iM-Best Reports – 11/9/2015

Performance-wk-11-10-2015 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-11-10-2015
The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 77 days, and showing a 9.68% return to 11/9/2015. Over the previous week the market value of Best(SPY-SH) gained -1.10% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $427,524 which includes $127 cash and excludes $13,643 spent on fees and slippage.
Fig-2.Combo3-11-10-2015
The iM-Combo3 model currently holds SH, SPY, and SSO, so far held for an average period of 53 days, and showing a 6.06% return to 11/9/2015. Over the previous week the market value of iM-Combo3 gained -0.80% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $135,095 which includes -$2,468 cash and excludes $1,678 spent on fees and slippage.
Fig-14.Best8TaxEff-11-10-2015
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 9 stocks, 4 of them winners, so far held for an average period of 116 days, and showing a -0.49% return to 11/9/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.00% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $429,041 which includes $191,938 cash and excludes $5,620 spent on fees and slippage.
Fig-8.VDIGXtrade-11-10-2015Fig-8.1.VDIGXtrade-11-10-2015
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 7 of them winners, so far held for an average period of 181 days, and showing a 3.58% return to 11/9/2015. Since inception, on 7/1/2014, the model gained 25.67% while the benchmark SPY gained 8.91% and the ETF VDIGX gained 10.17% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.15% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $125,665 which includes $371 cash and excludes $708 spent on fees and slippage.
Fig-4.Bestoga3-11-10-2015
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 452 days, and showing a 33.68% return to 11/9/2015. Over the previous week the market value of iM-BESTOGA-3 gained -3.25% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $175,982 which includes $14,741 cash and excludes $845 spent on fees and slippage.
Fig-13.Best3x4-11-10-2015
The iM-Best3x4(S&P 500 Min Vol) model currently holds 9 stocks, 3 of them winners, so far held for an average period of 53 days, and showing a -3.35% return to 11/9/2015. Over the previous week the market value of iM-Best3x4 gained -0.40% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $99,473 which includes $2,431 cash and excludes $473 spent on fees and slippage.
Fig-12.Best2x4-11-10-2015
The iM-Best2x4(S&P 500 Min Vol) model currently holds 6 stocks, 3 of them winners, so far held for an average period of 54 days, and showing a -1.56% return to 11/9/2015. Over the previous week the market value of iM-Best2x4 gained -0.36% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,798 which includes $883 cash and excludes $319 spent on fees and slippage.
Fig-7.USMVtrade-11-10-2015Fig-7.1.USMVtrade-11-10-2015
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 8 of them winners, so far held for an average period of 89 days, and showing a 0.68% return to 11/9/2015. Since inception, on 7/1/2014, the model gained 27.58% while the benchmark SPY gained 8.91% and the ETF USMV gained 14.18% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.86% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $127,584 which includes -$23 cash and excludes $1,405 spent on fees and slippage.
Fig-9.USMVQ1-11-10-2015 Fig-9.1.USMVQ1-11-10-2015
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 10 of them winners, so far held for an average period of 246 days, and showing a 3.74% return to 11/9/2015. Since inception, on 1/5/2015, the model gained 6.37% while the benchmark SPY gained 4.66% and the ETF USMV gained 4.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -2.86% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $106,367 which includes $161 cash and excludes $227 spent on fees and slippage.
Fig-10.USMVQ2-11-10-2015 Fig-10.1.USMVQ2-11-10-2015
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 183 days, and showing a -8.78% return to 11/9/2015. Since inception, on 3/31/2015, the model gained -0.54% while the benchmark SPY gained 0.93% and the ETF USMV gained 1.28% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.91% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $99,464 which includes $302 cash and excludes $151 spent on fees and slippage.
Fig-5.USMVQ3-11-10-2015 Fig-5.1.USMVQ3-11-10-2015
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 7 of them winners, so far held for an average period of 106 days, and showing a 0.60% return to 11/9/2015. Since inception, on 7/1/2014, the model gained 20.92% while the benchmark SPY gained 8.91% and the ETF USMV gained 14.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -2.25% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,916 which includes $88 cash and excludes $440 spent on fees and slippage.
Fig-6.USMVQ4-11-10-2015Fig-6.1.USMVQ4-11-10-2015
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 57 days, and showing a 0.72% return to 11/9/2015. Since inception, on 9/30/2014, the model gained 11.94% while the benchmark SPY gained 7.46% and the ETF USMV gained 12.60% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -2.74% at a time when SPY gained -1.10%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $111,944 which includes -$6 cash and excludes $372 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-10-2015
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 16.41% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-11-10-2015
The iM-Best(Short) model currently holds 1 position(s). Over the previous week the market value of iM-Best(Short) gained -3.09% at a time when SPY gained -1.10%. Over the period 1/2/2009 to 11/9/2015 the starting capital of $100,000 would have grown to $98,418 which includes $118,055 cash and excludes $21,211 spent on fees and slippage.
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