iM-Best Reports – 8/23/2016

Performance-wk-8-23-2016 Performance-mth-8-23-2016 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-8-23-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 20.1%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.26% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $449,571 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-8-23-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.4%, and for the last 12 months is -1.8%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.02% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,558 which includes $39 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-8-23-2016
iM-Combo5: The model’s out of sample performance from inception is -0.8%. The benchmark SPY performance over the same period is 15.0%. Over the previous week the market value of iM-Combo5 gained 0.02% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,153 which includes $18,977 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-8-23-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -2.8%, and for the last 12 months is -5.3%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.03% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $433,038 which includes $187,883 cash and excludes $6,973 spent on fees and slippage.
Fig-8.VDIGXtrade-8-23-2016Fig-8.1.VDIGXtrade-8-23-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Since inception, on 7/1/2014, the model gained 34.44% while the benchmark SPY gained 16.26% and the ETF VDIGX gained 19.16% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.00% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $134,439 which includes $50 cash and excludes $1,240 spent on fees and slippage.
Fig-19.Best2MCsETF-8-23-2016
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is 0.0%. The benchmark SPY performance over the same period is 4.3%. Over the previous week the market value of iM-BESTOGA-3 gained -0.23% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $58 which includes $101 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-8-23-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 32.6%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.67% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $205,116 which includes $18,677 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-8-23-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is -1.3%. The benchmark SPY performance over the same period is 4.3%. Over the previous week the market value of iM-BESTOGA-3 gained -0.39% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $98,713 which includes $99 cash and excludes $121 spent on fees and slippage.
Fig-16.ShortRSL3000-8-23-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -40.4%, and for the last 12 months is -26.0%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -1.23% at a time when SPY gained -0.26%. Over the period 2/3/2014 to 8/22/2016 the starting capital of $100,000 would have grown to $8,468 which includes $16,784 cash and excludes $1,413 spent on fees and slippage.
Fig-17.BestogaX5-8-23-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -5.1%. The benchmark SPY performance over the same period is 8.1%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.28% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $94,928 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-8-23-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -14.5%, and for the last 12 months is -9.9%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Best3x4 gained -0.69% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $87,879 which includes $1,489 cash and excludes $1,507 spent on fees and slippage.
Fig-12.Best2x4-8-23-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -6.4%, and for the last 12 months is -5.2%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Best2x4 gained -0.30% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,444 which includes $2,282 cash and excludes $1,168 spent on fees and slippage.
Fig-7.USMVtrade-8-23-2016Fig-7.1.USMVtrade-8-23-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 14.9%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Since inception, on 7/1/2014, the model gained 46.56% while the benchmark SPY gained 16.26% and the ETF USMV gained 29.72% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.56% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $146,560 which includes $467 cash and excludes $2,214 spent on fees and slippage.
Fig-9.USMVQ1-8-23-2016 Fig-9.1.USMVQ1-8-23-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 20.8%, and for the last 12 months is 22.6%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Since inception, on 1/5/2015, the model gained 26.07% while the benchmark SPY gained 11.72% and the ETF USMV gained 19.13% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.67% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $126,071 which includes $130 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-8-23-2016 Fig-10.1.USMVQ2-8-23-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 18.5%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Since inception, on 3/31/2015, the model gained 17.87% while the benchmark SPY gained 7.74% and the ETF USMV gained 15.06% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.46% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $117,867 which includes $264 cash and excludes $385 spent on fees and slippage.
Fig-5.USMVQ3-8-23-2016 Fig-5.1.USMVQ3-8-23-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 27.4%, and for the last 12 months is 28.5%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Since inception, on 7/1/2014, the model gained 49.36% while the benchmark SPY gained 16.26% and the ETF USMV gained 29.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.70% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $149,357 which includes $156 cash and excludes $700 spent on fees and slippage.
Fig-6.USMVQ4-8-23-2016Fig-6.1.USMVQ4-8-23-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 37.46% while the benchmark SPY gained 14.71% and the ETF USMV gained 27.93% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.00% at a time when SPY gained -0.26%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $137,460 which includes -$39 cash and excludes $522 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-8-23-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 31.37% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-8-23-2016
iM-Best(Short): The model’s out of sample performance YTD is -10.2%, and for the last 12 months is -8.8%. Over the same period the benchmark SPY performance was 8.3% and 13.0% respectively. Over the previous week the market value of iM-Best(Short) gained 0.31% at a time when SPY gained -0.26%. Over the period 1/2/2009 to 8/22/2016 the starting capital of $100,000 would have grown to $94,067 which includes $148,937 cash and excludes $19,889 spent on fees and slippage.
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