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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. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table |
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iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -2.0%, and for the last 12 months is 19.0%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 4.49% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $426,279 which includes -$7,214 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is -7.2%, and for the last 12 months is 1.5%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.15% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,788 which includes -$1,567 cash and excludes $2,862 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance from inception is -0.5%. The benchmark SPY performance over the same period is 9.7%. Over the previous week the market value of iM-Combo5 gained 0.17% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,474 which includes $19,853 cash and excludes $235 spent on fees and slippage. |
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The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 3.0%, and for the last 12 months is -1.0%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.09% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $458,711 which includes $187,532 cash and excludes $6,973 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 6.6%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Since inception, on 7/1/2014, the model gained 27.94% while the benchmark SPY gained 10.88% and the ETF VDIGX gained 14.55% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 5.03% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $127,943 which includes $313 cash and excludes $1,179 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 13.6%, and for the last 12 months is 47.0%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.34% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $208,751 which includes $17,690 cash and excludes $767 spent on fees and slippage. |
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iM-Best10(Short Russell3000): The model’s performance YTD is -23.4%, and for the last 12 months is -2.9%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -5.88% at a time when SPY gained 4.41%. Over the period 2/3/2014 to 7/5/2016 the starting capital of $100,000 would have grown to $10,879 which includes $20,954 cash and excludes $1,314 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance from inception is -3.0%. The benchmark SPY performance over the same period is 3.1%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 2.39% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $97,010 which includes $20,591 cash and excludes $139 spent on fees and slippage. |
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iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -13.0%, and since inception -10.6%. Over the same period the benchmark SPY performance was 3.3% and 1.1% respectively. Over the previous week the market value of iM-Best3x4 gained -0.80% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $89,432 which includes $491 cash and excludes $1,371 spent on fees and slippage. |
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iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -3.3%, and since inception -4.4%. Over the same period the benchmark SPY performance was 3.3% and 1.1% respectively. Over the previous week the market value of iM-Best2x4 gained -2.41% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $95,562 which includes $180 cash and excludes $1,046 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.2%, and for the last 12 months is 9.4%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Since inception, on 7/1/2014, the model gained 37.96% while the benchmark SPY gained 10.88% and the ETF USMV gained 29.84% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.78% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $137,958 which includes -$23 cash and excludes $2,050 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 12.0%, and for the last 12 months is 10.6%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Since inception, on 1/5/2015, the model gained 16.88% while the benchmark SPY gained 6.55% and the ETF USMV gained 19.24% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 4.35% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $116,879 which includes -$105 cash and excludes $472 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 12.2%, and for the last 12 months is 13.1%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Since inception, on 3/31/2015, the model gained 11.60% while the benchmark SPY gained 2.75% and the ETF USMV gained 15.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 3.81% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $111,599 which includes $39 cash and excludes $385 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 21.0%, and for the last 12 months is 15.0%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Since inception, on 7/1/2014, the model gained 41.93% while the benchmark SPY gained 10.88% and the ETF USMV gained 29.84% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 4.59% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $141,934 which includes -$97 cash and excludes $583 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 32.51% while the benchmark SPY gained 9.40% and the ETF USMV gained 28.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 5.07% at a time when SPY gained 4.41%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $132,512 which includes -$257 cash and excludes $522 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 29.16% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -6.5%, and for the last 12 months is -6.9%. Over the same period the benchmark SPY performance was 3.3% and 2.7% respectively. Over the previous week the market value of iM-Best(Short) gained -0.23% at a time when SPY gained 4.41%. Over the period 1/2/2009 to 7/5/2016 the starting capital of $100,000 would have grown to $97,880 which includes $136,916 cash and excludes $19,261 spent on fees and slippage. |
iM-Best Reports – 7/5/2016
Posted in pmp SPY-SH
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