iM-BestX Portfolio Management Systems

iM-Best10

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

CaptureThe 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.

Download pdf report here.


 

iM-Best9

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 …


 

iM-Best8+

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.

CaptureThe 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.

Download pdf report here.


 

 

Weekly Update

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

Best10 3-24-14Currently the portfolio holds 10 stocks, 7 of them winners, so far held for an average period of 24 days, and showing combined 1.55% average return to 3/24/2014

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.

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Best10(S&P 1500) Weekly Change
Date Mkt. Value Best10 SPY
03/24/14 $744,712 -0.15% -0.04
03/17/14 $745,830 -0.92% -0.97%
03/10/14 $752,747 1.42% 1.72%
03/03/14 $742,164 0.68% 0.04%
02/24/14 $737,186 0.14% 0.36%
02/18/14 $736,126 2.99% 2.35%
02/10/14 $714,757 2.31% 3.35%
02/03/14 $698,639 -2.60% -2.16%
01/27/14 $717,288 -3.83% -3.35%
01/21/14 $745,878 1.10% 1.37%
01/13/14 $737,765 0.86% -0.37%
01/06/14 $731,483 -0.49% -0.79%
12/30/13 $735,108 3.12% 0.71%
12/23/13 $712,843 2.75% 2.40%
12/16/13 $693,781 -0.46% -1.21%
12/09/13 $697,019 0.08% 0.48%
12/02/13 $696,480 0.43% -0.06%
11/25/13 $693,493 0.38% 0.67%
11/18/13 $690,839 2.54% 1.19%
11/11/13 $673,755 3.13% 0.28%
11/04/13 $653,289 3.84% 0.34%
10/28/13 $629,132 -0.31% 1.05%
10/21/13 $631,108 1.50% 2.02%
10/14/13 $621,752 2.60% 2.10%
10/07/13 $606,001 -0.29% -0.35%
09/30/13 $607,761 -0.72% -1.13%
09/23/17 $612,195 -0.58% -0.18%
09/17/13 $615,742 0.45% 2.05%
09/09/13 $612,992 3.09% 1.97%
09/03/13 $583,574 -2.53% -0.97%
08/26/13 $598,698 1.20% 0.74%
08/19/13 $591,625 -3.59% -2.57%
08/12/13 $613,680 -0.16% -0.93%
08/05/13 $614,653 3.39% 1.25%
07/29/13 $594,511 -0.22% -0.54%
New Algorithm at P123 (see note on 7-29-13)
07/22/13 $618,264 -0.63% 0.80%
07/15/13 $622,406  4.47%  2.57%
07/08/13 $595,782 Start of Live Trading
01/02/09 $100,000 Best10 Inception


35 Comments


 

iM-BestX News

By subscribing to the dedicated iM-BestX News mailing list, you will be updated of any new developments regarding the iM_BestX Portfolio Management System models. This would include news of new models launched and when slots become vacant in the oversubscribed R2G models.

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iM-Best Systems

Quick Comparison

Perf Table 3-31-14click to enlarge


Quick Links to Model Descriptions

iM-Best10(S&P 1500): A Portfolio Management System for High Returns from the S&P 1500

iM-Best9(Russell 1000) – Large-Cap Portfolio Management System

iM-Best8+ Portfolio Management System

iM-Best(SPY-SH) Market Timing System: Gains for Up and Down Markets

iM-Best1(Sector SPDR)  Rotation System

iM-Best(SSO-TLT) Switching System

iM-Best Combo3: Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT)

iM-Best(SPY-Cash) Market Timing System

iM-Best(SSO-SDS): Beating the Market with Leveraged ETFs

Survivorship Bias: neither Myth nor Fact


Quick links to iM-Best weekly updates

iM-Best10(S&P1500) Weekly Update (delayed)

Best(SPY-SH) Weekly Update (near real time)


Quick Links to Ready-2-Go Models

Best10(S&P1500)

Best9(Russell 1000)

Best8+

Best(SPY-SH) Gains for Up & Down Markets

Best1(Sector SPDR)*

Best(SSO-TLT)

When subscribing to P123 please use this link or enter token IMARKETSIGNALS when registering to obtain 30 days free membership.


