iM-Best Reports – 12/05/2017

Performance-wk-12-5-2017 Performance-mth-12-5-2017 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-12-5-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 20.4%, and for the last 12 months is 22.5%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.48% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $556,633 which includes $7,222 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-12-5-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 22.8%, and for the last 12 months is 27.0%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.40% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $154,246 which includes -$544 cash and excludes $3,437 spent on fees and slippage.
Fig-15.Combo5-12-5-2017
iM-Combo5: The model’s out of sample performance YTD is 26.5%, and for the last 12 months is 29.1%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-Combo5 gained -0.43% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $124,720 which includes $409 cash and excludes $603 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-12-5-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 21.1%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Since inception, on 7/1/2014, the model gained 76.49% while the benchmark SPY gained 44.09% and VDIGX gained 38.94% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 6.32% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $176,233 which includes $337 cash and excludes $1,913 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.72% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $229,443 which includes $1,003 cash and excludes $1,818 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 11.5%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 5.39% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,792 which includes $109 cash and excludes $1,256 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 42.9%, and for the last 12 months is 43.6%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 5.50% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $150,890 which includes $907 cash and excludes $559 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 12.4%, and for the last 12 months is 13.7%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 4.21% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $110,355 which includes $684 cash and excludes $881 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-12-5-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 22.0%, and for the last 12 months is 24.9%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Since inception, on 6/30/2014, the model gained 70.69% while the benchmark SPY gained 44.09% and the ETF USMV gained 164.14% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.92% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $170,580 which includes $385 cash and excludes $3,686 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-12-5-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 28.2%, and for the last 12 months is 30.4%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Since inception, on 1/5/2015, the model gained 61.29% while the benchmark SPY gained 38.47% and the ETF USMV gained 38.46% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.18% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $161,136 which includes $172 cash and excludes $871 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-12-5-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 18.0%, and for the last 12 months is 20.9%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Since inception, on 3/30/2015, the model gained 35.78% while the benchmark SPY gained 33.52% and the ETF USMV gained 33.53% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.16% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $135,657 which includes -$221 cash and excludes $784 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-12-5-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 12.5%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Since inception, on 7/1/2014, the model gained 74.37% while the benchmark SPY gained 44.09% and the ETF USMV gained 164.14% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.51% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $174,217 which includes $16 cash and excludes $1,209 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-12-5-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 69.91% while the benchmark SPY gained 41.91% and the ETF USMV gained 42.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.76% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $169,823 which includes $144 cash and excludes $1,076 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-12-5-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 38.84% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-12-5-2017
iM-Best(Short): The model’s out of sample performance YTD is -6.3%, and for the last 12 months is -5.3%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.11% at a time when SPY gained 1.50%. Over the period 1/2/2009 to 12/4/2017 the starting capital of $100,000 would have grown to $90,956 which includes $108,658 cash and excludes $23,229 spent on fees and slippage.
fig25-Best2MCsETF-12-5-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 18.4%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.38% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,458 which includes $70 cash and excludes $115 spent on fees and slippage.
fig26-Best4MCsVang-12-5-2017
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 12.2%, and for the last 12 months is 16.3%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.47% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,614 which includes $2,356 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-12-5-2017
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 16.9%, and for the last 12 months is 18.6%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.39% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,421 which includes $1,593 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-12-5-2017
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 22.0%, and for the last 12 months is 24.1%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.49% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,318 which includes $833 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-12-5-2017
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 69.6%, and since inception 69.6%. Over the same period the benchmark SPY performance was 19.9% and 19.9% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 6.26% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $169,630 which includes $587 cash and excludes $578 spent on fees and slippage.
fig22-imc-gld-stk-bnd-12-5-2017
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 21.5%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.35% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,195 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-12-5-2017
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 5.7%. The benchmark SPY performance over the same period is 14.1%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.47% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,591 which includes $974 cash and excludes $69 spent on fees and slippage.
fig28-im-min-dd-12-5-2017
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 6.8%. The benchmark SPY performance over the same period is 13.6%. Over the previous week the market value of the iM-Min Drawdown Combo gained 2.14% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $106,639 which includes $1,644 cash and excludes $113 spent on fees and slippage.
fig27-im-5etf-trader-12-5-2017
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 40.5%, and for the last 12 months is 48.6%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.82% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $158,570 which includes $757 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-12-5-2017
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 20.3%, and for the last 12 months is 23.5%. Over the same period the benchmark SPY performance was 19.9% and 22.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.91% at a time when SPY gained 1.50%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $123,732 which includes $1,385 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
Share This