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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: Jul 25, 2017

Business Cycle Index: Jul 20, 2017

Weekly Macro Signals: Jul 21, 2017

iM System Performance Jul 7, 2017

Monthly Update: Jul 7, 2017

 

 

July 23, 2017

iM-Best Holdings

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

July 25, 2017

Performance-wk-7-25-2017 Performance-mth-7-25-2017 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 11.5%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $515,578 which includes $2,193 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.78% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $139,814 which includes $338 cash and excludes $3,345 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 14.5%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-Combo5 gained 1.31% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $113,404 which includes $762 cash and excludes $555 spent on fees and slippage.
RequireSilver
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 6.2%, and for the last 12 months is -6.6%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.24% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $417,751 which includes $566 cash and excludes $8,444 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-7-25-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 12.3%, and for the last 12 months is 23.8%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Since inception, on 7/1/2014, the model gained 63.75% while the benchmark SPY gained 33.98% and VDIGX gained 29.24% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.96% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $163,751 which includes $6,687 cash and excludes $1,588 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.26% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $225,274 which includes $224 cash and excludes $1,298 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 5.7%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.23% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $107,582 which includes $437 cash and excludes $979 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 23.1%, and since inception 30.2%. Over the same period the benchmark SPY performance was 11.4% and 17.9% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.04% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $130,180 which includes $1,885 cash and excludes $210 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 13.1%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.64% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $111,496 which includes $21 cash and excludes $786 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-7-25-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 10.6%, and for the last 12 months is 4.9%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Since inception, on 6/30/2014, the model gained 54.69% while the benchmark SPY gained 33.98% and the ETF USMV gained 41.74% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.02% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $154,689 which includes $320 cash and excludes $3,210 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-7-25-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 15.2%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Since inception, on 1/5/2015, the model gained 44.98% while the benchmark SPY gained 28.75% and the ETF USMV gained 30.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.14% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $144,980 which includes $9 cash and excludes $773 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-7-25-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Since inception, on 3/30/2015, the model gained 26.66% while the benchmark SPY gained 24.16% and the ETF USMV gained 25.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.11% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $126,660 which includes $57 cash and excludes $660 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-7-25-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Since inception, on 7/1/2014, the model gained 60.78% while the benchmark SPY gained 33.98% and the ETF USMV gained 41.74% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.27% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $160,780 which includes $190 cash and excludes $995 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-7-25-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 58.51% while the benchmark SPY gained 31.95% and the ETF USMV gained 39.78% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.00% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $158,505 which includes -$23 cash and excludes $869 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-7-25-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.28% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 2.3%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 0.53%. Over the period 1/2/2009 to 7/24/2017 the starting capital of $100,000 would have grown to $100,231 which includes $100,231 cash and excludes $22,354 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 4.4%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.41% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,754 which includes $735 cash and excludes $107 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.2%, and for the last 12 months is 4.3%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.48% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,627 which includes $1,608 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 17.2%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.39% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,288 which includes $1,074 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is 18.0%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.52% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,572 which includes $137 cash and excludes $1,389 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 19.6%, and for the last 12 months is 23.7%. Over the same period the benchmark SPY performance was 11.4% and 15.9% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.78% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,246 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 2.6%. The benchmark SPY performance over the same period is 6.1%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.27% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,619 which includes $595 cash and excludes $69 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 1.9%. The benchmark SPY performance over the same period is 5.6%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.67% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $101,923 which includes $541 cash and excludes $44 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 12.2%, and since inception 15.3%. Over the same period the benchmark SPY performance was 11.4% and 17.9% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.08% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $138,761 which includes $552 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 12.2%, and since inception 15.3%. Over the same period the benchmark SPY performance was 11.4% and 17.9% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.35% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $115,311 which includes $863 cash and excludes $880 spent on fees and slippage.

 



July 20, 2017

 

Business Cycle Index

BCI-7-20-2017

The BCI at 225.0 is above last week’s upward revised 224.7, but for this Business Cycle remains below the previous high as indicated by the BCIp at 94.2. However, the 6-month smoothed annualized growth BCIg at 14.6 is below last week’s 14.8.

No recession is signaled.

 

 



July 21, 2017

Market Signals Summary:

The MAC-US model is invested. 

To view this premium content requires membership category: Silver or higher. However, it can be freely viewed after 08-18-2017 16:00 (New York), or please login or register
The MAC-AU is also invested.  The recession indicators COMP and iM-BCIg do not signal a recession. 

 

Stock-markets:

Fig-2.-7-21-2017The 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-2.1-7-21-2017The MAC-AU model is invested in the markets after it generated a buy signal on March 21, 2016. The sell-spread is below 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.-7-21-2017Figure 3 shows the COMP above last week’s  revised  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-3.1-7-21-2017Figure 3.1 shows the recession indicator iM-BCIg which is down from last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-7-21-2017The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is near the previous week’s level and far away from signalling a recession. A downward trend of the FRR2-10 has set in.

A description of this indicator can be found here.



July 21, 2017

Bond-market:

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The Yield Curve:

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Silver:

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iM Sytems, Performance Reports

July 7, 2017

iM-Best Systems Performance (R2G and others)

Performance-mth-7-7-2017Performance 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

July 7, 2017

Unemployment

Fig-8.-7-7-2017The unemployment rate recession model (article link), has been updated with the May UER of 4.4%. 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 12.28% (last month minus 11.29%) and EMA spread of the UER is at minus 27% (last month minus 0.31%).

Here is the link to the full update.

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

DAGS-7-7-2017The updated level of this indicator, -95bps, 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.-7-7-2017The 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-7-7-2017Fig 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-7-7-2017 The rise of the TW$ value seems to be halted for now and is possible trending downwards.

 

 

TIAA Real Estate Account

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