iM-Best Reports – 11/12/2018

Performance-wk-11-13-2018 Performance-mth-11-13-2018 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-11-13-2018
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.30% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $582,141 which includes $2,930 cash and excludes $17,699 spent on fees and slippage.
fig-2-Combo3-11-13-2018
iM-Combo3.R1: The model’s out of sample performance YTD is -2.2%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.57% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $154,567 which includes $755 cash and excludes $4,229 spent on fees and slippage.
Fig-15.Combo5-11-13-2018
iM-Combo5: The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Combo5 gained -0.33% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,070 which includes $96 cash and excludes $1,142 spent on fees and slippage.
Fig-8.VDIGXtrade-11-13-2018Fig-8.1.VDIGXtrade-11-13-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 7/1/2014, the model gained 97.56% while the benchmark SPY gained 51.40% and VDIGX gained 50.42% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.45% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $197,565 which includes $602 cash and excludes $2,386 spent on fees and slippage.
Fig-4.Bestoga3-11-13-2018
iM-BESTOGA-3: The model’s out of sample performance YTD is -26.4%, and for the last 12 months is -22.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.85% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $170,643 which includes $53,075 cash and excludes $3,270 spent on fees and slippage.
Fig-18.HiD-LoV-11-13-2018
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 11.1%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.19% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,909 which includes $1,081 cash and excludes $2,420 spent on fees and slippage.
fig29im6-cap-strg-11-13-2018
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 13.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.04% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $159,234 which includes $967 cash and excludes $790 spent on fees and slippage.
Fig-17.BestogaX5-11-13-2018
iM-BestogaX5-System: The model’s out of sample performance YTD is 6.8%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BestogaX5-System gained -0.74% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $119,986 which includes $1,033 cash and excludes $1,363 spent on fees and slippage.
Fig-7.USMVtrade-11-13-2018Fig-7.1.USMVtrade-11-13-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 14.6%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 6/30/2014, the model gained 87.62% while the benchmark SPY gained 51.40% and the ETF USMV gained 63.53% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.29% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $187,616 which includes $448 cash and excludes $4,709 spent on fees and slippage.
Fig-9.USMVQ1-11-13-2018 Fig-9.1.USMVQ1-11-13-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 1/5/2015, the model gained 77.67% while the benchmark SPY gained 45.49% and the ETF USMV gained 50.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.48% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $177,667 which includes $657 cash and excludes $1,290 spent on fees and slippage.
Fig-10.USMVQ2-11-13-2018 Fig-10.1.USMVQ2-11-13-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.5%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 3/30/2015, the model gained 51.23% while the benchmark SPY gained 40.30% and the ETF USMV gained 45.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.32% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $151,235 which includes $498 cash and excludes $1,125 spent on fees and slippage.
Fig-5.USMVQ3-11-13-2018 Fig-5.1.USMVQ3-11-13-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 7.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 7/1/2014, the model gained 82.00% while the benchmark SPY gained 51.40% and the ETF USMV gained 63.53% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.18% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $181,999 which includes $772 cash and excludes $1,653 spent on fees and slippage.
Fig-6.USMVQ4-11-13-2018Fig-6.1.USMVQ4-11-13-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 98.43% while the benchmark SPY gained 49.12% and the ETF USMV gained 61.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.15% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $198,432 which includes $962 cash and excludes $1,435 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-13-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 48.33% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-11-13-2018
iM-Best(Short): The model’s out of sample performance YTD is -3.4%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Best(Short) gained 1.96% at a time when SPY gained -0.30%. Over the period 1/2/2009 to 11/12/2018 the starting capital of $100,000 would have grown to $88,090 which includes $88,090 cash and excludes $24,801 spent on fees and slippage.
fig25-Best2MCsETF-11-13-2018
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 8.7%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.21% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,218 which includes $99 cash and excludes $124 spent on fees and slippage.
fig26-Best4MCsVang-11-13-2018
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 3.4%. Over the same period the benchmark SPY performance was 3.5% and 7.5% 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 -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,796 which includes $5,697 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-11-13-2018
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.28% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,110 which includes $3,838 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-11-13-2018
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.29% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,961 which includes $3,311 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-11-13-2018
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.43% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $200,515 which includes $77 cash and excludes $3,254 spent on fees and slippage.
fig22-imc-gld-stk-bnd-11-13-2018
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -8.0%, and for the last 12 months is -6.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -2.39% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,376 which includes $111 cash and excludes $1,956 spent on fees and slippage.
fig23iM-lo-turn-over-11-13-2018
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -4.1%, and for the last 12 months is -1.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.75% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,689 which includes $723 cash and excludes $76 spent on fees and slippage.
fig28-im-min-dd-11-13-2018
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.08% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,704 which includes $2,941 cash and excludes $417 spent on fees and slippage.
fig27-im-5etf-trader-11-13-2018
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 8.8%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -1.74% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $165,173 which includes $1,874 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-11-13-2018
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.16% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $128,779 which includes $3,759 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