Home › pmp › pmp SPY-SH › iM-Best Reports – 1/30/2017

iM-Best Reports – 1/30/2017

Performance-wk-1-31-2017 Performance-mth-1-31-2017 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-1-31-2017
 iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 3.1%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.62% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $470,584 which includes -$2,720 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-1-31-2017
 iM-Combo3.R1: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is 6.0%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.29% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $128,574 which includes $182 cash and excludes $3,149 spent on fees and slippage.
Fig-15.Combo5-1-31-2017
 iM-Combo5: The model’s out of sample performance YTD is 1.4%, and since inception 0.0%. Over the same period the benchmark SPY performance was 1.8% and 21.1% respectively. Over the previous week the market value of iM-Combo5 gained -0.06% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $100,012 which includes -$1,191 cash and excludes $377 spent on fees and slippage.
Fig-14.Best8TaxEff-1-31-2017
 The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -3.8%, and for the last 12 months is -13.0%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.01% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $378,595 which includes -$43,105 cash and excludes $8,236 spent on fees and slippage.
Fig-8.VDIGXtrade-1-31-2017Fig-8.1.VDIGXtrade-1-31-2017
 iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 21.6%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Since inception, on 7/1/2014, the model gained 48.42% while the benchmark SPY gained 22.39% and the ETF VDIGX gained 19.63% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.27% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $148,415 which includes $565 cash and excludes $1,491 spent on fees and slippage.
Fig-19.Best2MCsETF-1-31-2017
 iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 1.1%, and since inception -2.0%. Over the same period the benchmark SPY performance was 1.8% and 9.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.13% at a time when SPY gained 0.62%. 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.Bestoga3-1-31-2017
 iM-BESTOGA-3: The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 11.7%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.33% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $207,444 which includes $21,406 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-1-31-2017
 iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -0.1%, and since inception 2.6%. Over the same period the benchmark SPY performance was 1.8% and 9.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.16% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $102,635 which includes $61 cash and excludes $487 spent on fees and slippage.
Fig-16.ShortRSL3000-1-31-2017
 iM-Best10(Short Russell3000): The model’s performance YTD is -1.9%, and for the last 12 months is -39.1%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -2.57% at a time when SPY gained 0.62%. Over the period 2/3/2014 to 1/30/2017 the starting capital of $100,000 would have grown to $8,387 which includes $15,070 cash and excludes $1,667 spent on fees and slippage.
Fig-17.BestogaX5-1-31-2017
 iM-BestogaX5-System: The model’s out of sample performance YTD is 2.1%, and since inception 0.6%. Over the same period the benchmark SPY performance was 1.8% and 13.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.95% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $100,637 which includes $446 cash and excludes $488 spent on fees and slippage.
Fig-7.USMVtrade-1-31-2017Fig-7.1.USMVtrade-1-31-2017
 iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 18.8%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Since inception, on 7/1/2014, the model gained 44.43% while the benchmark SPY gained 22.39% and the ETF USMV gained 29.34% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.62% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $144,434 which includes $120 cash and excludes $2,810 spent on fees and slippage.
Fig-9.USMVQ1-1-31-2017 Fig-9.1.USMVQ1-1-31-2017
 iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 30.4%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Since inception, on 1/5/2015, the model gained 30.49% while the benchmark SPY gained 17.61% and the ETF USMV gained 18.78% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.82% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $130,488 which includes $195 cash and excludes $662 spent on fees and slippage.
Fig-10.USMVQ2-1-31-2017 Fig-10.1.USMVQ2-1-31-2017
 iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 23.1%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Since inception, on 3/31/2015, the model gained 17.64% while the benchmark SPY gained 13.41% and the ETF USMV gained 14.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.46% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $117,640 which includes -$66 cash and excludes $573 spent on fees and slippage.
Fig-5.USMVQ3-1-31-2017 Fig-5.1.USMVQ3-1-31-2017
 iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 40.8%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Since inception, on 7/1/2014, the model gained 57.96% while the benchmark SPY gained 22.39% and the ETF USMV gained 29.34% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.09% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $157,964 which includes -$180 cash and excludes $916 spent on fees and slippage.
Fig-6.USMVQ4-1-31-2017Fig-6.1.USMVQ4-1-31-2017
 iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 43.03% while the benchmark SPY gained 20.76% and the ETF USMV gained 27.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.96% at a time when SPY gained 0.62%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $143,031 which includes $8 cash and excludes $805 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-31-2017
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 32.13% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-31-2017
 iM-Best(Short): The model’s out of sample performance YTD is -0.6%, and for the last 12 months is -15.4%. Over the same period the benchmark SPY performance was 1.8% and 20.0% respectively. Over the previous week the market value of iM-Best(Short) gained -0.68% at a time when SPY gained 0.62%. Over the period 1/2/2009 to 1/30/2017 the starting capital of $100,000 would have grown to $96,172 which includes $114,630 cash and excludes $21,251 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