iM-Best Reports – 10/19/2015

Fig-0.all-10-20-2015 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.
Fig-1.SPY-SH-10-20-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 56 days, and showing a 7.20% return to 10/19/2015. Over the previous week the market value of Best(SPY-SH) gained 0.92% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $415,956 which includes $64 cash and excludes $13,641 spent on fees and slippage.
Fig-2.Combo3-10-20-2015
The iM-Combo3 model currently holds SH, SPY, and SSO, so far held for an average period of 32 days, and showing a 4.60% return to 10/19/2015. Over the previous week the market value of iM-Combo3 gained 0.88% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $132,765 which includes -$2,385 cash and excludes $1,671 spent on fees and slippage.
Fig-14.Best8TaxEff-10-20-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 5 of them winners, so far held for an average period of 108 days, and showing a 4.30% return to 10/19/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.09% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $448,587 which includes -$194 cash and excludes $5,228 spent on fees and slippage.
Fig-8.VDIGXtrade-10-20-2015Fig-8.1.VDIGXtrade-10-20-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 5 of them winners, so far held for an average period of 161 days, and showing a 0.10% return to 10/19/2015. Since inception, on 7/1/2014, the model gained 20.45% while the benchmark SPY gained 6.45% and the ETF VDIGX gained 7.99% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.06% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,446 which includes $334 cash and excludes $679 spent on fees and slippage.
Fig-4.Bestoga3-10-20-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 431 days, and showing a 37.39% return to 10/19/2015. Over the previous week the market value of iM-BESTOGA-3 gained 6.61% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $180,457 which includes $14,741 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-10-20-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 6 stocks, 1 of them winners, so far held for an average period of 60 days, and showing a -0.51% return to 10/19/2015. Over the previous week the market value of iM-Best3x4 gained 0.68% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $100,040 which includes $203 cash and excludes $393 spent on fees and slippage.
Fig-12.Best2x4-10-20-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 4 stocks, 0 of them winners, so far held for an average period of 57 days, and showing a 0.19% return to 10/19/2015. Over the previous week the market value of iM-Best2x4 gained 0.24% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,423 which includes $1,389 cash and excludes $235 spent on fees and slippage.
Fig-7.USMVtrade-10-20-2015Fig-7.1.USMVtrade-10-20-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 3 of them winners, so far held for an average period of 107 days, and showing a -4.04% return to 10/19/2015. Since inception, on 7/1/2014, the model gained 22.55% while the benchmark SPY gained 6.45% and the ETF USMV gained 14.51% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.57% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $122,550 which includes -$175 cash and excludes $1,324 spent on fees and slippage.
Fig-9.USMVQ1-10-20-2015 Fig-9.1.USMVQ1-10-20-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 8 of them winners, so far held for an average period of 225 days, and showing a 3.78% return to 10/19/2015. Since inception, on 1/5/2015, the model gained 6.38% while the benchmark SPY gained 2.29% and the ETF USMV gained 5.16% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.57% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $106,377 which includes $130 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-10-20-2015 Fig-10.1.USMVQ2-10-20-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 162 days, and showing a -11.13% return to 10/19/2015. Since inception, on 3/31/2015, the model gained -3.24% while the benchmark SPY gained -1.35% and the ETF USMV gained 1.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.49% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $96,763 which includes $157 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-10-20-2015 Fig-5.1.USMVQ3-10-20-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 85 days, and showing a 0.17% return to 10/19/2015. Since inception, on 7/1/2014, the model gained 20.31% while the benchmark SPY gained 6.45% and the ETF USMV gained 14.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.30% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,313 which includes $7 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-10-20-2015Fig-6.1.USMVQ4-10-20-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 135 days, and showing a -0.97% return to 10/19/2015. Since inception, on 9/30/2014, the model gained 11.11% while the benchmark SPY gained 5.03% and the ETF USMV gained 12.93% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.78% at a time when SPY gained 0.92%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $111,112 which includes $648 cash and excludes $314 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-10-20-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 17.77% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-10-20-2015
The iM-Best(Short) model currently holds 2 position(s). Over the previous week the market value of iM-Best(Short) gained 0.22% at a time when SPY gained 0.92%. Over the period 1/2/2009 to 10/19/2015 the starting capital of $100,000 would have grown to $103,490 which includes $144,698 cash and excludes $20,928 spent on fees and slippage.
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