iM-Best Reports – 2/13/2017

Performance-wk-2-14-2017 Performance-mth-2-14-2017 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-2-14-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 4.8%, and for the last 12 months is 2.4%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.68% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $484,205 which includes $44 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-2-14-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 4.4%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.09% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $131,088 which includes $501 cash and excludes $3,149 spent on fees and slippage.
Fig-15.Combo5-2-14-2017
iM-Combo5: The model’s out of sample performance YTD is 3.9%, and since inception 2.5%. Over the same period the benchmark SPY performance was 4.1% and 23.8% respectively. Over the previous week the market value of iM-Combo5 gained 1.77% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $102,516 which includes -$193 cash and excludes $460 spent on fees and slippage.
Fig-14.Best8TaxEff-2-14-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -0.4%, and for the last 12 months is -9.5%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.78% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $391,864 which includes -$43,105 cash and excludes $8,236 spent on fees and slippage.
Fig-8.VDIGXtrade-2-14-2017Fig-8.1.VDIGXtrade-2-14-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 4.2%, and for the last 12 months is 28.6%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Since inception, on 7/1/2014, the model gained 51.88% while the benchmark SPY gained 25.19% and VDIGX gained 21.99% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.83% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $151,885 which includes $865 cash and excludes $1,491 spent on fees and slippage.
Fig-19.Best2MCsETF-2-14-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 1.7%, and since inception -1.4%. Over the same period the benchmark SPY performance was 2.4% and 10.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.55% at a time when SPY gained 0.61%. 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.Bestoga3-2-14-2017
iM-BESTOGA-3: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 18.1%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.81% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $211,677 which includes $21,406 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-2-14-2017
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.0%, and since inception 5.9%. Over the same period the benchmark SPY performance was 4.1% and 12.3% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.17% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,851 which includes $61 cash and excludes $487 spent on fees and slippage.
Fig-16.ShortRSL3000-2-14-2017
iM-Best10(Short Russell3000): The model’s performance YTD is -5.9%, and for the last 12 months is -44.0%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -1.89% at a time when SPY gained 1.68%. Over the period 2/3/2014 to 2/13/2017 the starting capital of $100,000 would have grown to $8,044 which includes $12,045 cash and excludes $1,682 spent on fees and slippage.
Fig-17.BestogaX5-2-14-2017
iM-BestogaX5-System: The model’s out of sample performance YTD is 5.4%, and since inception 3.9%. Over the same period the benchmark SPY performance was 4.1% and 16.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 2.42% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $103,847 which includes $540 cash and excludes $488 spent on fees and slippage.
Fig-7.USMVtrade-2-14-2017Fig-7.1.USMVtrade-2-14-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 21.2%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Since inception, on 7/1/2014, the model gained 49.66% while the benchmark SPY gained 25.19% and the ETF USMV gained 32.12% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.94% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $149,657 which includes $140 cash and excludes $2,860 spent on fees and slippage.
Fig-9.USMVQ1-2-14-2017 Fig-9.1.USMVQ1-2-14-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 6.5%, and for the last 12 months is 31.3%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Since inception, on 1/5/2015, the model gained 33.99% while the benchmark SPY gained 20.31% and the ETF USMV gained 21.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.51% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $133,991 which includes $48 cash and excludes $685 spent on fees and slippage.
Fig-10.USMVQ2-2-14-2017 Fig-10.1.USMVQ2-2-14-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 5.3%, and for the last 12 months is 23.5%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Since inception, on 3/31/2015, the model gained 21.15% while the benchmark SPY gained 16.01% and the ETF USMV gained 17.19% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.27% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $121,148 which includes -$8 cash and excludes $573 spent on fees and slippage.
Fig-5.USMVQ3-2-14-2017 Fig-5.1.USMVQ3-2-14-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 41.4%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Since inception, on 7/1/2014, the model gained 62.74% while the benchmark SPY gained 25.19% and the ETF USMV gained 32.12% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.36% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $162,739 which includes -$62 cash and excludes $948 spent on fees and slippage.
Fig-6.USMVQ4-2-14-2017Fig-6.1.USMVQ4-2-14-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 47.40% while the benchmark SPY gained 23.52% and the ETF USMV gained 30.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.68% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $147,397 which includes $112 cash and excludes $805 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-2-14-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.61% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-2-14-2017
iM-Best(Short): The model’s out of sample performance YTD is -1.3%, and for the last 12 months is -15.8%. Over the same period the benchmark SPY performance was 4.1% and 27.4% respectively. Over the previous week the market value of iM-Best(Short) gained -0.14% at a time when SPY gained 1.68%. Over the period 1/2/2009 to 2/13/2017 the starting capital of $100,000 would have grown to $95,551 which includes $95,551 cash and excludes $21,311 spent on fees and slippage.
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