iM-Best Reports – 9/14/2015

Fig-0.all-9-15-2015 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-9-15-2015
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.
Fig-2.Combo3-9-15-2015
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.
Fig-14.Best8TaxEff-9-15-2015
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.
Fig-8.VDIGXtrade-9-15-2015Fig-8.1.VDIGXtrade-9-15-2015
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.
Fig-4.Best10-9-15-2015
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.
Fig-13.Best3x4-9-15-2015
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.
Fig-12.Best2x4-9-15-2015
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.
Fig-7.USMVtrade-9-15-2015Fig-7.1.USMVtrade-9-15-2015
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.
Fig-9.USMVQ1-9-15-2015 Fig-9.1.USMVQ1-9-15-2015
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.
Fig-10.USMVQ2-9-15-2015 Fig-10.1.USMVQ2-9-15-2015
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.
Fig-5.USMVQ3-9-15-2015 Fig-5.1.USMVQ3-9-15-2015
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.
Fig-6.USMVQ4-9-15-2015Fig-6.1.USMVQ4-9-15-2015
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.
Fig-10.USMV-Portfolio-vs-SPY-9-15-2015
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)
Fig-3.Short-9-15-2015
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.
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
Share This