Home › pmp › pmp SPY-SH › iM-Best Reports – 1/3/2-17

iM-Best Reports – 1/3/2-17

Performance-wk-1-4-2017 Performance-mth-1-4-2017 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-1-4-2017
 iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.8%, and for the last 12 months is 7.1%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.46% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $465,779 which includes -$2,720 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-1-4-2017
 iM-Combo3.R1: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.80% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $126,849 which includes $182 cash and excludes $3,149 spent on fees and slippage.
Fig-15.Combo5-1-4-2017
 iM-Combo5: The model’s out of sample performance YTD is 0.6%, and since inception -0.8%. Over the same period the benchmark SPY performance was 0.8% and 19.8% respectively. Over the previous week the market value of iM-Combo5 gained -0.10% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,198 which includes -$1,191 cash and excludes $377 spent on fees and slippage.
Fig-14.Best8TaxEff-1-4-2017
 The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -0.6%, and for the last 12 months is -12.2%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.60% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $391,164 which includes $154,726 cash and excludes $7,837 spent on fees and slippage.
Fig-8.VDIGXtrade-1-4-2017Fig-8.1.VDIGXtrade-1-4-2017
 iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 17.1%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Since inception, on 7/1/2014, the model gained 47.57% while the benchmark SPY gained 21.14% and the ETF VDIGX gained 16.73% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.09% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $147,429 which includes $428 cash and excludes $1,491 spent on fees and slippage.
Fig-19.Best2MCsETF-1-4-2017
 iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 0.3%, and since inception -2.8%. Over the same period the benchmark SPY performance was 0.8% and 8.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.11% at a time when SPY gained -0.46%. 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.Bestoga3-1-4-2017
 iM-BESTOGA-3: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 10.3%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.04% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $202,720 which includes $20,366 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-1-4-2017
 iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -0.2%, and since inception 2.6%. Over the same period the benchmark SPY performance was 0.8% and 8.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.86% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $102,590 which includes $501 cash and excludes $411 spent on fees and slippage.
Fig-16.ShortRSL3000-1-4-2017
 iM-Best10(Short Russell3000): The model’s performance YTD is -0.6%, and for the last 12 months is -40.2%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 1.11% at a time when SPY gained -0.46%. Over the period 2/3/2014 to 1/3/2017 the starting capital of $100,000 would have grown to $8,498 which includes $13,521 cash and excludes $1,635 spent on fees and slippage.
Fig-17.BestogaX5-1-4-2017
 iM-BestogaX5-System: The model’s out of sample performance YTD is -0.6%, and since inception -2.0%. Over the same period the benchmark SPY performance was 0.8% and 12.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.92% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $97,977 which includes $22,257 cash and excludes $415 spent on fees and slippage.
Fig-7.USMVtrade-1-4-2017Fig-7.1.USMVtrade-1-4-2017
 iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 0.8%, and for the last 12 months is 10.5%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Since inception, on 7/1/2014, the model gained 40.94% while the benchmark SPY gained 21.14% and the ETF USMV gained 28.38% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.21% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $140,941 which includes $223 cash and excludes $2,764 spent on fees and slippage.
Fig-9.USMVQ1-1-4-2017 Fig-9.1.USMVQ1-1-4-2017
 iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 21.3%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Since inception, on 1/5/2015, the model gained 26.56% while the benchmark SPY gained 16.42% and the ETF USMV gained 17.90% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.39% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $126,561 which includes -$71 cash and excludes $620 spent on fees and slippage.
Fig-10.USMVQ2-1-4-2017 Fig-10.1.USMVQ2-1-4-2017
 iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Since inception, on 3/31/2015, the model gained 16.10% while the benchmark SPY gained 12.26% and the ETF USMV gained 13.87% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.29% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $116,099 which includes $111 cash and excludes $554 spent on fees and slippage.
Fig-5.USMVQ3-1-4-2017 Fig-5.1.USMVQ3-1-4-2017
 iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 32.8%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Since inception, on 7/1/2014, the model gained 55.75% while the benchmark SPY gained 21.14% and the ETF USMV gained 28.38% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.27% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $155,748 which includes -$225 cash and excludes $891 spent on fees and slippage.
Fig-6.USMVQ4-1-4-2017Fig-6.1.USMVQ4-1-4-2017
 iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 39.47% while the benchmark SPY gained 19.53% and the ETF USMV gained 26.61% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.36% at a time when SPY gained -0.46%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $139,469 which includes $162 cash and excludes $755 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-4-2017
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 30.31% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-4-2017
 iM-Best(Short): The model’s out of sample performance YTD is 0.2%, and for the last 12 months is -7.4%. Over the same period the benchmark SPY performance was 0.8% and 12.9% respectively. Over the previous week the market value of iM-Best(Short) gained 0.53% at a time when SPY gained -0.46%. Over the period 1/2/2009 to 1/3/2017 the starting capital of $100,000 would have grown to $96,972 which includes $96,972 cash and excludes $21,068 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