iM-Best Reports – 8/8/2016

Performance-wk-8-9-2016 Performance-mth-8-9-2016 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-8-9-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 25.9%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.52% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $448,573 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-8-9-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.4%, and for the last 12 months is -1.2%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.18% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,468 which includes $39 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-8-9-2016
iM-Combo5: The model’s out of sample performance from inception is -1.0%. The benchmark SPY performance over the same period is 14.7%. Over the previous week the market value of iM-Combo5 gained -0.20% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,055 which includes $18,977 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-8-9-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -1.5%, and for the last 12 months is -6.3%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.78% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $438,711 which includes $187,883 cash and excludes $6,973 spent on fees and slippage.
Fig-8.VDIGXtrade-8-9-2016Fig-8.1.VDIGXtrade-8-9-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 6.9%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Since inception, on 7/1/2014, the model gained 33.12% while the benchmark SPY gained 16.00% and the ETF VDIGX gained 18.71% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.61% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $133,117 which includes -$129 cash and excludes $1,208 spent on fees and slippage.
Fig-4.Bestoga3-8-9-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.0%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.59% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $203,979 which includes $18,677 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-8-9-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -37.3%, and for the last 12 months is -20.8%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -4.53% at a time when SPY gained 0.51%. Over the period 2/3/2014 to 8/8/2016 the starting capital of $100,000 would have grown to $8,909 which includes $17,971 cash and excludes $1,380 spent on fees and slippage.
Fig-17.BestogaX5-8-9-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -5.3%. The benchmark SPY performance over the same period is 7.8%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.82% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $94,714 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-8-9-2016
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 -12.3%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Best3x4 gained 0.32% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $88,409 which includes $1,306 cash and excludes $1,473 spent on fees and slippage.
Fig-12.Best2x4-8-9-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -6.1%, and for the last 12 months is -7.5%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Best2x4 gained 0.25% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,729 which includes $933 cash and excludes $1,115 spent on fees and slippage.
Fig-7.USMVtrade-8-9-2016Fig-7.1.USMVtrade-8-9-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 16.0%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Since inception, on 7/1/2014, the model gained 47.96% while the benchmark SPY gained 16.00% and the ETF USMV gained 30.23% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.77% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $147,962 which includes $361 cash and excludes $2,166 spent on fees and slippage.
Fig-9.USMVQ1-8-9-2016 Fig-9.1.USMVQ1-8-9-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 21.2%, and for the last 12 months is 18.4%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Since inception, on 1/5/2015, the model gained 26.39% while the benchmark SPY gained 11.48% and the ETF USMV gained 19.60% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.87% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $126,392 which includes $130 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-8-9-2016 Fig-10.1.USMVQ2-8-9-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 20.2%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Since inception, on 3/31/2015, the model gained 19.54% while the benchmark SPY gained 7.50% and the ETF USMV gained 15.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.71% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $119,544 which includes $264 cash and excludes $385 spent on fees and slippage.
Fig-5.USMVQ3-8-9-2016 Fig-5.1.USMVQ3-8-9-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 28.0%, and for the last 12 months is 23.5%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Since inception, on 7/1/2014, the model gained 50.08% while the benchmark SPY gained 16.00% and the ETF USMV gained 30.23% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.79% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $150,084 which includes -$22 cash and excludes $677 spent on fees and slippage.
Fig-6.USMVQ4-8-9-2016Fig-6.1.USMVQ4-8-9-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 38.56% while the benchmark SPY gained 14.46% and the ETF USMV gained 28.43% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.67% at a time when SPY gained 0.51%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $138,564 which includes -$95 cash and excludes $522 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-8-9-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 32.11% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-8-9-2016
iM-Best(Short): The model’s out of sample performance YTD is -9.4%, and for the last 12 months is -7.5%. Over the same period the benchmark SPY performance was 8.1% and 7.1% respectively. Over the previous week the market value of iM-Best(Short) gained -3.28% at a time when SPY gained 0.51%. Over the period 1/2/2009 to 8/8/2016 the starting capital of $100,000 would have grown to $94,841 which includes $133,387 cash and excludes $19,670 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