iM-Best Reports – 4/24/2017

Performance-wk-4-25-2017 Performance-mth-4-25-2017 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-4-25-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 18.1%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.11% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $493,357 which includes $44 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-4-25-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.69% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $133,529 which includes -$2,109 cash and excludes $3,244 spent on fees and slippage.
Fig-15.Combo5-4-25-2017
iM-Combo5: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is 6.7%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-Combo5 gained 2.09% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $106,064 which includes -$1,388 cash and excludes $505 spent on fees and slippage.
Fig-14.Best8TaxEff-4-25-2017
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 -17.5%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.06% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $408,176 which includes $29,357 cash and excludes $8,323 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-4-25-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 18.2%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Since inception, on 7/1/2014, the model gained 55.42% while the benchmark SPY gained 28.12% and VDIGX gained 26.00% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.36% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $155,421 which includes $67 cash and excludes $1,513 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 7.6%, and since inception 4.3%. Over the same period the benchmark SPY performance was 6.6% and 15.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.75% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $18 which includes $107 cash and excludes Gain to date spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.03% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $217,582 which includes $22,770 cash and excludes $767 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.4%, and since inception 6.3%. Over the same period the benchmark SPY performance was 6.6% and 15.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -2.31% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,253 which includes $30 cash and excludes $785 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 7.6%, and for the last 12 months is 11.4%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.73% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $106,067 which includes $1,374 cash and excludes $662 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-4-25-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 10.0%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Since inception, on 7/1/2014, the model gained 49.65% while the benchmark SPY gained 28.12% and the ETF USMV gained 37.41% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.92% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $149,651 which includes -$50 cash and excludes $2,962 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-4-25-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Since inception, on 1/5/2015, the model gained 36.95% while the benchmark SPY gained 23.12% and the ETF USMV gained 26.19% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.02% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $136,953 which includes $239 cash and excludes $727 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-4-25-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Since inception, on 3/31/2015, the model gained 22.35% while the benchmark SPY gained 18.72% and the ETF USMV gained 21.88% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.66% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $122,350 which includes $122 cash and excludes $619 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-4-25-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 24.2%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Since inception, on 7/1/2014, the model gained 64.10% while the benchmark SPY gained 28.12% and the ETF USMV gained 37.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.16% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $164,095 which includes $311 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-4-25-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 49.89% while the benchmark SPY gained 26.41% and the ETF USMV gained 35.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.51% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $149,890 which includes $386 cash and excludes $827 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-25-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.48% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-4-25-2017
iM-Best(Short): The model’s out of sample performance YTD is -1.1%, and for the last 12 months is -8.8%. Over the same period the benchmark SPY performance was 6.6% and 15.8% respectively. Over the previous week the market value of iM-Best(Short) gained -0.09% at a time when SPY gained 1.11%. Over the period 1/2/2009 to 4/24/2017 the starting capital of $100,000 would have grown to $95,721 which includes $95,721 cash and excludes $21,832 spent on fees and slippage.
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