iM-Best Reports – 8/21/2017

Performance-wk-8-22-2017 Performance-mth-8-22-2017 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-8-22-2017
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.46% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $509,886 which includes $4,654 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-8-22-2017
iM-Combo3.R1: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 11.9%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained -2.05% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $137,058 which includes -$997 cash and excludes $3,437 spent on fees and slippage.
Fig-15.Combo5-8-22-2017
iM-Combo5: The model’s out of sample performance YTD is 12.1%, and for the last 12 months is 11.6%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-Combo5 gained -2.33% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $110,578 which includes -$21 cash and excludes $599 spent on fees and slippage.
Fig-8.VDIGXtrade-8-22-2017Fig-8.1.VDIGXtrade-8-22-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 20.8%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Since inception, on 7/1/2014, the model gained 62.29% while the benchmark SPY gained 31.85% and VDIGX gained 28.23% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.55% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $162,292 which includes $7,125 cash and excludes $1,588 spent on fees and slippage.
Fig-4.Bestoga3-8-22-2017
iM-BESTOGA-3: The model’s out of sample performance YTD is 9.0%, and for the last 12 months is 7.7%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.98% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $220,496 which includes -$38 cash and excludes $1,641 spent on fees and slippage.
Fig-18.HiD-LoV-8-22-2017
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 9.0%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.49% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,968 which includes $232 cash and excludes $1,128 spent on fees and slippage.
fig29im6-cap-strg-8-22-2017
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 22.9%, and since inception 30.0%. Over the same period the benchmark SPY performance was 9.7% and 16.0% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -2.46% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $129,977 which includes $1,377 cash and excludes $440 spent on fees and slippage.
Fig-17.BestogaX5-8-22-2017
iM-BestogaX5-System: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 10.2%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -1.48% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $104,770 which includes $146 cash and excludes $786 spent on fees and slippage.
Fig-7.USMVtrade-8-22-2017Fig-7.1.USMVtrade-8-22-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Since inception, on 6/30/2014, the model gained 55.61% while the benchmark SPY gained 31.85% and the ETF USMV gained 42.31% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.85% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $155,606 which includes $263 cash and excludes $3,335 spent on fees and slippage.
Fig-9.USMVQ1-8-22-2017 Fig-9.1.USMVQ1-8-22-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.5%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Since inception, on 1/5/2015, the model gained 46.63% while the benchmark SPY gained 26.70% and the ETF USMV gained 30.69% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.07% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $146,632 which includes $340 cash and excludes $800 spent on fees and slippage.
Fig-10.USMVQ2-8-22-2017 Fig-10.1.USMVQ2-8-22-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 8.0%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Since inception, on 3/30/2015, the model gained 27.55% while the benchmark SPY gained 22.18% and the ETF USMV gained 26.23% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.57% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $127,552 which includes $233 cash and excludes $660 spent on fees and slippage.
Fig-5.USMVQ3-8-22-2017 Fig-5.1.USMVQ3-8-22-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.3%, and for the last 12 months is 9.1%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Since inception, on 7/1/2014, the model gained 63.25% while the benchmark SPY gained 31.85% and the ETF USMV gained 42.31% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.10% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $163,247 which includes $72 cash and excludes $1,041 spent on fees and slippage.
Fig-6.USMVQ4-8-22-2017Fig-6.1.USMVQ4-8-22-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 60.03% while the benchmark SPY gained 29.86% and the ETF USMV gained 40.35% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.49% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $160,035 which includes $269 cash and excludes $869 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-8-22-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 36.26% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-8-22-2017
iM-Best(Short): The model’s out of sample performance YTD is 4.4%, and for the last 12 months is 8.1%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained -1.48%. Over the period 1/2/2009 to 8/21/2017 the starting capital of $100,000 would have grown to $101,084 which includes $101,084 cash and excludes $22,437 spent on fees and slippage.
fig25-Best2MCsETF-8-22-2017
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 9.8%, and for the last 12 months is 6.6%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.23% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,441 which includes $735 cash and excludes $107 spent on fees and slippage.
fig26-Best4MCsVang-8-22-2017
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.34% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,715 which includes $1,608 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-8-22-2017
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was 11.3% and 15.1% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.85% at a time when SPY gained -0.54%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,909 which includes $1,074 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-8-22-2017
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -1.47% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,216 which includes $223 cash and excludes $1,390 spent on fees and slippage.
fig22-imc-gld-stk-bnd-8-22-2017
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 23.0%, and for the last 12 months is 26.3%. Over the same period the benchmark SPY performance was 9.7% and 13.4% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.71% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $127,737 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-8-22-2017
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 2.8%. The benchmark SPY performance over the same period is 4.4%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.35% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,787 which includes $645 cash and excludes $69 spent on fees and slippage.
fig28-im-min-dd-8-22-2017
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 3.2%. The benchmark SPY performance over the same period is 4.0%. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.22% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $103,175 which includes $1,123 cash and excludes $83 spent on fees and slippage.
fig27-im-5etf-trader-8-22-2017
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 10.0%, and since inception 13.1%. Over the same period the benchmark SPY performance was 9.7% and 16.0% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -3.34% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $132,878 which includes $552 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-8-22-2017
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 10.0%, and since inception 13.1%. Over the same period the benchmark SPY performance was 9.7% and 16.0% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -1.56% at a time when SPY gained -1.48%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $113,131 which includes $863 cash and excludes $880 spent on fees and slippage.
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