iM-Best Reports – 3/20/2017

Performance-wk-3-21-2017 Performance-mth-3-21-2017 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-3-21-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 15.0%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.44% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $492,525 which includes $44 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-3-21-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.04% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $132,885 which includes -$2,330 cash and excludes $3,244 spent on fees and slippage.
Fig-15.Combo5-3-21-2017
iM-Combo5: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 6.3%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-Combo5 gained 0.04% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $104,978 which includes -$1,498 cash and excludes $505 spent on fees and slippage.
Fig-14.Best8TaxEff-3-21-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 3.7%, and for the last 12 months is -14.5%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.26% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $408,020 which includes $29,357 cash and excludes $8,323 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-3-21-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 22.1%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Since inception, on 7/1/2014, the model gained 54.07% while the benchmark SPY gained 27.90% and VDIGX gained 25.61% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.36% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $154,066 which includes $11,894 cash and excludes $1,501 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 6.4%, and since inception 3.2%. Over the same period the benchmark SPY performance was 6.4% and 14.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.18% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $64 which includes $106 cash and excludes Gain to date spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 9.8%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.12% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $222,230 which includes $21,730 cash and excludes $767 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.2%, and since inception 6.0%. Over the same period the benchmark SPY performance was 6.4% and 14.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.31% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,024 which includes $277 cash and excludes $525 spent on fees and slippage.
RequireGold
iM-Best10(Short Russell3000): The model’s performance YTD is -9.9%, and for the last 12 months is -40.1%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -0.69% at a time when SPY gained 0.00%. Over the period 2/3/2014 to 3/20/2017 the starting capital of $100,000 would have grown to $7,709 which includes $12,992 cash and excludes $1,723 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 6.1%, and since inception 4.5%. Over the same period the benchmark SPY performance was 6.4% and 18.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.85% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $104,545 which includes $637 cash and excludes $488 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-3-21-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.5%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Since inception, on 7/1/2014, the model gained 51.69% while the benchmark SPY gained 27.90% and the ETF USMV gained 36.33% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.13% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $151,694 which includes -$26 cash and excludes $2,937 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-3-21-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 23.1%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Since inception, on 1/5/2015, the model gained 36.67% while the benchmark SPY gained 22.90% and the ETF USMV gained 25.20% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.25% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $136,672 which includes $41 cash and excludes $707 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-3-21-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 6.5%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Since inception, on 3/31/2015, the model gained 22.50% while the benchmark SPY gained 18.52% and the ETF USMV gained 20.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.33% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $122,504 which includes $25 cash and excludes $573 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-3-21-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is 30.4%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Since inception, on 7/1/2014, the model gained 64.46% while the benchmark SPY gained 27.90% and the ETF USMV gained 36.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.36% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $164,457 which includes $113 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-3-21-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 49.44% while the benchmark SPY gained 26.20% and the ETF USMV gained 34.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.45% at a time when SPY gained 0.00%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $149,444 which includes $120 cash and excludes $827 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-3-21-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.52% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-3-21-2017
iM-Best(Short): The model’s out of sample performance YTD is -0.1%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 6.4% and 18.2% respectively. Over the previous week the market value of iM-Best(Short) gained 1.23% at a time when SPY gained 0.00%. Over the period 1/2/2009 to 3/20/2017 the starting capital of $100,000 would have grown to $96,338 which includes $115,511 cash and excludes $21,610 spent on fees and slippage.
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