iM-Best Reports – 1/11/2016

Performance-wk-1-12-2016 Performance-mth-1-12-2016 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. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
Fig-1.SPY-SH-1-12-2016
The iM-Best(SPY-SH) model currently holds SH, so far held for a period of 42 days, and showing a 7.64% return to 1/11/2016. Over the previous week the market value of Best(SPY-SH) gained 4.60% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $461,861 which includes -$2,391 cash and excludes $14,503 spent on fees and slippage.
Fig-2.Combo3-1-12-2016
The iM-Combo3 model currently holds SH, SSO, and XLB, so far held for an average period of 49 days, and showing a -7.56% return to 1/11/2016. Over the previous week the market value of iM-Combo3 gained -3.95% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $125,869 which includes $436 cash and excludes $2,138 spent on fees and slippage.
Fig-14.Best8TaxEff-1-12-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 2 of them winners, so far held for an average period of 192 days, and showing a -3.56% return to 1/11/2016. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -3.21% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $428,156 which includes $201,354 cash and excludes $6,003 spent on fees and slippage.
Fig-8.VDIGXtrade-1-12-2016Fig-8.1.VDIGXtrade-1-12-2016
The iM-Best10(VDIGX)-Trader model currently holds 9 stocks, 3 of them winners, so far held for an average period of 185 days, and showing a -2.48% return to 1/11/2016. Since inception, on 7/1/2014, the model gained 19.73% while the benchmark SPY gained 1.15% and the ETF VDIGX gained 4.02% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -3.77% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $119,729 which includes $13,158 cash and excludes $852 spent on fees and slippage.
Fig-4.Bestoga3-1-12-2016
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 515 days, and showing a 37.72% return to 1/11/2016. Over the previous week the market value of iM-BESTOGA-3 gained 0.50% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $182,170 which includes $16,053 cash and excludes $767 spent on fees and slippage.
Fig-13.Best3x4-1-12-2016
The iM-Best3x4(S&P 500 Min Vol) model currently holds 8 stocks, 2 of them winners, so far held for an average period of 54 days, and showing a -12.09% return to 1/11/2016. Over the previous week the market value of iM-Best3x4 gained -2.48% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $98,969 which includes $688 cash and excludes $778 spent on fees and slippage.
Fig-12.Best2x4-1-12-2016
The iM-Best2x4(S&P 500 Min Vol) model currently holds 7 stocks, 2 of them winners, so far held for an average period of 68 days, and showing a -4.64% return to 1/11/2016. Over the previous week the market value of iM-Best2x4 gained -2.18% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $95,725 which includes -$392 cash and excludes $544 spent on fees and slippage.
Fig-7.USMVtrade-1-12-2016Fig-7.1.USMVtrade-1-12-2016
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 1 of them winners, so far held for an average period of 112 days, and showing a -4.95% return to 1/11/2016. Since inception, on 7/1/2014, the model gained 20.36% while the benchmark SPY gained 1.15% and the ETF USMV gained 11.62% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -4.31% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $120,360 which includes $286 cash and excludes $1,514 spent on fees and slippage.
Fig-9.USMVQ1-1-12-2016 Fig-9.1.USMVQ1-1-12-2016
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 240 days, and showing a -1.96% return to 1/11/2016. Since inception, on 1/5/2015, the model gained -1.12% while the benchmark SPY gained -2.79% and the ETF USMV gained 2.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -4.07% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $98,877 which includes $261 cash and excludes $279 spent on fees and slippage.
Fig-10.USMVQ2-1-12-2016 Fig-10.1.USMVQ2-1-12-2016
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 2 of them winners, so far held for an average period of 208 days, and showing a -13.07% return to 1/11/2016. Since inception, on 3/31/2015, the model gained -6.31% while the benchmark SPY gained -6.26% and the ETF USMV gained -0.99% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -4.57% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $93,685 which includes $77 cash and excludes $197 spent on fees and slippage.
Fig-5.USMVQ3-1-12-2016 Fig-5.1.USMVQ3-1-12-2016
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 2 of them winners, so far held for an average period of 123 days, and showing a -3.61% return to 1/11/2016. Since inception, on 7/1/2014, the model gained 10.74% while the benchmark SPY gained 1.15% and the ETF USMV gained 11.62% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -4.10% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $110,740 which includes $180 cash and excludes $513 spent on fees and slippage.
Fig-6.USMVQ4-1-12-2016Fig-6.1.USMVQ4-1-12-2016
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 2 of them winners, so far held for an average period of 92 days, and showing a -3.49% return to 1/11/2016. Since inception, on 9/30/2014, the model gained 6.06% while the benchmark SPY gained -0.20% and the ETF USMV gained 10.08% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -4.15% at a time when SPY gained -4.43%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $106,063 which includes $437 cash and excludes $434 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-12-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 15.45% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-12-2016
The iM-Best(Short) model currently holds 0position(s), valued $0 . Over the previous week the market value of iM-Best(Short) gained 7.25% at a time when SPY gained -4.43%. Over the period 1/2/2009 to 1/11/2016 the starting capital of $100,000 would have grown to $112,429 which includes $112,429 cash and excludes $21,854 spent on fees and slippage.
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