Home › pmp › pmp SPY-SH › iM-Best Reports – 10/17/2017

iM-Best Reports – 10/17/2017

Performance-wk-10-17-2017 Performance-mth-10-17-2017 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
fig1-SPY-SH-10-17-2017
 iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 15.9%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.52% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $535,657 which includes $4,654 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-10-17-2017
 iM-Combo3.R1: The model’s out of sample performance YTD is 17.5%, and for the last 12 months is 21.3%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.86% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $147,582 which includes -$781 cash and excludes $3,437 spent on fees and slippage.
Fig-15.Combo5-10-17-2017
 iM-Combo5: The model’s out of sample performance YTD is 21.0%, and for the last 12 months is 21.3%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-Combo5 gained 1.00% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $119,328 which includes -$1,947 cash and excludes $601 spent on fees and slippage.
Fig-8.VDIGXtrade-10-17-2017Fig-8.1.VDIGXtrade-10-17-2017
 iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 14.5%, and for the last 12 months is 32.6%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Since inception, on 7/1/2014, the model gained 66.85% while the benchmark SPY gained 39.26% and VDIGX gained 33.83% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.59% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $166,847 which includes $12,032 cash and excludes $1,706 spent on fees and slippage.
Fig-4.Bestoga3-10-17-2017
 iM-BESTOGA-3: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.38% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $215,235 which includes $1,003 cash and excludes $1,818 spent on fees and slippage.
Fig-18.HiD-LoV-10-17-2017
 iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.86% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,172 which includes $662 cash and excludes $1,211 spent on fees and slippage.
fig29im6-cap-strg-10-17-2017
 iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 32.0%, and since inception 39.6%. Over the same period the benchmark SPY performance was 15.8% and 22.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.15% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $139,598 which includes $2,137 cash and excludes $440 spent on fees and slippage.
Fig-17.BestogaX5-10-17-2017
 iM-BestogaX5-System: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.58% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $106,748 which includes $684 cash and excludes $881 spent on fees and slippage.
Fig-7.USMVtrade-10-17-2017Fig-7.1.USMVtrade-10-17-2017
 iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 16.8%, and for the last 12 months is 20.9%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Since inception, on 6/30/2014, the model gained 63.39% while the benchmark SPY gained 39.26% and the ETF USMV gained 46.37% 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 0.53%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $163,394 which includes $98 cash and excludes $3,471 spent on fees and slippage.
Fig-9.USMVQ1-10-17-2017 Fig-9.1.USMVQ1-10-17-2017
 iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 21.6%, and for the last 12 months is 29.9%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Since inception, on 1/5/2015, the model gained 52.95% while the benchmark SPY gained 33.83% and the ETF USMV gained 34.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.58% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $152,953 which includes -$2 cash and excludes $821 spent on fees and slippage.
Fig-10.USMVQ2-10-17-2017 Fig-10.1.USMVQ2-10-17-2017
 iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 14.9%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Since inception, on 3/30/2015, the model gained 32.25% while the benchmark SPY gained 29.06% and the ETF USMV gained 29.83% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.37% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,246 which includes $186 cash and excludes $723 spent on fees and slippage.
Fig-5.USMVQ3-10-17-2017 Fig-5.1.USMVQ3-10-17-2017
 iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 18.6%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Since inception, on 7/1/2014, the model gained 68.73% while the benchmark SPY gained 39.26% and the ETF USMV gained 46.37% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.00% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $168,730 which includes $163 cash and excludes $1,104 spent on fees and slippage.
Fig-6.USMVQ4-10-17-2017Fig-6.1.USMVQ4-10-17-2017
 iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 68.31% while the benchmark SPY gained 37.16% and the ETF USMV gained 44.35% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.03% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $168,313 which includes $1,756 cash and excludes $906 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-10-17-2017
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 37.82% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-10-17-2017
 iM-Best(Short): The model’s out of sample performance YTD is -3.5%, and for the last 12 months is -4.0%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of iM-Best(Short) gained -0.74% at a time when SPY gained 0.53%. Over the period 1/2/2009 to 10/16/2017 the starting capital of $100,000 would have grown to $93,437 which includes $112,146 cash and excludes $22,877 spent on fees and slippage.
fig25-Best2MCsETF-10-17-2017
 iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 10.9%, and for the last 12 months is 11.9%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.15% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $107,508 which includes $55 cash and excludes $113 spent on fees and slippage.
fig26-Best4MCsVang-10-17-2017
 iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 12.7%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.13% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,636 which includes $2,356 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-10-17-2017
 iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 12.7%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.43% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $123,754 which includes $1,593 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-10-17-2017
 iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 17.4%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.53% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,336 which includes $223 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-10-17-2017
 iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 50.7%, and since inception 50.7%. Over the same period the benchmark SPY performance was 15.8% and 15.8% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 1.59% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $150,723 which includes $587 cash and excludes $578 spent on fees and slippage.
fig22-imc-gld-stk-bnd-10-17-2017
 iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 23.3%, and for the last 12 months is 29.5%. Over the same period the benchmark SPY performance was 15.8% and 22.2% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.77% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,052 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-10-17-2017
 iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.8%. The benchmark SPY performance over the same period is 10.2%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.60% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,758 which includes $900 cash and excludes $69 spent on fees and slippage.
fig28-im-min-dd-10-17-2017
 iM-Min Drawdown Combo: The model’s out of sample performance from inception is 4.3%. The benchmark SPY performance over the same period is 9.8%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.60% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $104,275 which includes $1,211 cash and excludes $103 spent on fees and slippage.
fig27-im-5etf-trader-10-17-2017
 iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 32.2%, and since inception 49.3%. Over the same period the benchmark SPY performance was 15.8% and 22.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.98% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $149,260 which includes $757 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-10-17-2017
 iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 16.0%, and since inception 19.2%. Over the same period the benchmark SPY performance was 15.8% and 22.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.59% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $119,221 which includes $1,272 cash and excludes $880 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