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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: Jan 17, 2018

Business Cycle Index: Jan 18, 2018

Weekly Macro Signals: Jan 12, 2018

iM System Performance Dec 8, 2017

Monthly Update: Jan 5, 2018

 


January 14, 2018

iM-Best Holdings

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

January 17, 2018

Performance-wk-1-17-2018 Performance-mth-1-17-2018 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 3.7%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $576,975 which includes $878 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is 29.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.08% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $165,729 which includes $1,808 cash and excludes $3,439 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 35.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Combo5 gained 1.25% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $135,347 which includes -$1,645 cash and excludes $606 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-1-17-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 7/1/2014, the model gained 87.48% while the benchmark SPY gained 51.86% and VDIGX gained 45.47% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 3.35% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $187,300 which includes $1,512 cash and excludes $1,956 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.35% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $236,686 which includes $2,123 cash and excludes $2,007 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.04% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,708 which includes $341 cash and excludes $1,426 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 42.4%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.02% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $152,776 which includes $1,565 cash and excludes $559 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.40% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $113,752 which includes $1,750 cash and excludes $904 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-1-17-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 23.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 6/30/2014, the model gained 76.49% while the benchmark SPY gained 51.86% and the ETF USMV gained 54.30% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.69% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $176,311 which includes $231 cash and excludes $3,796 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-1-17-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 29.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 1/5/2015, the model gained 66.37% while the benchmark SPY gained 45.93% and the ETF USMV gained 41.70% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.98% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $166,317 which includes $377 cash and excludes $926 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-1-17-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 3/30/2015, the model gained 38.67% while the benchmark SPY gained 40.72% and the ETF USMV gained 36.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.31% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,599 which includes $394 cash and excludes $854 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-1-17-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 7/1/2014, the model gained 79.74% while the benchmark SPY gained 51.86% and the ETF USMV gained 54.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.13% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,655 which includes $204 cash and excludes $1,268 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-1-17-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 75.56% while the benchmark SPY gained 49.57% and the ETF USMV gained 52.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.24% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $175,371 which includes $419 cash and excludes $1,132 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-17-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 37.88% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -0.2%, and for the last 12 months is -5.9%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Best(Short) gained 0.14% at a time when SPY gained 1.11%. Over the period 1/2/2009 to 1/16/2018 the starting capital of $100,000 would have grown to $91,083 which includes $127,554 cash and excludes $23,552 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.10% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,129 which includes $743 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 -1.7%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -1.45% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,019 which includes $3,320 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 20.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.66% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,947 which includes $2,172 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 26.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.10% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,656 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 8.3%, and for the last 12 months is 80.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 4.00% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $190,679 which includes $886 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 2.8%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.41% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,346 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 YTD is 1.7%, and since inception 8.9%. Over the same period the benchmark SPY performance was 3.8% and 20.2% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.63% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $108,903 which includes $1,612 cash and excludes $74 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.0%, and since inception 10.1%. Over the same period the benchmark SPY performance was 3.8% and 19.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.85% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,997 which includes $409 cash and excludes $153 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 50.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.06% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $174,083 which includes $1,064 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 3.3%, and for the last 12 months is 23.7%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.90% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $129,638 which includes $1,878 cash and excludes $880 spent on fees and slippage.

 



January 18, 2018

 

Business Cycle Index

BCI-1-18-2018

The BCI at 240.5 is above last week’s downward revised 240.2, 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 18.7, which is above last week’s 17.6.

No recession is signaled.

 

 



January 12, 2018

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 02-09-2018 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.-1-12-2018The 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-2.1-1-12-2018The 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.-1-12-2018Figure 3 shows the COMP  below 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-3.1-1-12-2018Figure 3.1 shows the recession indicator iM-BCIg  is up from last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-1-12-2018The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is below last week’s level and is not signaling a recession.  The FRR2-10 is trending downwards.

A description of this indicator can be found here.



January 12, 2018

Bond-market:

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The Yield Curve:

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Silver:

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iM Sytems, Performance Reports

December 8, 2017

iM-Best Systems Performance (R2G and others)

Performance-mth-12-8-2017Performance 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

January 5, 2018

Unemployment

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The Dynamic Linearly Detrended Enhanced Aggregate Spread:

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Coppock Indicator for the S&P500

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CAPE-Cycle-ID

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Fig-9a-1-5-2018Fig 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

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TIAA Real Estate Account

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