iM-Best Reports – 9/19/2016

Performance-wk-9-20-2016 Performance-mth-9-20-2016 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-9-20-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 9.7%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.37% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $438,922 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-9-20-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.9%, and for the last 12 months is -2.7%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.25% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $121,908 which includes $95 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-9-20-2016
iM-Combo5: The model’s out of sample performance from inception is -1.4%. The benchmark SPY performance over the same period is 12.9%. Over the previous week the market value of iM-Combo5 gained -0.20% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $98,629 which includes $19,032 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-9-20-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -3.9%, and for the last 12 months is -5.6%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.00% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $428,133 which includes $191,212 cash and excludes $7,554 spent on fees and slippage.
Fig-8.VDIGXtrade-9-20-2016Fig-8.1.VDIGXtrade-9-20-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 11.8%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Since inception, on 7/1/2014, the model gained 30.02% while the benchmark SPY gained 14.11% and the ETF VDIGX gained 17.82% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.81% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $130,022 which includes $191 cash and excludes $1,270 spent on fees and slippage.
Fig-19.Best2MCsETF-9-20-2016
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is -3.4%. The benchmark SPY performance over the same period is 2.4%. Over the previous week the market value of iM-BESTOGA-3 gained -1.29% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $57 which includes $102 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-9-20-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 21.2%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.57% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $203,622 which includes $19,002 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-9-20-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is -1.7%. The benchmark SPY performance over the same period is 2.4%. Over the previous week the market value of iM-BESTOGA-3 gained 0.69% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $98,349 which includes $458 cash and excludes $121 spent on fees and slippage.
Fig-16.ShortRSL3000-9-20-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -40.9%, and for the last 12 months is -28.6%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 3.37% at a time when SPY gained -0.85%. Over the period 2/3/2014 to 9/19/2016 the starting capital of $100,000 would have grown to $8,396 which includes $14,314 cash and excludes $1,467 spent on fees and slippage.
Fig-17.BestogaX5-9-20-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -7.2%. The benchmark SPY performance over the same period is 6.1%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.13% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $92,847 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-9-20-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -16.0%, and for the last 12 months is -17.4%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Best3x4 gained -0.82% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $86,297 which includes $7 cash and excludes $1,591 spent on fees and slippage.
Fig-12.Best2x4-9-20-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -6.5%, and for the last 12 months is -7.1%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Best2x4 gained -0.42% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,392 which includes $1,766 cash and excludes $1,272 spent on fees and slippage.
Fig-7.USMVtrade-9-20-2016Fig-7.1.USMVtrade-9-20-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Since inception, on 7/1/2014, the model gained 39.19% while the benchmark SPY gained 14.11% and the ETF USMV gained 26.45% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.76% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $139,190 which includes -$33 cash and excludes $2,284 spent on fees and slippage.
Fig-9.USMVQ1-9-20-2016 Fig-9.1.USMVQ1-9-20-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Since inception, on 1/5/2015, the model gained 20.01% while the benchmark SPY gained 9.65% and the ETF USMV gained 16.13% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -2.26% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $120,010 which includes $217 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-9-20-2016 Fig-10.1.USMVQ2-9-20-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 16.3%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Since inception, on 3/31/2015, the model gained 10.24% while the benchmark SPY gained 5.74% and the ETF USMV gained 12.16% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -2.43% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $110,243 which includes $103 cash and excludes $386 spent on fees and slippage.
Fig-5.USMVQ3-9-20-2016 Fig-5.1.USMVQ3-9-20-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 21.1%, and for the last 12 months is 23.1%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Since inception, on 7/1/2014, the model gained 42.00% while the benchmark SPY gained 14.11% and the ETF USMV gained 26.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.89% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $141,999 which includes -$126 cash and excludes $725 spent on fees and slippage.
Fig-6.USMVQ4-9-20-2016Fig-6.1.USMVQ4-9-20-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 32.80% while the benchmark SPY gained 12.58% and the ETF USMV gained 24.70% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.75% at a time when SPY gained -0.85%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $132,795 which includes $102 cash and excludes $535 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-20-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 27.98% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-9-20-2016
iM-Best(Short): The model’s out of sample performance YTD is -7.3%, and for the last 12 months is -10.4%. Over the same period the benchmark SPY performance was 6.3% and 11.5% respectively. Over the previous week the market value of iM-Best(Short) gained 4.11% at a time when SPY gained -0.85%. Over the period 1/2/2009 to 9/19/2016 the starting capital of $100,000 would have grown to $97,067 which includes $116,091 cash and excludes $20,239 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