iM-Best Reports – 9/26/2016

Performance-wk-9-27-2016 Performance-mth-9-27-2016 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-9-27-2016
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 11.5%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.39% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $440,648 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage.
Fig-2.Combo3-9-27-2016
iM-Combo3.R1: The model’s out of sample performance YTD is -7.6%, and for the last 12 months is -1.3%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.30% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $122,274 which includes $95 cash and excludes $2,866 spent on fees and slippage.
Fig-15.Combo5-9-27-2016
iM-Combo5: The model’s out of sample performance from inception is -1.0%. The benchmark SPY performance over the same period is 13.3%. Over the previous week the market value of iM-Combo5 gained 0.38% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $99,000 which includes $19,032 cash and excludes $237 spent on fees and slippage.
Fig-14.Best8TaxEff-9-27-2016
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -3.8%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.02% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $428,235 which includes $191,212 cash and excludes $7,554 spent on fees and slippage.
Fig-8.VDIGXtrade-9-27-2016Fig-8.1.VDIGXtrade-9-27-2016
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 12.7%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Since inception, on 7/1/2014, the model gained 30.01% while the benchmark SPY gained 14.55% and the ETF VDIGX gained 15.84% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.01% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $130,014 which includes $191 cash and excludes $1,270 spent on fees and slippage.
Fig-19.Best2MCsETF-9-27-2016
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is -2.6%. The benchmark SPY performance over the same period is 2.8%. Over the previous week the market value of iM-BESTOGA-3 gained 0.81% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $370 which includes $103 cash and excludes Gain to date spent on fees and slippage.
Fig-4.Bestoga3-9-27-2016
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.87% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $205,390 which includes $19,002 cash and excludes $767 spent on fees and slippage.
Fig-18.HiD-LoV-9-27-2016
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is -0.6%. The benchmark SPY performance over the same period is 2.8%. Over the previous week the market value of iM-BESTOGA-3 gained 1.03% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $99,360 which includes $547 cash and excludes $121 spent on fees and slippage.
Fig-16.ShortRSL3000-9-27-2016
iM-Best10(Short Russell3000): The model’s performance YTD is -41.9%, and for the last 12 months is -33.2%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained -1.70% at a time when SPY gained 0.39%. Over the period 2/3/2014 to 9/26/2016 the starting capital of $100,000 would have grown to $8,254 which includes $14,827 cash and excludes $1,479 spent on fees and slippage.
Fig-17.BestogaX5-9-27-2016
iM-BestogaX5-System: The model’s out of sample performance from inception is -6.8%. The benchmark SPY performance over the same period is 6.5%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.41% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $93,227 which includes $19,814 cash and excludes $232 spent on fees and slippage.
Fig-13.Best3x4-9-27-2016
iM-Best3x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -16.0%, and for the last 12 months is -12.3%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Best3x4 gained -0.01% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $86,288 which includes $663 cash and excludes $1,624 spent on fees and slippage.
Fig-12.Best2x4-9-27-2016
iM-Best2x4(S&P 500 Min Vol): The model’s out of sample performance YTD is -6.9%, and for the last 12 months is -1.7%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Best2x4 gained -0.43% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $91,995 which includes $1,944 cash and excludes $1,298 spent on fees and slippage.
Fig-7.USMVtrade-9-27-2016Fig-7.1.USMVtrade-9-27-2016
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 19.1%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Since inception, on 7/1/2014, the model gained 39.71% while the benchmark SPY gained 14.55% and the ETF USMV gained 27.21% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.37% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $139,706 which includes -$124 cash and excludes $2,307 spent on fees and slippage.
Fig-9.USMVQ1-9-27-2016 Fig-9.1.USMVQ1-9-27-2016
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.1%, and for the last 12 months is 20.5%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Since inception, on 1/5/2015, the model gained 21.14% while the benchmark SPY gained 10.08% and the ETF USMV gained 16.82% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.94% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $121,138 which includes $95 cash and excludes $493 spent on fees and slippage.
Fig-10.USMVQ2-9-27-2016 Fig-10.1.USMVQ2-9-27-2016
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.5%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Since inception, on 3/31/2015, the model gained 10.91% while the benchmark SPY gained 6.15% and the ETF USMV gained 12.83% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.61% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $110,910 which includes -$110 cash and excludes $402 spent on fees and slippage.
Fig-5.USMVQ3-9-27-2016 Fig-5.1.USMVQ3-9-27-2016
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 22.0%, and for the last 12 months is 25.2%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Since inception, on 7/1/2014, the model gained 43.12% while the benchmark SPY gained 14.55% and the ETF USMV gained 27.21% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.79% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $143,122 which includes $5,002 cash and excludes $764 spent on fees and slippage.
Fig-6.USMVQ4-9-27-2016Fig-6.1.USMVQ4-9-27-2016
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 33.51% while the benchmark SPY gained 13.02% and the ETF USMV gained 25.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.54% at a time when SPY gained 0.39%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $133,509 which includes $286 cash and excludes $579 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-27-2016
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 28.48% over SPY. (see iM-USMV Investor Portfolio)
Fig-3.Short-9-27-2016
iM-Best(Short): The model’s out of sample performance YTD is -6.7%, and for the last 12 months is -9.9%. Over the same period the benchmark SPY performance was 6.7% and 13.5% respectively. Over the previous week the market value of iM-Best(Short) gained 0.66% at a time when SPY gained 0.39%. Over the period 1/2/2009 to 9/26/2016 the starting capital of $100,000 would have grown to $97,712 which includes $97,712 cash and excludes $20,259 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