Disclaimer: The opinions in this document are for informational and educational purposes only and are obtained from a mathematical algorithm and should not be construed as a recommendation to buy or sell the stocks mentioned. Past performance of the companies may not continue and the companies’ stock values may decline. The information in this document is believed to be accurate and represents the output of a mathematical algorithm, and under no circumstances should a person act upon the information contained within. We do not recommend that anyone act upon any investment information without first consulting an investment advisor as to the suitability of such investments for his specific situation. Also see our Terms of Use/Disclaimer.

Disclaimer: The opinions in this document are for informational and educational purposes only and should not be construed as a recommendation to buy or sell the stocks mentioned. Past performance of the companies may not continue and the companies’ stock values may decline. The information in this document is believed to be accurate, but under no circumstances should a person act upon the information contained within. We do not recommend that anyone act upon any investment information without first consulting an investment advisor as to the suitability of such investments for his specific situation. Also see our Terms of Use/Disclaimer.

35 comments on “iM-BestX Portfolio Management Systems
  1. jkirkman1 says:

    I love this site!

  2. mfprout says:

    Georg, when will the Best 10 be activated so that we can see the list each day/week. Thanks for all your work. Maurice.

    • geovrba says:

      Maurice, the first model Best10(S&P1500) is ready for publication, and we are waiting for the editor’s comments. This model provided a 49% (survivorship biased free) annualized return over the last 14.5 years.

  3. Blukieduug says:

    Neat study – looking forward to seeing the details.

  4. knp says:

    Dear Mr Vrba your hard work in publishing this food for thought research is well appreciated.How and when we can see updated the the Best+10 list can be seen

    • geovrba says:

      We will be publishing the survivor bias free Best10(S&P1500) model early next week. One can already view the returns for this model in the R2G section of the Portfolio Simulations site, but it is not open for subscription yet.

      We will be providing weekly updates for this model here soon.

  5. pzhang888 says:

    Dear Georg, on Portfolio Simulations, your system charges $80/month.
    are you going to provide here the same system for free next week?
    One question, in reality can this high performance model generate
    the return closer to 48%/year in the long run? I realise that the backtesting results can’t guarantee the future performance, I will be very happy if the realtime result is only half of 48%.
    How long can you provide free updates of your system before you
    start to charge when the performance is consistent.

    • geovrba says:

      We will not provide trading signals on our site. Portfolio Simulations does send out emails with new trade recommendations generated by the model over the weekend, so one can trade on Monday morning.

      We intend to update the model every Friday to show the holdings and portfolio value as of the previous Monday. So there is almost a week delay. I suggest that one watches the performance of this model on our site before subscribing and paying to get timely trade signals.

  6. sward5 says:

    In order to get real time trading signals from Portfolio Simulations do I have to choose a membership level (lite\individual\pro) and pay an additional $80\month for Best 10+?

    When will you start to post the delayed update to the model on your website? This Friday (July 12th)?

    • geovrba says:

      The minimum membership at Portfolio Simulations is Lite. They considering implementing a R2G membership at a lower price. Additional to this there is the subscription fee for the model. For this one will get email notification of trades.

      We are in the final stages of preparing for the weekly updates for Best10(S&P1500) and Best10(S&P500) models.

  7. GFMurphyPMP says:

    Is it possible for you to just post the current list of 10 stocks until you get the full system published to the site? I have been looking for a system for some time now, and really like the results and backtesting of this system. Unfortunately, it is impossible to follow this system without the list of 10 stocks.

    I tried to mimick your criterea in various stock screeners, but several of your criteria are not included on stock screeners. Can you give us anything?; anything at all to get started? Can’t you just post the ten stocks on Manday here in this forum?

    Thanks,
    G

  8. sward5 says:

    Looking forward to Friday July 12th. If Best10+ has better risk-adjusted returns than Best10 will you also be posting Best10+ (S&P500) and Best10+(S&P1500)? What about Best10 (Russell3000) and\or Best10+ (russell3000)?

