iM-Best Reports – 4/3/2017

Performance-wk-4-4-2017 Performance-mth-4-4-2017 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
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $489,530 which includes $44 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is 7.7%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.04% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $132,122 which includes -$2,109 cash and excludes $3,244 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is 4.4%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-Combo5 gained 1.22% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $104,640 which includes -$1,388 cash and excludes $505 spent on fees and slippage.
RequireSilver
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 2.7%, and for the last 12 months is -15.8%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.13% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $404,159 which includes $29,357 cash and excludes $8,323 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-4-4-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Since inception, on 7/1/2014, the model gained 52.63% while the benchmark SPY gained 27.12% and VDIGX gained 23.80% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.41% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $152,627 which includes $12,103 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 5.8%, and since inception 2.6%. Over the same period the benchmark SPY performance was 5.7% and 14.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.11% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $59 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 6.4%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.96% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $215,410 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 4.5%, and since inception 7.3%. Over the same period the benchmark SPY performance was 5.7% and 14.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.14% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $107,334 which includes $258 cash and excludes $747 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.00% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $103,651 which includes $395 cash and excludes $586 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-4-4-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 10.4%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Since inception, on 7/1/2014, the model gained 48.84% while the benchmark SPY gained 27.12% and the ETF USMV gained 35.54% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.01% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $148,842 which includes $15 cash and excludes $2,937 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-4-4-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 7.1%, and for the last 12 months is 20.7%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Since inception, on 1/5/2015, the model gained 34.71% while the benchmark SPY gained 22.16% and the ETF USMV gained 24.47% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.22% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $134,706 which includes $121 cash and excludes $707 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-4-4-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 13.6%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Since inception, on 3/31/2015, the model gained 21.34% while the benchmark SPY gained 17.80% and the ETF USMV gained 20.22% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.17% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $121,345 which includes $183 cash and excludes $573 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-4-4-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 28.4%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Since inception, on 7/1/2014, the model gained 62.81% while the benchmark SPY gained 27.12% and the ETF USMV gained 35.54% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.38% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $162,814 which includes $202 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-4-4-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 48.16% while the benchmark SPY gained 25.43% and the ETF USMV gained 33.67% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.47% at a time when SPY gained 0.73%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $148,160 which includes $298 cash and excludes $827 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-4-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 32.72% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is 0.1%, and for the last 12 months is -5.4%. Over the same period the benchmark SPY performance was 5.7% and 16.1% respectively. Over the previous week the market value of iM-Best(Short) gained 0.11% at a time when SPY gained 0.73%. Over the period 1/2/2009 to 4/3/2017 the starting capital of $100,000 would have grown to $96,893 which includes $115,804 cash and excludes $21,650 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
Share This