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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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Friday’s Weekly Update
Thursday’s Business Cycle Index

Most Recent Updates

Model Performance Tables: Nov 19, 2019

Business Cycle Index: Nov 21, 2019

Weekly Macro Signals: Nov 22, 2019

iM System Performance Nov 1, 2019

Monthly Update: Nov 1, 2019

 

November 17, 2019

iM-Best Holdings

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

November 19, 2019

Performance-wk-11-19-2019 Performance-mth-11-19-2019 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-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 12.9%, and for the last 12 months is 9.7%. Over the same period the benchmark E60B40 performance was 19.3% and 14.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.85% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $126,308 which includes $30 cash and excludes $1,278 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 13.2%, and for the last 12 months is 9.7%. Over the same period the benchmark E60B40 performance was 19.3% and 14.4% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.92% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $128,993 which includes -$115 cash and excludes $1,408 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 13.6%, and for the last 12 months is 9.8%. Over the same period the benchmark E60B40 performance was 19.3% and 14.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 1.00% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $131,667 which includes -$124 cash and excludes $1,531 spent on fees and slippage.
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 13.7%, and for the last 12 months is 16.9%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $683,607 which includes -$5,021 cash and excludes $22,629 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 11.9%, and for the last 12 months is 11.4%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.52% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $173,523 which includes $4,424 cash and excludes $5,516 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 17.5%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of iM-Combo5 gained 1.58% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $149,646 which includes $2,026 cash and excludes $0 spent on fees and slippage.
RequireSilver8-1.VDIGXtrade-11-19-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 27.5%, and for the last 12 months is 18.1%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Since inception, on 7/1/2014, the model gained 133.85% while the benchmark SPY gained 76.76% and VDIGX gained 79.36% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.36% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $233,849 which includes $258 cash and excludes $2,727 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 12.5%, and for the last 12 months is 6.0%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.89% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $169,469 which includes $1,350 cash and excludes $1,118 spent on fees and slippage.
RequireGold7-1.USMVtrade-11-19-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 31.7%, and for the last 12 months is 21.2%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Since inception, on 6/30/2014, the model gained 125.82% while the benchmark SPY gained 76.76% and the ETF USMV gained 92.33% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.01% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $225,817 which includes $51 cash and excludes $5,944 spent on fees and slippage.
RequireGold13-1.MinVolUSMVInv-11-19-2019
iM-Min Volatility(USMV) Investor (Tax Efficient): The model’s out of sample performance YTD is 23.3%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Since inception, on 1/3/2013, the model gained 254.52% while the benchmark SPY gained 144.00% and the ETF USMV gained 149.71% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.75% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $354,523 which includes $929 cash and excludes $2,291 spent on fees and slippage.
RequireGold
iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond): The model’s out of sample performance YTD is 9.2%, and for the last 12 months is -9.1%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -0.22% at a time when SPY gained 0.64%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $4,390 which includes $1,985 cash and excludes $1,985 spent on fees and slippage.
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -5.6%, and for the last 12 months is -4.4%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of iM-Best(Short) gained -1.23% at a time when SPY gained 1.19%. Over the period 1/2/2009 to 11/18/2019 the starting capital of $100,000 would have grown to $84,078 which includes $118,707 cash and excludes $26,594 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 15.4%, and for the last 12 months is 4.6%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.62% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $122,411 which includes $70 cash and excludes $674 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 17.1%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.44% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,515 which includes $282 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 23.7%, and for the last 12 months is 12.8%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.78% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $148,606 which includes $6,395 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.18% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $157,668 which includes $1,970 cash and excludes $3,393 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is -0.8%, and for the last 12 months is -10.8%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 2.65% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $179,406 which includes $327 cash and excludes $7,434 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 16.0%, and for the last 12 months is 5.8%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.63% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $127,302 which includes $438 cash and excludes $4,007 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 14.4%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.73% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $110,201 which includes $742 cash and excludes $1,466 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 9.2%, and for the last 12 months is -9.1%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.29% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $151,264 which includes $737 cash and excludes $3,569 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 12.6%, and for the last 12 months is 2.0%. Over the same period the benchmark SPY performance was 26.6% and 16.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.39% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $132,056 which includes $760 cash and excludes $3,330 spent on fees and slippage.



November 21, 2019

 

Business Cycle Index

BCI-11-21-2019 The BCI at 260.0 is up from last week’s 259.8, and reached a new  high for this business cycle indicated by the BCIp of 100.   However, the 6-month smoothed annualized growth BCIg remains at last week’s 10.8.

Both BCIp and BCIg are not signaling a recession.

 

 

 



November 22, 2019

Market Signals Summary:

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Stock-markets:

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To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 12-20-2019 16:00 (New York), or please login or register
To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 11-25-2019 16:00 (New York), or please login or register

 

Recession:

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November 22, 2019

Bond-market:

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The Yield Curve:

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Silver:

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iM Sytems, Performance Reports

November 1, 2019

iM-Best Systems Performance (R2G and others)

Performance-mth-11-1-2019Performance 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-FlipSavers

Fig-fs.-11-1-2019 Performance graphs for iM-FlipSavers

 

 

 

iM-SuperTimer

im3mo-st-11-1-2019 Performance graphs for iM-3mo-SuperTimer(SPY-IEF)

 

 

 

im1mo-st-11-1-2019 Performance graphs for iM-1mo-SuperTimer(SPY-IEF)

 

 

 

im1wk-st-11-1-2019 Performance graphs for iM-1wk-SuperTimer(SPY-IEF)

 

 

 



Monthly Updates

November 1, 2019

Unemployment

Fig-8.-11-1-2019The unemployment rate recession model (article link), has been updated with the October UER of 3.6%. The model does not signal a recession.

Here is the link to the full update.

 

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

DAGS-11-1-2019

The updated level of this indicator, -261bps, near last months -263bps, confirms the January 2017 signal. Based on past history a recession could have started as early as October 2017, but not later than August 2020. The average lead time to previous recessions provided by DAGS was 15 months which had indicated a possible recession start as early as April 2019. (Note: All our other recession indicators are far from signal a recession.)

 

 

CAPE-Cycle-ID

Fig-9a-11-1-2019Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE;  the level switched from 0 to +2 end of October-2019. 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

Fig-9b-11-1-2019The estimated forward 10‐year annualized real return increased from  6.2% to 6.4% with a 95% confidence interval : 5.0% to 7.7 (previous 4.9% to 7.6%).

 

 

iM-GT Timer

Fig-10-11-1-2019The iM-GT Timer, based on Google Search Trends volume, is out the markets since 10/1/2019. This indicator is described here.

 

 

Trade Weighted USD

USD-11-1-2019 The trend of Trade Weighted $ value is indeterminate and remains strong even though federal fund rates have been reduced.

 

 

 

TIAA Real Estate Account

To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 11-29-2019 15:00 (New York), or please login or register

 

 



 

 

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