iM-Best Reports – 1/17/2017

Performance-wk-1-18-2017 Performance-mth-1-18-2017 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-1-18-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is -0.7%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.09% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $467,880 which includes -$2,720 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-1-18-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 3.6%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.16% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $128,082 which includes $182 cash and excludes $3,149 spent on fees and slippage.
Fig-15.Combo5-1-18-2017
iM-Combo5: The model’s out of sample performance YTD is 1.6%, and since inception 0.2%. Over the same period the benchmark SPY performance was 1.2% and 20.4% respectively. Over the previous week the market value of iM-Combo5 gained 0.25% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $100,219 which includes -$1,191 cash and excludes $377 spent on fees and slippage.
Fig-14.Best8TaxEff-1-18-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -2.5%, and for the last 12 months is -9.2%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.67% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $383,731 which includes -$43,279 cash and excludes $8,236 spent on fees and slippage.
Fig-8.VDIGXtrade-1-18-2017Fig-8.1.VDIGXtrade-1-18-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 25.5%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Since inception, on 7/1/2014, the model gained 48.43% while the benchmark SPY gained 21.69% and the ETF VDIGX gained 19.58% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.29% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $148,431 which includes $565 cash and excludes $1,491 spent on fees and slippage.
Fig-19.Best2MCsETF-1-18-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 1.0%, and since inception -2.1%. Over the same period the benchmark SPY performance was 1.2% and 9.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.79% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $746 which includes $105 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-1-18-2017
iM-BESTOGA-3: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.84% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $205,094 which includes $21,406 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-1-18-2017
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 1.2%, and since inception 4.0%. Over the same period the benchmark SPY performance was 1.2% and 9.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.64% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $103,997 which includes $45 cash and excludes $450 spent on fees and slippage.
Fig-16.ShortRSL3000-1-18-2017
iM-Best10(Short Russell3000): The model’s performance YTD is 0.4%, and for the last 12 months is -42.0%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 0.82% at a time when SPY gained -0.09%. Over the period 2/3/2014 to 1/17/2017 the starting capital of $100,000 would have grown to $8,586 which includes $15,235 cash and excludes $1,645 spent on fees and slippage.
Fig-17.BestogaX5-1-18-2017
iM-BestogaX5-System: The model’s out of sample performance YTD is -0.1%, and since inception -1.6%. Over the same period the benchmark SPY performance was 1.2% and 13.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.43% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $98,448 which includes $1,215 cash and excludes $466 spent on fees and slippage.
Fig-7.USMVtrade-1-18-2017Fig-7.1.USMVtrade-1-18-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 2.8%, and for the last 12 months is 21.1%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Since inception, on 7/1/2014, the model gained 43.74% while the benchmark SPY gained 21.69% and the ETF USMV gained 29.34% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.53% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $143,735 which includes $159 cash and excludes $2,785 spent on fees and slippage.
Fig-9.USMVQ1-1-18-2017 Fig-9.1.USMVQ1-1-18-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 30.8%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Since inception, on 1/5/2015, the model gained 28.07% while the benchmark SPY gained 16.94% and the ETF USMV gained 18.78% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.36% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $128,068 which includes $145 cash and excludes $620 spent on fees and slippage.
Fig-10.USMVQ2-1-18-2017 Fig-10.1.USMVQ2-1-18-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 26.3%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Since inception, on 3/31/2015, the model gained 17.42% while the benchmark SPY gained 12.76% and the ETF USMV gained 14.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.26% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $117,424 which includes -$142 cash and excludes $573 spent on fees and slippage.
Fig-5.USMVQ3-1-18-2017 Fig-5.1.USMVQ3-1-18-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 44.4%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Since inception, on 7/1/2014, the model gained 57.70% while the benchmark SPY gained 21.69% and the ETF USMV gained 29.34% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.60% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $157,701 which includes -$340 cash and excludes $916 spent on fees and slippage.
Fig-6.USMVQ4-1-18-2017Fig-6.1.USMVQ4-1-18-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 41.31% while the benchmark SPY gained 20.07% and the ETF USMV gained 27.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.57% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $141,305 which includes -$135 cash and excludes $805 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-18-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 31.36% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-18-2017
iM-Best(Short): The model’s out of sample performance YTD is -0.2%, and for the last 12 months is -14.1%. Over the same period the benchmark SPY performance was 1.2% and 23.1% respectively. Over the previous week the market value of iM-Best(Short) gained -0.46% at a time when SPY gained -0.09%. Over the period 1/2/2009 to 1/17/2017 the starting capital of $100,000 would have grown to $96,547 which includes $115,910 cash and excludes $21,169 spent on fees and slippage.
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