iM-Best Reports – 7/17/2017

Performance-wk-7-18-2017 Performance-mth-7-18-2017 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-7-18-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 11.0%, and for the last 12 months is 16.1%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.30% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $512,895 which includes $2,193 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-7-18-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 10.4%, and for the last 12 months is 13.5%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.51% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $138,735 which includes $338 cash and excludes $3,345 spent on fees and slippage.
Fig-15.Combo5-7-18-2017
iM-Combo5: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 13.2%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-Combo5 gained 2.19% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $111,939 which includes $762 cash and excludes $555 spent on fees and slippage.
Fig-14.Best8TaxEff-7-18-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 6.4%, and for the last 12 months is -5.8%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.23% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $418,750 which includes $566 cash and excludes $8,444 spent on fees and slippage.
Fig-8.VDIGXtrade-7-18-2017Fig-8.1.VDIGXtrade-7-18-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 13.4%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Since inception, on 7/1/2014, the model gained 65.34% while the benchmark SPY gained 33.28% and VDIGX gained 29.09% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.70% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,339 which includes $6,687 cash and excludes $1,588 spent on fees and slippage.
Fig-4.Bestoga3-7-18-2017
iM-BESTOGA-3: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 8.3%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.08% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $225,866 which includes $224 cash and excludes $1,298 spent on fees and slippage.
Fig-18.HiD-LoV-7-18-2017
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 5.1%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.27% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,270 which includes $437 cash and excludes $979 spent on fees and slippage.
fig29im6-cap-strg-7-18-2017
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 21.8%, and since inception 28.8%. Over the same period the benchmark SPY performance was 10.9% and 17.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.49% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $128,838 which includes $1,885 cash and excludes $210 spent on fees and slippage.
Fig-17.BestogaX5-7-18-2017
iM-BestogaX5-System: The model’s out of sample performance YTD is 12.4%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.37% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $110,785 which includes $21 cash and excludes $786 spent on fees and slippage.
Fig-7.USMVtrade-7-18-2017Fig-7.1.USMVtrade-7-18-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 6.8%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Since inception, on 6/30/2014, the model gained 53.13% while the benchmark SPY gained 33.28% and the ETF USMV gained 40.88% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.53% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $153,133 which includes $287 cash and excludes $3,210 spent on fees and slippage.
Fig-9.USMVQ1-7-18-2017 Fig-9.1.USMVQ1-7-18-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 15.1%, and for the last 12 months is 19.6%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Since inception, on 1/5/2015, the model gained 44.78% while the benchmark SPY gained 28.08% and the ETF USMV gained 29.38% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.92% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $144,778 which includes -$25 cash and excludes $773 spent on fees and slippage.
Fig-10.USMVQ2-7-18-2017 Fig-10.1.USMVQ2-7-18-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.2%, and for the last 12 months is 9.9%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Since inception, on 3/30/2015, the model gained 26.79% while the benchmark SPY gained 23.50% and the ETF USMV gained 24.96% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.43% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $126,794 which includes $57 cash and excludes $660 spent on fees and slippage.
Fig-5.USMVQ3-7-18-2017 Fig-5.1.USMVQ3-7-18-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 4.0%, and for the last 12 months is 11.6%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Since inception, on 7/1/2014, the model gained 61.22% while the benchmark SPY gained 33.28% and the ETF USMV gained 40.88% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.31% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $161,220 which includes $190 cash and excludes $995 spent on fees and slippage.
Fig-6.USMVQ4-7-18-2017Fig-6.1.USMVQ4-7-18-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 58.50% while the benchmark SPY gained 31.26% and the ETF USMV gained 38.93% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.78% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $158,504 which includes -$42 cash and excludes $869 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-7-18-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.81% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-7-18-2017
iM-Best(Short): The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 1.30%. Over the period 1/2/2009 to 7/17/2017 the starting capital of $100,000 would have grown to $100,231 which includes $100,231 cash and excludes $22,354 spent on fees and slippage.
fig25-Best2MCsETF-7-18-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 4.1%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.11% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,319 which includes $735 cash and excludes $107 spent on fees and slippage.
fig26-Best4MCsVang-7-18-2017
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 4.8%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.71% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,119 which includes $1,608 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-7-18-2017
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 16.3%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.45% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,819 which includes $1,074 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-7-18-2017
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 12.4%, and for the last 12 months is 17.7%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.30% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,938 which includes $137 cash and excludes $1,389 spent on fees and slippage.
fig22-imc-gld-stk-bnd-7-18-2017
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 17.5%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 10.9% and 16.1% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.60% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $122,067 which includes $269 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-7-18-2017
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 2.3%. The benchmark SPY performance over the same period is 5.5%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.96% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,344 which includes -$71 cash and excludes $00 spent on fees and slippage.
fig28-im-min-dd-7-18-2017
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 1.2%. The benchmark SPY performance over the same period is 5.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.75% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $101,243 which includes $149 cash and excludes $09 spent on fees and slippage.
fig27-im-5etf-trader-7-18-2017
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 11.8%, and since inception 14.9%. Over the same period the benchmark SPY performance was 10.9% and 17.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.78% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $137,272 which includes $552 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-7-18-2017
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 11.8%, and since inception 14.9%. Over the same period the benchmark SPY performance was 10.9% and 17.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.43% at a time when SPY gained 1.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $114,905 which includes $863 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