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December 22,  2024

iM-Best Holdings

	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
	iM-Inflation Attuned Multi-Model Market Timer: The model’s out of sample performance YTD is -6.9%, and for the last 12 months is -7.0%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Inflation Attuned Multi-Model Market Timer gained -2.50% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 3/24/2017 would have grown to $123,517,141 which includes $1,500,962 cash and excludes $3,678,771 spent on fees and slippage.
	iM-Conference Board LEIg Timer: The model’s performance YTD is 14.3%, and for the last 12 months is 7.3%. Over the same period the benchmark SPY performance was 20.1% and 9.4% respectively. Over the previous week the market value of the iM-Conference Board LEIg Timer gained -1.85% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $592,434 which includes $13,457 cash and excludes $763 spent on fees and slippage.
	iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 11.5%, and for the last 12 months is 11.7%. Over the same period the benchmark E60B40 performance was 16.0% and 16.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -1.66% at a time when SPY gained -1.41%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $172,735 which includes $1,327 cash and excludes $4,212 spent on fees and slippage.
	iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 13.1%, and for the last 12 months is 13.3%. Over the same period the benchmark E60B40 performance was 16.0% and 16.4% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -1.76% at a time when SPY gained -1.41%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $181,280 which includes $1,198 cash and excludes $4,426 spent on fees and slippage.
	iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 14.6%, and for the last 12 months is 14.9%. Over the same period the benchmark E60B40 performance was 16.0% and 16.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -1.86% at a time when SPY gained -1.41%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $189,865 which includes $1,341 cash and excludes $4,632 spent on fees and slippage.
	iM-5HedgeFundSelect: Since inception, on 1/5/2016, the model gained 699.94% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-5HedgeFundSelect gained -2.30% at a time when SPY gained -1.67%. A starting capital of $25,000 at inception on 1/5/2016 would have grown to $197,161 which includes $208 cash and excludes $2,490 spent on fees and slippage.
	iM-10LargeHedgeFundSelect: Since inception, on 1/5/2016, the model gained 602.76% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-10LargeHedgeFundSelect gained -3.01% at a time when SPY gained -1.67%. A starting capital of $25,000 at inception on 1/5/2016 would have grown to $169,241 which includes -$5,915 cash and excludes $1,682 spent on fees and slippage.
	iM-Top5(QQQ)Select: Since inception, on 1/5/2016, the model gained 935.03% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(QQQ)Select gained -1.78% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $1,035,032 which includes $6,314 cash and excludes $15,754 spent on fees and slippage.
	iM-Top5(XLB)Select: Since inception, on 1/5/2016, the model gained 179.25% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLB)Select gained -3.40% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $279,246 which includes $700 cash and excludes $14,365 spent on fees and slippage.
	iM-Top5(XLI)Select: Since inception, on 1/5/2016, the model gained 441.60% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLI)Select gained -3.84% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $541,605 which includes $2,488 cash and excludes $6,902 spent on fees and slippage.
	iM-Top5(XLK)Select: Since inception, on 1/5/2016, the model gained 736.52% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLK)Select gained -2.25% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $836,519 which includes $1,873 cash and excludes $2,271 spent on fees and slippage.
	iM-Top5(XLP)Select: Since inception, on 1/5/2016, the model gained 267.67% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLP)Select gained -2.54% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $367,670 which includes $331 cash and excludes $2,324 spent on fees and slippage.
	iM-Top5(XLV)Select: Since inception, on 1/5/2016, the model gained 391.25% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLV)Select gained 0.12% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $491,249 which includes $7,513 cash and excludes $15,583 spent on fees and slippage.
	iM-Top5(XLU)Select: Since inception, on 1/5/2016, the model gained 174.02% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLU)Select gained 0.45% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $274,023 which includes $986 cash and excludes $15,587 spent on fees and slippage.
	iM-Top5(XLY)Select: Since inception, on 1/5/2016, the model gained 303.65% while the benchmark SPY gained 240.18% over the same period. Over the previous week the market value of iM-Top5(XLY)Select gained -2.12% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/5/2016 would have grown to $403,649 which includes $1,090 cash and excludes $6,695 spent on fees and slippage.
	iM-Seasonal Super-Sectors (Top5 combo) : Since inception, on 11/17/2020, the model gained 77.01% while the benchmark SPY gained 76.59% over the same period. Over the previous week the market value of iM-Seasonal Super-Sectors (Top5 combo) gained -2.29% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 11/17/2020 would have grown to $177,010 which includes $1,600 cash and excludes $00 spent on fees and slippage.
	iM-Dividend Growth Portfolio: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 11.5%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Dividend Growth Portfolio gained -1.55% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $488,413 which includes $6,350 cash and excludes $12,646 spent on fees and slippage.
	iM-Gold Momentum Timer (AU, NEM, SBSW): The model’s out of sample performance YTD is -4.2%, and for the last 12 months is -5.8%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of iM-Gold Momentum Timer (AU, NEM, SBSW) gained -3.63% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $16 which includes $140,956 cash and excludes Gain to date spent on fees and slippage.
	iM-ModSum/YieldCurve Timer: The model’s out of sample performance YTD is 19.3%, and for the last 12 months is 19.7%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of iM-PortSum/YieldCurve Timer gained -2.04% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/1/2016 would have grown to $320,024 which includes $3,317 cash and excludes $1,748 spent on fees and slippage.
	iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 26.8%, and for the last 12 months is 27.2%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $73,068 which includes $516 cash and excludes $2,553 spent on fees and slippage.
	iM-Combo3.R1: The model’s out of sample performance YTD is 16.9%, and for the last 12 months is 17.2%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.38% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $213,442 which includes $4,308 cash and excludes $8,274 spent on fees and slippage.
	iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Since inception, on 7/1/2014, the model gained 250.00% while the benchmark SPY gained 265.17% and VDIGX gained 167.72% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.72% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $350,002 which includes $294 cash and excludes $5,258 spent on fees and slippage.
	iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 4.4%, and for the last 12 months is 4.5%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -2.82% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $267,591 which includes $5,052 cash and excludes $3,789 spent on fees and slippage.
	iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 18.6%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Since inception, on 6/30/2014, the model gained 243.85% while the benchmark SPY gained 265.17% and the ETF USMV gained 192.78% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.06% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $343,851 which includes -$38 cash and excludes $8,416 spent on fees and slippage.
	iM-Min Volatility(USMV) Investor (Tax Efficient): The model’s out of sample performance YTD is 13.1%, and for the last 12 months is 13.7%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Since inception, on 1/3/2013, the model gained 865.01% while the benchmark SPY gained 404.09% and the ETF USMV gained 404.09% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.39% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $965,009 which includes $11,063 cash and excludes $11,758 spent on fees and slippage.
	iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond): The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 1.7%. Over the same period the benchmark BND performance was 1.2% and 1.4% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -1.29% at a time when BND gained -1.06%. A starting capital of $10,000 at inception on 1/3/2000 would have grown to $139,801 which includes $764 cash and excludes $2,730 spent on fees and slippage.
	iM-ModSum/YieldCurve Timer: The model’s out of sample performance YTD is 19.3%, and for the last 12 months is 19.7%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of iM-PortSum/YieldCurve Timer gained -2.04% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 1/1/2016 would have grown to $320,024 which includes $3,317 cash and excludes $1,748 spent on fees and slippage.
	iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 17.5%, and for the last 12 months is 18.6%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -2.08% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $177,420 which includes $1,118 cash and excludes $4,989 spent on fees and slippage.
	iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -2.36% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $172,247 which includes $1,566 cash and excludes $00 spent on fees and slippage.
	iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 15.8%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -1.66% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $218,413 which includes $1,946 cash and excludes $6,946 spent on fees and slippage.
	iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 26.1%, and for the last 12 months is 26.7%. Over the same period the benchmark SPY performance was 26.7% and 27.2% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.59% at a time when SPY gained -1.67%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $245,323 which includes $36 cash and excludes $9,190 spent on fees and slippage.

