iM-Best Reports – 5/8/2017

Performance-wk-5-9-2017 Performance-mth-5-9-2017 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-5-9-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.41% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $500,686 which includes $2,193 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-5-9-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 8.5%, and for the last 12 months is 11.4%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.67% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $136,337 which includes -$1,911 cash and excludes $3,244 spent on fees and slippage.
Fig-15.Combo5-5-9-2017
iM-Combo5: The model’s out of sample performance YTD is 10.5%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-Combo5 gained 0.69% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $108,941 which includes $991 cash and excludes $508 spent on fees and slippage.
Fig-14.Best8TaxEff-5-9-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 4.3%, and for the last 12 months is -8.9%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.71% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $410,548 which includes $29,662 cash and excludes $8,323 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-5-9-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 10.5%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Since inception, on 7/1/2014, the model gained 61.04% while the benchmark SPY gained 29.46% and VDIGX gained 26.66% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.35% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $161,039 which includes $303 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 7.3%, and since inception 4.1%. Over the same period the benchmark SPY performance was 7.7% and 16.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.24% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $46 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 5.9%, and for the last 12 months is 7.4%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.12% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $214,213 which includes $87 cash and excludes $965 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.5%, and since inception 6.4%. Over the same period the benchmark SPY performance was 7.7% and 16.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.54% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,372 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 9.5%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 2.05% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $107,946 which includes $1,607 cash and excludes $662 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-5-9-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Since inception, on 7/1/2014, the model gained 51.49% while the benchmark SPY gained 29.46% and the ETF USMV gained 37.56% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.82% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $151,486 which includes $91 cash and excludes $3,063 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-5-9-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 10.4%, and for the last 12 months is 22.7%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Since inception, on 1/5/2015, the model gained 38.87% while the benchmark SPY gained 24.41% and the ETF USMV gained 26.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.68% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $138,875 which includes $239 cash and excludes $727 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-5-9-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 7.8%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Since inception, on 3/31/2015, the model gained 24.07% while the benchmark SPY gained 19.97% and the ETF USMV gained 22.02% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.48% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $124,071 which includes $122 cash and excludes $642 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-5-9-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 6.5%, and for the last 12 months is 24.1%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Since inception, on 7/1/2014, the model gained 65.10% while the benchmark SPY gained 29.46% and the ETF USMV gained 37.56% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.46% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,101 which includes $581 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-5-9-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 53.75% while the benchmark SPY gained 27.73% and the ETF USMV gained 35.66% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.24% at a time when SPY gained 0.41%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $153,752 which includes $622 cash and excludes $827 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-5-9-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 34.42% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-5-9-2017
iM-Best(Short): The model’s out of sample performance YTD is -2.4%, and for the last 12 months is -9.3%. Over the same period the benchmark SPY performance was 7.7% and 18.9% respectively. Over the previous week the market value of iM-Best(Short) gained -1.25% at a time when SPY gained 0.41%. Over the period 1/2/2009 to 5/8/2017 the starting capital of $100,000 would have grown to $94,453 which includes $94,453 cash and excludes $21,915 spent on fees and slippage.
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