iM-Best Reports – 6/13/2016

Performance-wk-6-14-2016 Performance-mth-6-14-2016 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-6-14-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -2.0%, and for the last 12 months is 20.0%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.40% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $426,360 which includes -$7,214 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-6-14-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.6%, and for the last 12 months is 1.1%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.31% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,277 which includes -$459 cash and excludes $2,857 spent on fees and slippage.
Fig-15.Combo5-6-14-2016
iM-Combo5: The model’s out of sample performance from inception is -1.1%. The benchmark SPY performance over the same period is 9.1%. Over the previous week the market value of iM-Combo5 gained 0.41% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $98,884 which includes $19,853 cash and excludes $235 spent on fees and slippage.
Fig-14.Best8TaxEff-6-14-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 0.8%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.10% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $456,593 which includes $226,229 cash and excludes $6,820 spent on fees and slippage.
Fig-8.VDIGXtrade-6-14-2016Fig-8.1.VDIGXtrade-6-14-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Since inception, on 7/1/2014, the model gained 28.07% while the benchmark SPY gained 10.32% and the ETF VDIGX gained 14.01% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.86% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $128,075 which includes -$148 cash and excludes $1,158 spent on fees and slippage.
Fig-4.Bestoga3-6-14-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.0%, and for the last 12 months is 47.0%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.65% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $203,999 which includes $17,365 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-6-14-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -24.7%, and for the last 12 months is 0.6%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 8.78% at a time when SPY gained -1.37%. Over the period 2/3/2014 to 6/13/2016 the starting capital of $100,000 would have grown to $10,696 which includes $21,190 cash and excludes $1,283 spent on fees and slippage.
Fig-17.BestogaX5-6-14-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -5.7%. 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 -2.13% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $94,328 which includes $20,770 cash and excludes $82 spent on fees and slippage.
Fig-13.Best3x4-6-14-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -12.2%, and since inception -9.8%. Over the same period the benchmark SPY performance was 2.8% and 0.6% respectively. Over the previous week the market value of iM-Best3x4 gained -0.65% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $90,224 which includes $1,095 cash and excludes $1,316 spent on fees and slippage.
Fig-12.Best2x4-6-14-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -2.3%, and since inception -3.4%. Over the same period the benchmark SPY performance was 2.8% and 0.6% respectively. Over the previous week the market value of iM-Best2x4 gained -0.22% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $96,560 which includes $908 cash and excludes $1,007 spent on fees and slippage.
Fig-7.USMVtrade-6-14-2016Fig-7.1.USMVtrade-6-14-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Since inception, on 7/1/2014, the model gained 35.21% while the benchmark SPY gained 10.32% and the ETF USMV gained 24.67% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.39% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $135,214 which includes $440 cash and excludes $2,029 spent on fees and slippage.
Fig-9.USMVQ1-6-14-2016 Fig-9.1.USMVQ1-6-14-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is 8.6%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Since inception, on 1/5/2015, the model gained 13.98% while the benchmark SPY gained 6.02% and the ETF USMV gained 14.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.40% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $113,981 which includes $166 cash and excludes $437 spent on fees and slippage.
Fig-10.USMVQ2-6-14-2016 Fig-10.1.USMVQ2-6-14-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Since inception, on 3/31/2015, the model gained 9.75% while the benchmark SPY gained 2.23% and the ETF USMV gained 10.58% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.13% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $109,752 which includes $158 cash and excludes $352 spent on fees and slippage.
Fig-5.USMVQ3-6-14-2016 Fig-5.1.USMVQ3-6-14-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 18.1%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Since inception, on 7/1/2014, the model gained 38.44% while the benchmark SPY gained 10.32% and the ETF USMV gained 24.67% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.99% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $138,440 which includes $760 cash and excludes $564 spent on fees and slippage.
Fig-6.USMVQ4-6-14-2016Fig-6.1.USMVQ4-6-14-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 27.36% while the benchmark SPY gained 8.85% and the ETF USMV gained 22.95% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.77% at a time when SPY gained -1.37%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $127,364 which includes $873 cash and excludes $485 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-6-14-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 26.43% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-6-14-2016
iM-Best(Short): The model’s out of sample performance YTD is -6.3%, and for the last 12 months is -7.9%. Over the same period the benchmark SPY performance was 2.8% and 1.4% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained -1.37%. Over the period 1/2/2009 to 6/13/2016 the starting capital of $100,000 would have grown to $98,105 which includes $98,105 cash and excludes $19,220 spent on fees and slippage.
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