Home › pmp › pmp SPY-SH › iM-Best Reports – 1/26/2016

iM-Best Reports – 1/26/2016

Performance-wk-1-26-2016 Performance-mth-1-26-2016 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-1-26-2016
 iM-Best(SPY-SH): The model’s out of sample performance YTD is 8.5%, and for the last 12 months is 31.3%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.18% at a time when SPY gained 0.18%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $471,707 which includes -$2,391 cash and excludes $14,503 spent on fees and slippage.
Fig-2.Combo3-1-26-2016
 iM-Combo3: The model’s out of sample performance YTD is -6.7%, and for the last 12 months is 1.4%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Over the previous week the market value of iM-Combo-3 gained 0.29% at a time when SPY gained -0.22%[/iM]. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $123,507 which includes -$152 cash and excludes $2,336 spent on fees and slippage.
Fig-14.Best8TaxEff-1-26-2016
 The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -5.1%, and for the last 12 months is 5.8%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.45% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $422,457 which includes $6,241 cash and excludes $6,003 spent on fees and slippage.
Fig-8.VDIGXtrade-1-26-2016Fig-8.1.VDIGXtrade-1-26-2016
 iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is -6.7%, and for the last 12 months is 2.4%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Since inception, on 7/1/2014, the model gained 17.59% while the benchmark SPY gained -1.20% and the ETF VDIGX gained 2.75% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.79% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $117,585 which includes -$2 cash and excludes $892 spent on fees and slippage.
Fig-4.Bestoga3-1-26-2016
 iM-BESTOGA-3: The model’s out of sample performance YTD is -2.4%, and for the last 12 months is 25.4%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.01% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $179,379 which includes $16,053 cash and excludes $767 spent on fees and slippage.
Fig-13.Best3x4-1-26-2016
 iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -5.1%, and since inception -2.5%. Over the same period the benchmark SPY performance was -8.0% and -9.9% respectively. Over the previous week the market value of iM-Best3x4 gained 1.93% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $97,488 which includes $889 cash and excludes $817 spent on fees and slippage.
Fig-12.Best2x4-1-26-2016
 iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -4.5%, and since inception -5.7%. Over the same period the benchmark SPY performance was -8.0% and -9.9% respectively. Over the previous week the market value of iM-Best2x4 gained 1.52% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $94,330 which includes -$929 cash and excludes $573 spent on fees and slippage.
Fig-7.USMVtrade-1-26-2016Fig-7.1.USMVtrade-1-26-2016
 iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is -6.6%, and for the last 12 months is -3.9%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Since inception, on 7/1/2014, the model gained 19.08% while the benchmark SPY gained -1.20% and the ETF USMV gained 10.62% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.53% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $119,081 which includes $60 cash and excludes $1,532 spent on fees and slippage.
Fig-9.USMVQ1-1-26-2016 Fig-9.1.USMVQ1-1-26-2016
 iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is -5.7%, and for the last 12 months is -5.0%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Since inception, on 1/5/2015, the model gained -1.67% while the benchmark SPY gained -5.06% and the ETF USMV gained 1.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.29% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $98,329 which includes $676 cash and excludes $338 spent on fees and slippage.
Fig-10.USMVQ2-1-26-2016 Fig-10.1.USMVQ2-1-26-2016
 iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is -6.2%, and since inception -6.7%. Over the same period the benchmark SPY performance was -8.0% and -7.3% respectively. Since inception, on 3/31/2015, the model gained -6.65% while the benchmark SPY gained -8.45% and the ETF USMV gained -1.88% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.66% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $93,350 which includes $9 cash and excludes $210 spent on fees and slippage.
Fig-5.USMVQ3-1-26-2016 Fig-5.1.USMVQ3-1-26-2016
 iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is -6.4%, and for the last 12 months is -11.9%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Since inception, on 7/1/2014, the model gained 9.78% while the benchmark SPY gained -1.20% and the ETF USMV gained 10.62% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.56% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $109,777 which includes $95 cash and excludes $530 spent on fees and slippage.
Fig-6.USMVQ4-1-26-2016Fig-6.1.USMVQ4-1-26-2016
 iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 4.95% while the benchmark SPY gained -2.51% and the ETF USMV gained 9.09% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.74% at a time when SPY gained -0.22%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $104,947 which includes -$304 cash and excludes $452 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-26-2016
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 16.40% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-26-2016
 iM-Best(Short): The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was -8.0% and -6.6% respectively. Over the previous week the market value of iM-Best(Short) gained 1.16% at a time when SPY gained -0.22%. Over the period 1/2/2009 to 1/25/2016 the starting capital of $100,000 would have grown to $113,660 which includes $113,660 cash and excludes $17,861 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