 

iM-Business Cycle Index

   BCIw is not signaling a recession, nor does the BCIg.

 

 

Stock-markets:

The MAC-US model invested the US stock markets in first week of February 2023.

 

 

 

 

The MAC-AU model generated a buy signal end  November 2023,  and is invested from the Australian stock market.

This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.

 

Recession:

 

   BCIg is not signaling a recession.

 

 

 

The growth of the Conference Board’s Leading Economic Indicator does not signal a recession.

 

 

 

The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is an inverted state since beginning August 2022 and is progressing to a non-iverted state in a week or two.

A description of this indicator can be found here.

 

 

The iM-Low Frequency Timer switched to bonds on 9/26/2022.

A description of this indicator can be found here.

Bond-market:

The Yield Curve:

 

 

 

Silver:

 iM-Best Systems Performance (R2G and others)

Performance comparison of the iM-Best  models hosted on P123 and on iMarketSignals.

 

 

iM-FlipSavers

Performance graphs for iM-FlipSavers

 

 

 

iM-SuperTimer

Performance graphs for iM-3mo-SuperTimer(SPY-IEF)

 

 

 

Performance graphs for iM-1mo-SuperTimer(SPY-IEF)

 

 

 

Performance graphs for iM-1wk-SuperTimer(SPY-IEF)

 

 

 

Unemployment

The 12/4/2024 BLS Employment Situation Report shows that the November 2024 unemployment rate remained at 4.2% an increase of 0.1% over the month prior. Our UER model does  signal a recession.

 

 

CAPE-Cycle-ID

Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE;  the level switched from -2 to 0 end of June 2023 generating a buy  signal. This indicator now invested in the markets. This indicator is described here.

To avoid the bear market, exit stocks when the spread between the 5-month and 25-month moving averages of S&P-real becomes negative and simultaneously the CAPE-Cycle-ID score is 0 or -2. (read more)

 

Estimated Forward 10-Year Returns

The estimated forward 10‐year annualized real return is 4.7% (previous month 4.9%) with a 95% confidence interval 3.2% to 6.2% (3.3% to 6.3% ). Also refer to the  Realized Forward 10-Year Returns vs. Inflation Rate We may be in a rising inflation period with a falling CAPE-MA35 ratio similar to 1964-1973. This implies very low or negative 10 year forward annualized real returns, much lower than the returns indicated by regression analysis shown in the Estimated Forward 10-Year Returns.

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iM-GT Timer

The iM-GT Timer, based on Google Search Trends volume indicator exited the stock markets beginning December 2024. This indicator is described here.

 

 

Trade Weighted USD

Will be updated later, the weekly FRED data series we used was discontinued and replacement series is daily and runs from 2015. We need to adapt our software and graphics first.

 

 

 

TIAA Real Estate Account