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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. |
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The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 21 days, and showing a 3.21% return to 9/14/2015. Over the previous week the market value of Best(SPY-SH) gained -0.66% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $401,235 which includes $30,580 cash and excludes $13,610 spent on fees and slippage. |
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The iM-Combo3 model currently holds SPY, SSO, and XLP, so far held for an average period of 9 days, and showing a 0.56% return to 9/14/2015. Over the previous week the market value of iM-Combo3 gained -0.93% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $125,003 which includes $628 cash and excludes $1,550 spent on fees and slippage. |
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The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 4 of them winners, so far held for an average period of 120 days, and showing a 7.23% return to 9/14/2015. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.62% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $449,787 which includes $38 cash and excludes $5,110 spent on fees and slippage. |
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The iM-Best10(VDIGX)-Trader model currently holds 8 stocks, 4 of them winners, so far held for an average period of 222 days, and showing a 3.68% return to 9/14/2015. Since inception, on 7/1/2014, the model gained 16.27% while the benchmark SPY gained 2.07% and the ETF VDIGX gained 2.68% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.52% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $116,274 which includes $23,341 cash and excludes $575 spent on fees and slippage. |
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The iM-Best10(S&P 1500) model currently holds 10 stocks, 3 of them winners, so far held for an average period of 13 days, and showing a -2.53% return to 9/14/2015. Over the previous week the market value of iM-Best10 gained -0.45% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $788,143 which includes -$6,203 cash and excludes $80,166 spent on fees and slippage. |
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The iM-Best3x4(S&P 500 Min Vol) model currently holds 7 stocks, 1 of them winners, so far held for an average period of 38 days, and showing a 1.39% return to 9/14/2015. Over the previous week the market value of iM-Best3x4 gained 0.10% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $103,665 which includes $2,456 cash and excludes $277 spent on fees and slippage. |
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The iM-Best2x4(S&P 500 Min Vol) model currently holds 5 stocks, 1 of them winners, so far held for an average period of 20 days, and showing a 0.27% return to 9/14/2015. Over the previous week the market value of iM-Best2x4 gained 0.30% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $99,036 which includes $497 cash and excludes $206 spent on fees and slippage. |
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The iM-Best12(USMV)-Trader model currently holds 12 stocks, 1 of them winners, so far held for an average period of 75 days, and showing a -4.88% return to 9/14/2015. Since inception, on 7/1/2014, the model gained 19.72% while the benchmark SPY gained 2.07% and the ETF USMV gained 8.72% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.97% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $119,724 which includes $192 cash and excludes $1,300 spent on fees and slippage. |
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The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 195 days, and showing a -2.71% return to 9/14/2015. Since inception, on 1/5/2015, the model gained 1.17% while the benchmark SPY gained -1.91% and the ETF USMV gained -0.16% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.88% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $101,174 which includes $389 cash and excludes $210 spent on fees and slippage. |
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The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 3 of them winners, so far held for an average period of 144 days, and showing a -8.47% return to 9/14/2015. Since inception, on 3/31/2015, the model gained -5.08% while the benchmark SPY gained -5.42% and the ETF USMV gained -3.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.27% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $94,919 which includes -$42 cash and excludes $134 spent on fees and slippage. |
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The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 3 of them winners, so far held for an average period of 50 days, and showing a -4.66% return to 9/14/2015. Since inception, on 7/1/2014, the model gained 14.25% while the benchmark SPY gained 2.07% and the ETF USMV gained 8.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.14% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $114,248 which includes $145 cash and excludes $439 spent on fees and slippage. |
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The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 6 of them winners, so far held for an average period of 226 days, and showing a 3.16% return to 9/14/2015. Since inception, on 9/30/2014, the model gained 7.62% while the benchmark SPY gained 0.70% and the ETF USMV gained 7.22% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.81% at a time when SPY gained -0.72%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $107,624 which includes $146 cash and excludes $232 spent on fees and slippage. |
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Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 16.75% over SPY. (see iM-USMV Investor Portfolio) |
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The iM-Best(Short) model currently holds 1 position(s). Over the previous week the market value of iM-Best(Short) gained 0.65% at a time when SPY gained -0.72%. Over the period 1/2/2009 to 9/14/2015 the starting capital of $100,000 would have grown to $108,855 which includes $130,759 cash and excludes $20,106 spent on fees and slippage. |
iM-Best Reports – 9/14/2015
Posted in pmp SPY-SH
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