  9. sward5 says:

    just saw that you posted iM-Best10(S&P1500): A Portfolio Management System for High Returns from the S&P 1500 article on dshort.com.

  10. geovrba says:

    Yes, and it will be on our site soon. Updates for a portfolio starting in January 2009 will be posted on Friday.

    The Best10+ models are discontinued since we can not positively state that the returns are survivorship biased free.

  11. mrstock says:

    Could we see result of a longer back test please? 15 years is good but I would be worried about increased drawdowns going further back.

  12. sward5 says:

    I thought the results of the survivorship bias analysis was that there was no survivorship bias using the S&P 1500 (in fact the CAGR was better using point in time compared to survivorship bias list). Is it possible to run a survivorship bias free Best10+ analysis?

    My suggestion would be to continue to run the Best10+(S&P1500) and then compare that to Best10 (S&P1500) in real time.

    • geovrba says:

      The Best10+ model used the current composition of S&P500 stocks with poor performers eliminated and some good outside stocks added. This pool was used to periodically select the best 10 stocks.

      It is not possible to claim that the returns were survivorship bias free; the point of the article was to show that one can always get higher returns by selecting the highest ranked stocks from a pool, than from holding the whole pool.

      It is quite possible that Best10+ will continue to outperform the survivorship bias free models and we will consider running the Best10+ as well to see the comparison of performance.

    • sward5 says:

      Thanks. Does Best10+ have a tax advantage over Best10 if the turnover is less or is the holding period for Best 10+ generally less than one year anyway?

  13. jaymayes says:

    I have to say this looks very intriguing and I wish you well with this model(s). Thank you for the articles explaining the concepts. I am and will be following the Best10 model successes and all of your signals closely.

  14. reno1414 says:

    George
    Do you put the holdings up after the close today

  15. cuqui69 says:

    Dear George, currently you mentioned that the model have some protection rules when market conditions deteriorated significantly! I am wondering what stocks or instrument the model was invested in during the bear markets of 2001,2002, and 2008 to have those positive big returns?

    • geovrba says:

      I will analyze the Best10(S&P1500) for this and post this on the site. There is not enough space in this comment box to give a comprehensive reply.

  16. sward5 says:

    Georg

    In this weeks summary (above)you write “showing combined 2.6% average return to 7/15/2013″ Since th 2.6% is shown in red on the spreadsheet is it a (2.6%) loss or 2.6% gain?

  17. ejlamarque says:

    Hi, any chance that this system start to follow the uk market in the future?
    Such a piece of work!!

  18. lance92646 says:

    The 08/23 Best 10 update shows a by of CSCO which is off more than 10% of recent highs so it is puzzling how it ranks a 99.9 rating in light of this recent price deterioration.
    Thanks.

    • geovrba says:

      The ranking system uses value as one of the criteria. At the current price, after a 10% decline, CSCO may be good value, perhaps. One must always evaluate oneself whether a stock is worth buying or not. We are not financial advisors, and thus cannot express an opinion on the advisability of buying or selling a stock.

      • geovrba says:

        I just checked what advisors say. Thomson Reuters ranks CSCO 9 out of 10 with a buy from the analysts, and Standard & Poor’s gives it 4 stars out of 5 and also has a buy on it. So there you go, hope this helps.

  19. fcj says:

    Dear Geovrba,
    I would like to subscribe to “Best10″ model on P123. Could you tell me when a vacancy will happen ? I will directly subscribe.
    Hre is my email : jfc92200@gmail.com
    Thanks a lot for the word done !

    • geovrba says:

      Best10 and Best8+ are currently full. However, we will soon have our Best9(Russell1000) available for subscription with similar returns as Best10.

      This model invests in highly liquid large-cap stocks selected from those making up the Russell 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&P500 ETF (SH).

      Typically it holds 9 stocks and would have produced an average annual returns of about 53% from Jan-2000 to end of Nov-2013 with a maximum draw-down of -22%. 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%.

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