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iM-feesWe offer three categories of membership – bronze, silver and gold at $20, $40 and $80 per month respectively, or discounted on a per year basis. The table to the left (just click on it) lists what you can access depending on the membership level you choose. All information not listed will remain free, however selected key articles could in future be restricted to a paid membership category.

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Most Recent Updates

Model Performance Tables: Nov 21, 2017

Business Cycle Index: Nov 16, 2017

Weekly Macro Signals: Nov 17, 2017

iM System Performance Nov 3, 2017

Monthly Update: Nov 3, 2017

 


November 19, 2017

iM-Best Holdings

Your Membership category does not entitle you to view any of the iM-Best model holdings

November 21, 2017

Performance-wk-11-21-2017 Performance-mth-11-21-2017 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 17.8%, and for the last 12 months is 20.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $544,486 which includes $7,222 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 20.8%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.02% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $151,757 which includes -$544 cash and excludes $3,437 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 25.1%, and for the last 12 months is 27.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Combo5 gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $123,395 which includes $409 cash and excludes $603 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-11-21-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 13.4%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 7/1/2014, the model gained 65.28% while the benchmark SPY gained 40.91% and VDIGX gained 34.59% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.57% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,152 which includes $392 cash and excludes $1,881 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 12.7%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.48% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $220,871 which includes $1,003 cash and excludes $1,818 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,798 which includes -$58 cash and excludes $1,254 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 35.6%, and for the last 12 months is 38.2%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.61% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $143,356 which includes $907 cash and excludes $559 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 9.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.67% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $106,179 which includes $684 cash and excludes $881 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-11-21-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 18.0%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 6/30/2014, the model gained 65.10% while the benchmark SPY gained 40.91% and the ETF USMV gained 158.30% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.76% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $165,104 which includes $385 cash and excludes $3,686 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-11-21-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 25.0%, and for the last 12 months is 28.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 1/5/2015, the model gained 57.31% while the benchmark SPY gained 35.41% and the ETF USMV gained 35.40% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.12% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $157,239 which includes $35 cash and excludes $849 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-11-21-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.1%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 3/30/2015, the model gained 32.41% while the benchmark SPY gained 30.58% and the ETF USMV gained 30.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.08% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,366 which includes $101 cash and excludes $765 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-11-21-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 7/1/2014, the model gained 68.78% while the benchmark SPY gained 40.91% and the ETF USMV gained 158.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.70% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $168,522 which includes -$97 cash and excludes $1,179 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-11-21-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 65.63% while the benchmark SPY gained 38.78% and the ETF USMV gained 39.03% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.38% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $165,593 which includes $144 cash and excludes $1,076 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-21-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 37.27% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -5.3%, and for the last 12 months is -3.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Best(Short) gained -0.07% at a time when SPY gained -0.01%. Over the period 1/2/2009 to 11/20/2017 the starting capital of $100,000 would have grown to $91,942 which includes $128,518 cash and excludes $23,170 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.04% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,378 which includes $70 cash and excludes $115 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.12% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,594 which includes $2,356 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.58% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,082 which includes $1,593 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 19.3%, and for the last 12 months is 22.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,433 which includes $833 cash and excludes $1,390 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 57.5%, and since inception 57.5%. Over the same period the benchmark SPY performance was 17.2% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.03% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $157,507 which includes $587 cash and excludes $578 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 21.6%, and for the last 12 months is 21.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.00% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,315 which includes $53 cash and excludes $1,955 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.5%. The benchmark SPY performance over the same period is 11.5%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.33% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,510 which includes $974 cash and excludes $69 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 3.9%. The benchmark SPY performance over the same period is 11.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.19% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $103,892 which includes $1,644 cash and excludes $113 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 35.9%, and for the last 12 months is 44.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.84% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $153,382 which includes $757 cash and excludes $1,030 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 17.4%, and for the last 12 months is 20.0%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.32% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $120,682 which includes $1,385 cash and excludes $880 spent on fees and slippage.

 



November 16, 2017

 

Business Cycle Index

BCI-11-16-2017

The BCI at 233.7 is above last week’s 232.8, and it is at a new high for this business cycle as indicated by the BCIp at 100.  Also, the 6-month smoothed annualized growth BCIg is at 16.0, which is above last week’s 15.1.

No recession is signaled.

 

 



November 17, 2017

Market Signals Summary:          

The MAC-US model is invested. 

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The MAC-AU is also invested.  The recession indicators COMP and iM-BCIg do not signal a recession. 

 

Stock-markets:

Fig-2.-11-17-2017The MAC-US model generated a buy-signal 4/5/2016 and thus is invested in the stock-markets. The sell-spread (red graph) is above last week’s level and has to fall below zero to signal a sell.

 

 

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Fig-2.1-11-17-2017The MAC-AU model is invested in the markets after it generated a buy signal on March 21, 2016. The sell-spread is above last week’s level and has to fall below zero to signal a sell.

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

 

Recession:

Fig-3.-11-17-2017Figure 3 shows the COMP near below week’s   level. No recession is indicated.    COMP can be used for stock market exit timing as discussed in this article The Use of Recession Indicators in Stock Market Timing.

 

 

Fig-3.1-11-17-2017Figure 3.1 shows the recession indicator iM-BCIg which is up from last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-11-17-2017The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is below last week’s level and far away from signalling a recession.  The FRR2-10 is trending downwards.

A description of this indicator can be found here.



November 17, 2017

Bond-market:

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The Yield Curve:

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Silver:

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iM Sytems, Performance Reports

November 3, 2017

iM-Best Systems Performance (R2G and others)

Performance-mth-11-3-2017Performance comparison of the iM-Best  models hosted on P123 and on iMarketSignals. Links to the description and to the models can be found  here

 

 

iM Vanguard / TIAA-CREF Systems

Fig13.2s4b-4-7-2015Performance comparison of the iM Vanguard / TIAA-CREF Systems, read more ….

 

 

 



Monthly Updates

November 3, 2017

Unemployment

Fig-8.-11-3-2017The unemployment rate recession model (article link), has been updated with the October UER of 4.1%. Based on the historic patterns of the unemployment rate indicators prior to recessions one can reasonably conclude that the U.S. economy is not likely to go into recession anytime soon. The growth rate UERg is at minus 11.13% (last month 11.13%) and EMA spread of the UER is at minus 0.29% (last month minus 0.25%).

Here is the link to the full update.

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

DAGS-11-3-2017The updated level of this indicator, -129bps (last months -114bps), confirms the January 20, 2017 signal. Based on past history a recession could start at the earliest in October 2017, but not later than May 2019. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a recession start for April 2018.

 

Coppock Indicator for the S&P500

Fig-9.-11-3-2017The Coppock indicator for the S&P500 entered the market end May 2017.  This model is in stocks.   This indicator is described here.

 

 

CAPE-Cycle-ID

Fig-9a-11-3-2017Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE.  A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.

 

 

Trade Weighted USD

USD-11-3-2017 The continued weakening of TW$ value is seemingly halted for now.

 

 

TIAA Real Estate Account

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