iM-Best Reports – 7/11/2016

Performance-wk-7-19-2016 Performance-mth-7-19-2016 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-7-19-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 26.9%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.43% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $442,917 which includes -$7,214 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-7-19-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.6%, and for the last 12 months is 0.1%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.35% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,225 which includes -$232 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-7-19-2016
iM-Combo5: The model’s out of sample performance from inception is -1.1%. The benchmark SPY performance over the same period is 13.9%. Over the previous week the market value of iM-Combo5 gained -0.45% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $98,916 which includes $18,818 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-7-19-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -0.2%, and for the last 12 months is -4.9%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.41% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $444,418 which includes $187,532 cash and excludes $6,973 spent on fees and slippage.
Fig-8.VDIGXtrade-7-19-2016Fig-8.1.VDIGXtrade-7-19-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Since inception, on 7/1/2014, the model gained 32.64% while the benchmark SPY gained 15.13% and the ETF VDIGX gained 18.71% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.20% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $132,643 which includes $144 cash and excludes $1,180 spent on fees and slippage.
Fig-4.Bestoga3-7-19-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 36.7%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.34% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $211,418 which includes $21,506 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-7-19-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -30.3%, and for the last 12 months is -12.4%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -2.53% at a time when SPY gained 1.41%. Over the period 2/3/2014 to 7/18/2016 the starting capital of $100,000 would have grown to $9,903 which includes $19,936 cash and excludes $1,325 spent on fees and slippage.
Fig-17.BestogaX5-7-19-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -3.7%. The benchmark SPY performance over the same period is 7.0%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.19% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $96,272 which includes $18,630 cash and excludes $208 spent on fees and slippage.
Fig-13.Best3x4-7-19-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -14.0%, and for the last 12 months is -11.5%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Best3x4 gained 0.58% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $88,402 which includes $1,553 cash and excludes $1,416 spent on fees and slippage.
Fig-12.Best2x4-7-19-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -6.2%, and for the last 12 months is -6.8%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Best2x4 gained 0.03% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,704 which includes $1,386 cash and excludes $1,074 spent on fees and slippage.
Fig-7.USMVtrade-7-19-2016Fig-7.1.USMVtrade-7-19-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is 11.7%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Since inception, on 7/1/2014, the model gained 44.07% while the benchmark SPY gained 15.13% and the ETF USMV gained 31.12% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.85% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $144,070 which includes $11 cash and excludes $2,072 spent on fees and slippage.
Fig-9.USMVQ1-7-19-2016 Fig-9.1.USMVQ1-7-19-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.5%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Since inception, on 1/5/2015, the model gained 21.53% while the benchmark SPY gained 10.63% and the ETF USMV gained 20.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.48% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $121,525 which includes $3 cash and excludes $472 spent on fees and slippage.
Fig-10.USMVQ2-7-19-2016 Fig-10.1.USMVQ2-7-19-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 16.4%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Since inception, on 3/31/2015, the model gained 15.80% while the benchmark SPY gained 6.69% and the ETF USMV gained 16.30% 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 1.41%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $115,795 which includes $190 cash and excludes $385 spent on fees and slippage.
Fig-5.USMVQ3-7-19-2016 Fig-5.1.USMVQ3-7-19-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 23.4%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Since inception, on 7/1/2014, the model gained 44.72% while the benchmark SPY gained 15.13% and the ETF USMV gained 31.12% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.13% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $144,724 which includes $236 cash and excludes $653 spent on fees and slippage.
Fig-6.USMVQ4-7-19-2016Fig-6.1.USMVQ4-7-19-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 35.35% while the benchmark SPY gained 13.59% and the ETF USMV gained 29.31% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.20% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $135,350 which includes -$107 cash and excludes $522 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-7-19-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 29.08% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-7-19-2016
iM-Best(Short): The model’s out of sample performance YTD is -6.4%, and for the last 12 months is -3.9%. Over the same period the benchmark SPY performance was 7.3% and 4.1% respectively. Over the previous week the market value of iM-Best(Short) gained 0.35% at a time when SPY gained 1.41%. Over the period 1/2/2009 to 7/18/2016 the starting capital of $100,000 would have grown to $97,952 which includes $97,952 cash and excludes $19,466 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