iM-Best Reports – 8/15/2016

Performance-wk-8-16-2016 Performance-mth-8-16-2016 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-8-16-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.48% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $450,736 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-8-16-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.4%, and for the last 12 months is -0.9%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.06% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,538 which includes $39 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-8-16-2016
iM-Combo5: The model’s out of sample performance from inception is -0.9%. The benchmark SPY performance over the same period is 15.3%. Over the previous week the market value of iM-Combo5 gained 0.08% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,134 which includes $18,977 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-8-16-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -2.7%, and for the last 12 months is -7.9%. Over the same period the benchmark SPY performance was 8.6% and 6.9% 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 0.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $433,162 which includes $187,883 cash and excludes $6,973 spent on fees and slippage.
Fig-8.VDIGXtrade-8-16-2016Fig-8.1.VDIGXtrade-8-16-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Since inception, on 7/1/2014, the model gained 34.00% while the benchmark SPY gained 16.56% and the ETF VDIGX gained 19.50% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.66% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $133,999 which includes -$65 cash and excludes $1,208 spent on fees and slippage.
Fig-4.Bestoga3-8-16-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 10.9%, and for the last 12 months is 27.9%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.11% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $203,751 which includes $18,677 cash and excludes $767 spent on fees and slippage.
Fig-16.ShortRSL3000-8-16-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -39.7%, and for the last 12 months is -23.5%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -3.76% at a time when SPY gained 0.48%. Over the period 2/3/2014 to 8/15/2016 the starting capital of $100,000 would have grown to $8,574 which includes $17,671 cash and excludes $1,403 spent on fees and slippage.
Fig-17.BestogaX5-8-16-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -4.8%. The benchmark SPY performance over the same period is 8.4%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.51% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $95,199 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-8-16-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -13.9%, and for the last 12 months is -11.8%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-Best3x4 gained 0.09% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $88,492 which includes $1,695 cash and excludes $1,495 spent on fees and slippage.
Fig-12.Best2x4-8-16-2016
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 -8.8%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-Best2x4 gained -0.01% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,718 which includes $1,477 cash and excludes $1,142 spent on fees and slippage.
Fig-7.USMVtrade-8-16-2016Fig-7.1.USMVtrade-8-16-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 16.7%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Since inception, on 7/1/2014, the model gained 48.88% while the benchmark SPY gained 16.56% and the ETF USMV gained 30.45% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.52% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $148,881 which includes $467 cash and excludes $2,214 spent on fees and slippage.
Fig-9.USMVQ1-8-16-2016 Fig-9.1.USMVQ1-8-16-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 21.7%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Since inception, on 1/5/2015, the model gained 26.93% while the benchmark SPY gained 12.01% and the ETF USMV gained 19.80% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.42% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $126,926 which includes $130 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-8-16-2016 Fig-10.1.USMVQ2-8-16-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 20.2%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Since inception, on 3/31/2015, the model gained 19.61% while the benchmark SPY gained 8.01% and the ETF USMV gained 15.71% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.06% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $119,615 which includes $264 cash and excludes $385 spent on fees and slippage.
Fig-5.USMVQ3-8-16-2016 Fig-5.1.USMVQ3-8-16-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 28.3%, and for the last 12 months is 22.8%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Since inception, on 7/1/2014, the model gained 50.40% while the benchmark SPY gained 16.56% and the ETF USMV gained 30.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.21% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $150,403 which includes $156 cash and excludes $700 spent on fees and slippage.
Fig-6.USMVQ4-8-16-2016Fig-6.1.USMVQ4-8-16-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 38.85% while the benchmark SPY gained 15.01% and the ETF USMV gained 28.65% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.20% at a time when SPY gained 0.48%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $138,847 which includes -$39 cash and excludes $522 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-8-16-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 32.04% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-8-16-2016
iM-Best(Short): The model’s out of sample performance YTD is -10.4%, and for the last 12 months is -8.5%. Over the same period the benchmark SPY performance was 8.6% and 6.9% respectively. Over the previous week the market value of iM-Best(Short) gained -1.13% at a time when SPY gained 0.48%. Over the period 1/2/2009 to 8/15/2016 the starting capital of $100,000 would have grown to $93,773 which includes $150,167 cash and excludes $19,771 spent on fees and slippage.
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