Home › pmp › pmp SPY-SH › iM-Best Reports – 10/27/2015

iM-Best Reports – 10/27/2015

Fig-0.all-10-27-2015 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-10-27-2015
 The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 63 days, and showing a 9.11% return to 10/26/2015. Over the previous week the market value of Best(SPY-SH) gained 1.78% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $423,379 which includes $64 cash and excludes $13,641 spent on fees and slippage.
Fig-2.Combo3-10-27-2015
 The iM-Combo3 model currently holds SH, SPY, and SSO, so far held for an average period of 39 days, and showing a 5.80% return to 10/26/2015. Over the previous week the market value of iM-Combo3 gained 1.30% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $134,492 which includes -$1,658 cash and excludes $1,676 spent on fees and slippage.
Fig-14.Best8TaxEff-10-27-2015
 The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 9 stocks, 5 of them winners, so far held for an average period of 102 days, and showing a 1.84% return to 10/26/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -3.16% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $434,421 which includes $194,437 cash and excludes $5,620 spent on fees and slippage.
Fig-8.VDIGXtrade-10-27-2015Fig-8.1.VDIGXtrade-10-27-2015
 The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 7 of them winners, so far held for an average period of 168 days, and showing a 3.35% return to 10/26/2015. Since inception, on 7/1/2014, the model gained 24.41% while the benchmark SPY gained 8.35% and the ETF VDIGX gained 10.65% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 3.29% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $124,409 which includes $398 cash and excludes $679 spent on fees and slippage.
Fig-4.Bestoga3-10-27-2015
 The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 438 days, and showing a 39.31% return to 10/26/2015. Over the previous week the market value of iM-BESTOGA-3 gained 1.29% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $182,779 which includes $14,741 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-10-27-2015
 The iM-Best3x4(S&P 500 Min Vol) model currently holds 7 stocks, 0 of them winners, so far held for an average period of 57 days, and showing a -1.34% return to 10/26/2015. Over the previous week the market value of iM-Best3x4 gained -3.86% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $96,183 which includes $33 cash and excludes $406 spent on fees and slippage.
Fig-12.Best2x4-10-27-2015
 The iM-Best2x4(S&P 500 Min Vol) model currently holds 5 stocks, 0 of them winners, so far held for an average period of 51 days, and showing a -0.86% return to 10/26/2015. Over the previous week the market value of iM-Best2x4 gained -2.45% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $92,106 which includes $135 cash and excludes $258 spent on fees and slippage.
Fig-7.USMVtrade-10-27-2015Fig-7.1.USMVtrade-10-27-2015
 The iM-Best12(USMV)-Trader model currently holds 12 stocks, 5 of them winners, so far held for an average period of 107 days, and showing a -0.66% return to 10/26/2015. Since inception, on 7/1/2014, the model gained 26.35% while the benchmark SPY gained 8.35% and the ETF USMV gained 15.67% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.10% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $126,348 which includes $57 cash and excludes $1,344 spent on fees and slippage.
Fig-9.USMVQ1-10-27-2015 Fig-9.1.USMVQ1-10-27-2015
 The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 10 of them winners, so far held for an average period of 232 days, and showing a 5.31% return to 10/26/2015. Since inception, on 1/5/2015, the model gained 7.95% while the benchmark SPY gained 4.12% and the ETF USMV gained 6.23% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.48% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $107,949 which includes $130 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-10-27-2015 Fig-10.1.USMVQ2-10-27-2015
 The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 169 days, and showing a -8.78% return to 10/26/2015. Since inception, on 3/31/2015, the model gained -0.62% while the benchmark SPY gained 0.41% and the ETF USMV gained 2.60% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.70% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $99,377 which includes $220 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-10-27-2015 Fig-5.1.USMVQ3-10-27-2015
 The iM-Best12(USMV)Q3-Investor model currently holds 1 stocks, 1 of them winners, so far held for an average period of 483 days, and showing a 11.85% return to 10/26/2015. Since inception, on 7/1/2014, the model gained 23.19% while the benchmark SPY gained 8.35% and the ETF USMV gained 15.67% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.39% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $115,670 which includes -$7,435 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-10-27-2015Fig-6.1.USMVQ4-10-27-2015
 The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 8 of them winners, so far held for an average period of 77 days, and showing a 3.65% return to 10/26/2015. Since inception, on 9/30/2014, the model gained 13.50% while the benchmark SPY gained 6.90% and the ETF USMV gained 14.07% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.15% at a time when SPY gained 1.78%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $113,500 which includes $29 cash and excludes $353 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-10-27-2015
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 18.29% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-10-27-2015
 The iM-Best(Short) model currently holds 1 position(s). Over the previous week the market value of iM-Best(Short) gained 1.05% at a time when SPY gained 1.78%. Over the period 1/2/2009 to 10/26/2015 the starting capital of $100,000 would have grown to $104,595 which includes $125,473 cash and excludes $20,992 spent on fees and slippage.
Posted in pmp SPY-SH

Leave a Reply

With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
By the mere act of reading this page and navigating this site you acknowledge, agree to, and abide by the Terms of Use / Disclaimer