iM-Best Reports – 7/3/2017

Performance-wk-7-4-2017 Performance-mth-7-4-2017 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-7-4-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 17.8%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.44% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $505,990 which includes $2,193 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-7-4-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 10.8%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.69% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $135,768 which includes $271 cash and excludes $3,345 spent on fees and slippage.
Fig-15.Combo5-7-4-2017
iM-Combo5: The model’s out of sample performance YTD is 9.8%, and for the last 12 months is 9.1%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-Combo5 gained -2.41% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $108,302 which includes $729 cash and excludes $555 spent on fees and slippage.
Fig-14.Best8TaxEff-7-4-2017
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is 6.7%, and for the last 12 months is -8.4%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.05% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $419,916 which includes $566 cash and excludes $8,444 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-7-4-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is 27.8%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 64.72% while the benchmark SPY gained 31.48% and VDIGX gained 28.68% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.09% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $164,715 which includes $499 cash and excludes $1,542 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 10.4%, and for the last 12 months is 7.4%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.05% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,435 which includes -$365 cash and excludes $1,298 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.56% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,144 which includes $113 cash and excludes $979 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 20.3%, and since inception 27.2%. Over the same period the benchmark SPY performance was 9.4% and 15.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.05% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $127,229 which includes $1,885 cash and excludes $210 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 12.6%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.19% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $110,938 which includes $479 cash and excludes $737 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-7-4-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.5%, and for the last 12 months is 9.4%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Since inception, on 6/30/2014, the model gained 51.73% while the benchmark SPY gained 31.48% and the ETF USMV gained 39.88% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.32% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $151,734 which includes $50 cash and excludes $3,163 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-7-4-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 12.2%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Since inception, on 1/5/2015, the model gained 41.22% while the benchmark SPY gained 26.35% and the ETF USMV gained 28.46% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.73% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $141,217 which includes $94 cash and excludes $749 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-7-4-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Since inception, on 3/30/2015, the model gained 25.69% while the benchmark SPY gained 21.83% and the ETF USMV gained 24.07% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.13% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $125,686 which includes $411 cash and excludes $642 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-7-4-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 13.3%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 61.37% while the benchmark SPY gained 31.48% and the ETF USMV gained 39.88% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.74% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $161,368 which includes $928 cash and excludes $972 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-7-4-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 55.68% while the benchmark SPY gained 29.49% and the ETF USMV gained 37.95% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.02% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $155,679 which includes $206 cash and excludes $841 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-7-4-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 33.30% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-7-4-2017
iM-Best(Short): The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 1.7%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of iM-Best(Short) gained 1.12% at a time when SPY gained -0.44%. Over the period 1/2/2009 to 7/3/2017 the starting capital of $100,000 would have grown to $99,783 which includes $120,158 cash and excludes $22,333 spent on fees and slippage.
fig25-Best2MCsETF-7-4-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 8.4%, and for the last 12 months is 5.3%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -1.30% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,665 which includes $9,353 cash and excludes $107 spent on fees and slippage.
fig26-Best4MCsVang-7-4-2017
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 5.5%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -1.30% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,480 which includes $1,211 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-7-4-2017
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 8.2%, and for the last 12 months is 18.9%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.13% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,807 which includes $1,074 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-7-4-2017
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.44% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,304 which includes $137 cash and excludes $1,389 spent on fees and slippage.
fig22-imc-gld-stk-bnd-7-4-2017
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 16.3%, and for the last 12 months is 20.9%. Over the same period the benchmark SPY performance was 9.4% and 17.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.92% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,777 which includes $269 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-7-4-2017
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 1.5%. The benchmark SPY performance over the same period is 4.1%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.52% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $101,511 which includes -$222 cash and excludes $00 spent on fees and slippage.
fig28-im-min-dd-7-4-2017
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 0.6%. The benchmark SPY performance over the same period is 3.7%. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.90% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $100,603 which includes -$25 cash and excludes $09 spent on fees and slippage.
fig27-im-5etf-trader-7-4-2017
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 10.6%, and since inception 13.7%. Over the same period the benchmark SPY performance was 9.4% and 15.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.95% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $133,421 which includes $552 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-7-4-2017
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 10.6%, and since inception 13.7%. Over the same period the benchmark SPY performance was 9.4% and 15.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.14% at a time when SPY gained -0.44%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $113,665 which includes $656 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