iM-Best Reports – 1/4/2016

Performance-wk-1-5-2016 Performance-mth-1-5-2016 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-1-5-2016
The iM-Best(SPY-SH) model currently holds SH, so far held for a period of 35 days, and showing a 2.93% return to 1/4/2016. Over the previous week the market value of Best(SPY-SH) gained 2.08% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $441,539 which includes -$2,391 cash and excludes $14,503 spent on fees and slippage.
Fig-2.Combo3-1-5-2016
The iM-Combo3 model currently holds SH, SSO, and XLB, so far held for an average period of 42 days, and showing a -3.01% return to 1/4/2016. Over the previous week the market value of iM-Combo3 gained -1.16% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $131,043 which includes -$1,421 cash and excludes $2,127 spent on fees and slippage.
Fig-14.Best8TaxEff-1-5-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient model currently holds 8 stocks, 3 of them winners, so far held for an average period of 185 days, and showing a 2.48% return to 1/4/2016. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.08% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $442,362 which includes $201,354 cash and excludes $6,003 spent on fees and slippage.
Fig-8.VDIGXtrade-1-5-2016Fig-8.1.VDIGXtrade-1-5-2016
The iM-Best10(VDIGX)-Trader model currently holds 10 stocks, 3 of them winners, so far held for an average period of 162 days, and showing a 0.79% return to 1/4/2016. Since inception, on 7/1/2014, the model gained 24.42% while the benchmark SPY gained 5.84% and the ETF VDIGX gained 8.08% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.59% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $124,420 which includes $97 cash and excludes $812 spent on fees and slippage.
Fig-4.Bestoga3-1-5-2016
The iM-BESTOGA-3 model currently holds 3 stocks, 3 of them winners, so far held for an average period of 508 days, and showing a 37.79% return to 1/4/2016. Over the previous week the market value of iM-BESTOGA-3 gained -1.33% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $181,269 which includes $15,065 cash and excludes $767 spent on fees and slippage.
Fig-13.Best3x4-1-5-2016
The iM-Best3x4(S&P 500 Min Vol) model currently holds 8 stocks, 3 of them winners, so far held for an average period of 65 days, and showing a -10.05% return to 1/4/2016. Over the previous week the market value of iM-Best3x4 gained -1.30% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $101,485 which includes -$123 cash and excludes $758 spent on fees and slippage.
Fig-12.Best2x4-1-5-2016
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 61 days, and showing a -4.57% return to 1/4/2016. Over the previous week the market value of iM-Best2x4 gained -0.87% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $97,854 which includes -$94 cash and excludes $540 spent on fees and slippage.
Fig-7.USMVtrade-1-5-2016Fig-7.1.USMVtrade-1-5-2016
The iM-Best12(USMV)-Trader model currently holds 12 stocks, 5 of them winners, so far held for an average period of 105 days, and showing a -0.58% return to 1/4/2016. Since inception, on 7/1/2014, the model gained 25.77% while the benchmark SPY gained 5.84% and the ETF USMV gained 14.39% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -2.07% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $125,775 which includes $186 cash and excludes $1,514 spent on fees and slippage.
Fig-9.USMVQ1-1-5-2016 Fig-9.1.USMVQ1-1-5-2016
The iM-Best12(USMV)Q1-Investor model currently holds 12 stocks, 9 of them winners, so far held for an average period of 233 days, and showing a 2.30% return to 1/4/2016. Since inception, on 1/5/2015, the model gained 3.07% while the benchmark SPY gained 1.71% and the ETF USMV gained 5.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.66% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $103,072 which includes $164 cash and excludes $279 spent on fees and slippage.
Fig-10.USMVQ2-1-5-2016 Fig-10.1.USMVQ2-1-5-2016
The iM-Best12(USMV)Q2-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 201 days, and showing a -8.90% return to 1/4/2016. Since inception, on 3/31/2015, the model gained -1.83% while the benchmark SPY gained -1.92% and the ETF USMV gained 1.46% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.79% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $98,169 which includes $77 cash and excludes $197 spent on fees and slippage.
Fig-5.USMVQ3-1-5-2016 Fig-5.1.USMVQ3-1-5-2016
The iM-Best12(USMV)Q3-Investor model currently holds 12 stocks, 4 of them winners, so far held for an average period of 116 days, and showing a 0.62% return to 1/4/2016. Since inception, on 7/1/2014, the model gained 15.47% while the benchmark SPY gained 5.84% and the ETF USMV gained 14.39% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -2.08% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $115,471 which includes $58 cash and excludes $513 spent on fees and slippage.
Fig-6.USMVQ4-1-5-2016Fig-6.1.USMVQ4-1-5-2016
The iM-Best12(USMV)Q4-Investor model currently holds 12 stocks, 5 of them winners, so far held for an average period of 85 days, and showing a 0.80% return to 1/4/2016. Since inception, on 9/30/2014, the model gained 10.66% while the benchmark SPY gained 4.43% and the ETF USMV gained 12.81% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.88% at a time when SPY gained -2.04%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $110,658 which includes $342 cash and excludes $434 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-5-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 15.85% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-1-5-2016
The iM-Best(Short) model currently holds 5position(s), valued ($100,128). Over the previous week the market value of iM-Best(Short) gained 0.12% at a time when SPY gained -2.04%. Over the period 1/2/2009 to 1/4/2016 the starting capital of $100,000 would have grown to $104,825 which includes $204,823 cash and excludes $21,757 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