1,081 spent on fees and slippage.
Fig-17.BestogaX5-4-5-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is 0.4%. The benchmark SPY performance over the same period is 1.5%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.36% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $100,363 which includes $19,898 cash and excludes $00 spent on fees and slippage.
Fig-13.Best3x4-4-5-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -4.2%, and since inception -1.6%. Over the same period the benchmark SPY performance was 1.7% and -0.5% respectively. Over the previous week the market value of iM-Best3x4 gained 0.80% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $98,447 which includes $7,494 cash and excludes $1,083 spent on fees and slippage.
Fig-12.Best2x4-4-5-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -0.9%, and since inception -2.1%. Over the same period the benchmark SPY performance was 1.7% and -0.5% respectively. Over the previous week the market value of iM-Best2x4 gained 0.59% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $97,931 which includes $1,574 cash and excludes $758 spent on fees and slippage.
Fig-7.USMVtrade-4-5-2016Fig-7.1.USMVtrade-4-5-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Since inception, on 7/1/2014, the model gained 34.20% while the benchmark SPY gained 9.16% and the ETF USMV gained 23.05% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.45% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $134,202 which includes -$160 cash and excludes $1,818 spent on fees and slippage.
Fig-9.USMVQ1-4-5-2016 Fig-9.1.USMVQ1-4-5-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 6.5%, and for the last 12 months is 5.8%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Since inception, on 1/5/2015, the model gained 11.06% while the benchmark SPY gained 4.90% and the ETF USMV gained 13.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.34% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $111,063 which includes -$65 cash and excludes $423 spent on fees and slippage.
Fig-10.USMVQ2-4-5-2016 Fig-10.1.USMVQ2-4-5-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 6.8%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Since inception, on 3/31/2015, the model gained 6.26% while the benchmark SPY gained 1.16% and the ETF USMV gained 9.14% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.39% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $106,257 which includes -$32 cash and excludes $227 spent on fees and slippage.
Fig-5.USMVQ3-4-5-2016 Fig-5.1.USMVQ3-4-5-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is -1.7%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Since inception, on 7/1/2014, the model gained 26.09% while the benchmark SPY gained 9.16% and the ETF USMV gained 23.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.36% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $126,093 which includes $333 cash and excludes $564 spent on fees and slippage.
Fig-6.USMVQ4-4-5-2016Fig-6.1.USMVQ4-4-5-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 19.50% while the benchmark SPY gained 7.70% and the ETF USMV gained 21.35% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.43% at a time when SPY gained 1.48%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $119,502 which includes $426 cash and excludes $485 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-5-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 21.08% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-4-5-2016
iM-Best(Short): The model’s out of sample performance YTD is -2.1%, and for the last 12 months is -1.4%. Over the same period the benchmark SPY performance was 1.7% and 2.0% respectively. Over the previous week the market value of iM-Best(Short) gained -1.41% at a time when SPY gained 1.48%. Over the period 1/2/2009 to 4/4/2016 the starting capital of $100,000 would have grown to $102,476 which includes $183,939 cash and excludes $18,658 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