iM-Best Reports – 9/6/2016

Performance-wk-9-7-2016 Performance-mth-9-7-2016 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-9-7-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.31% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $450,613 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-9-7-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.4%, and for the last 12 months is -1.6%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.03% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,516 which includes $39 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-9-7-2016
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 0.04% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,118 which includes $18,977 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-9-7-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -4.6%, and for the last 12 months is -5.1%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.21% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $425,048 which includes $208,026 cash and excludes $7,131 spent on fees and slippage.
Fig-8.VDIGXtrade-9-7-2016Fig-8.1.VDIGXtrade-9-7-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Since inception, on 7/1/2014, the model gained 33.82% while the benchmark SPY gained 16.53% and the ETF VDIGX gained 18.47% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.34% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $133,818 which includes $80 cash and excludes $1,270 spent on fees and slippage.
Fig-19.Best2MCsETF-9-7-2016
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 4.6%. Over the previous week the market value of iM-BESTOGA-3 gained 0.48% at a time when SPY gained 0.31%. 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.Bestoga3-9-7-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 15.6%, and for the last 12 months is 40.9%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.20% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $212,349 which includes $18,677 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-9-7-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is -1.0%. The benchmark SPY performance over the same period is 4.6%. Over the previous week the market value of iM-BESTOGA-3 gained 0.71% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $98,968 which includes $245 cash and excludes $121 spent on fees and slippage.
Fig-16.ShortRSL3000-9-7-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -42.4%, and for the last 12 months is -27.6%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -3.21% at a time when SPY gained 0.31%. Over the period 2/3/2014 to 9/6/2016 the starting capital of $100,000 would have grown to $8,180 which includes $16,577 cash and excludes $1,454 spent on fees and slippage.
Fig-17.BestogaX5-9-7-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -4.2%. The benchmark SPY performance over the same period is 8.3%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.43% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $95,763 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-9-7-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -16.3%, and for the last 12 months is -15.3%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Best3x4 gained -0.37% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $86,027 which includes $1,113 cash and excludes $1,538 spent on fees and slippage.
Fig-12.Best2x4-9-7-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -7.8%, and for the last 12 months is -5.5%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Best2x4 gained -0.57% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $91,099 which includes $1,891 cash and excludes $1,218 spent on fees and slippage.
Fig-7.USMVtrade-9-7-2016Fig-7.1.USMVtrade-9-7-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 12.7%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Since inception, on 7/1/2014, the model gained 43.78% while the benchmark SPY gained 16.53% and the ETF USMV gained 29.86% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.18% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $143,779 which includes $142 cash and excludes $2,262 spent on fees and slippage.
Fig-9.USMVQ1-9-7-2016 Fig-9.1.USMVQ1-9-7-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 19.6%, and for the last 12 months is 25.3%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Since inception, on 1/5/2015, the model gained 24.75% while the benchmark SPY gained 11.98% and the ETF USMV gained 19.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.61% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $124,747 which includes $188 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-9-7-2016 Fig-10.1.USMVQ2-9-7-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.4%, and for the last 12 months is 22.3%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Since inception, on 3/31/2015, the model gained 14.80% while the benchmark SPY gained 7.98% and the ETF USMV gained 15.19% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.17% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $114,802 which includes $33 cash and excludes $386 spent on fees and slippage.
Fig-5.USMVQ3-9-7-2016 Fig-5.1.USMVQ3-9-7-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 25.9%, and for the last 12 months is 31.1%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Since inception, on 7/1/2014, the model gained 47.62% while the benchmark SPY gained 16.53% and the ETF USMV gained 29.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.24% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $147,624 which includes $217 cash and excludes $700 spent on fees and slippage.
Fig-6.USMVQ4-9-7-2016Fig-6.1.USMVQ4-9-7-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 37.91% while the benchmark SPY gained 14.97% and the ETF USMV gained 28.07% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.35% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $137,910 which includes $121 cash and excludes $522 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-7-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 30.48% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-9-7-2016
iM-Best(Short): The model’s out of sample performance YTD is -11.8%, and for the last 12 months is -16.3%. Over the same period the benchmark SPY performance was 8.6% and 16.2% respectively. Over the previous week the market value of iM-Best(Short) gained -2.28% at a time when SPY gained 0.31%. Over the period 1/2/2009 to 9/6/2016 the starting capital of $100,000 would have grown to $92,314 which includes $129,751 cash and excludes $20,067 spent on fees and slippage.
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