The iM-Best10 is a portfolio selection algorithm and has simulated high average annual returns for the period 1999 to 2013 using a third party portfolio simulation platform. Using the S&P 1500 as a base universe to select stock from a very high return of 49% was simulated.
The iM-Best10 portfolio management system’s strategy is to select undervalued stocks from a stock universe such as the S&P 1500. Each stock is ranked, a measure of its undervaluation, according to fixed criteria. A sell signal is generated if a held stock is below a certain rank and it is replaced by the highest ranked stock from the universe.
The subject of survivorship bias is addressed in our article Survivorship Bias: neither Myth nor Fact. We used the platform of Portfolio Simulations to test the model and generate the hypothetical simulated returns.
Below links to the descriptions of the iM-Best10 performance, all using survivorship free data
iM-Best10(S&P 1500) for high returns from the S&P 1500
The transaction history of Best10(S&P1500) has been comprehensively analysed by an independent party using a professional software package from Markov Processes International that evaluates portfolio management performance.
The iM-Best9(Russell 1000) is a derivative of the iM-Best10(S&P 1500) Portfolio Management System. It basically uses a similar algorithm and ranking criteria, however the stocks are picked from those that determine the Russel 1000 Index which represents the large-cap segment of the U.S. equity universe. When adverse stock market conditions exist, the model reduces the size of the stock holdings by 50% and buys the -1x leveraged ProShares Short S& P 500 ETF (SH).
Using a web-based stock trading simulation platform with our ranking system, and periodically rebalancing the portfolio to hold 9 of the highest ranked stocks would have produced survivorship biased free average annual returns of about 53% from Jan-2000 to end of Nov-2013. Over any 1-year period, starting at any day from Jan-2000 to Nov-2012, the return would never have been less than 14.7%. The model is appropriately named Best9(Russell 1000). Read more …
The iM-Best8+ is an improved algorithm system that periodically selects the 8 highest ranked stocks (or less when draw-down protection rules are in effect) from a segment of the market that avoids stocks of companies with very high market capitalization, and also those which operate in certain industries which have historically produced low returns for investors. Under certain adverse stock market conditions the model goes to cash and/or switches to TLT, the iShares 20 Plus Year Treasury Bond ETF. This strategy produced a high annualized growth rate of 60% for an investment made at the beginning of 1999.
A full description of the iM-Best8+ is here.
The transaction history of Best8+ has been comprehensively analysed by an independent party using a professional software package from Markov Processes International that evaluates portfolio management performance.
We endeavour to publish last Monday’s Best10 portfolio position each Friday. Whereas, if you subscribe to the model at Portfolio Simulations they will email the signals every weekend directly to you for the Monday suggested trades. We suggest that you watch the progress of this model for some time on our website, or study the real-time performance since publication from past weekly updates, before making a decision whether you want to commit any money to it. Remember this is just a model, not a recommendation to trade accordingly.
March 29, 2014
A starting capital of $100,000 at inception of 1/2/2009 would have grown to $744,712which includes $90 cash and excludes $46,761 spent on fees and slippage.
|Best10(S&P 1500)||Weekly Change|
|New Algorithm at P123 (see note on 7-29-13)|
|07/08/13||$595,782||Start of Live Trading|
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