iM-Best Reports – 3/12/2018

Performance-wk-3-13-2018 Performance-mth-3-13-2018 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-3-13-2018
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 4.4%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.33% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $589,864 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
fig-2-Combo3-3-13-2018
iM-Combo3.R1: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 24.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained 2.04% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $165,354 which includes -$2,678 cash and excludes $3,557 spent on fees and slippage.
Fig-15.Combo5-3-13-2018
iM-Combo5: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 31.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Combo5 gained 3.13% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $138,285 which includes -$1,764 cash and excludes $665 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-3-13-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 7/1/2014, the model gained 84.62% while the benchmark SPY gained 52.71% and VDIGX gained 43.67% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.09% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,114 which includes $416 cash and excludes $2,067 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 6.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 5.21% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $234,754 which includes $340 cash and excludes $2,158 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.31% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,691 which includes $136 cash and excludes $1,673 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 29.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.16% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $154,935 which includes $998 cash and excludes $630 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 18.9%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.97% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $123,352 which includes $4,973 cash and excludes $966 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-3-13-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 6/30/2014, the model gained 74.20% while the benchmark SPY gained 52.71% and the ETF USMV gained 54.18% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.39% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $174,022 which includes -$8 cash and excludes $4,093 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-3-13-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.5%, and for the last 12 months is 25.1%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 1/5/2015, the model gained 70.32% while the benchmark SPY gained 46.76% and the ETF USMV gained 41.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.18% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,117 which includes -$62 cash and excludes $1,064 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-3-13-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 4.2%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 3/30/2015, the model gained 41.29% while the benchmark SPY gained 41.51% and the ETF USMV gained 36.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.23% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $141,078 which includes $460 cash and excludes $893 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-3-13-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 9.5%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 7/1/2014, the model gained 81.35% while the benchmark SPY gained 52.71% and the ETF USMV gained 54.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.98% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $181,154 which includes $828 cash and excludes $1,359 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-3-13-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 83.15% while the benchmark SPY gained 50.40% and the ETF USMV gained 52.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.36% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $183,080 which includes $265 cash and excludes $1,227 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-3-13-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 40.92% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-3-13-2018
iM-Best(Short): The model’s out of sample performance YTD is 2.0%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Best(Short) gained -0.91% at a time when SPY gained 2.33%. Over the period 1/2/2009 to 3/12/2018 the starting capital of $100,000 would have grown to $93,060 which includes $93,060 cash and excludes $23,817 spent on fees and slippage.
fig25-Best2MCsETF-3-13-2018
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -1.5%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.10% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,673 which includes $743 cash and excludes $115 spent on fees and slippage.
fig26-Best4MCsVang-3-13-2018
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -3.8%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.05% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,614 which includes $3,320 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-3-13-2018
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.09% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,454 which includes $2,172 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-3-13-2018
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 20.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.30% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $139,089 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-3-13-2018
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 66.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 2.49% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $196,379 which includes -$1,015 cash and excludes $1,288 spent on fees and slippage.
fig22-imc-gld-stk-bnd-3-13-2018
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.30% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,675 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-3-13-2018
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.6%, and since inception 7.7%. Over the same period the benchmark SPY performance was 4.4% and 20.9% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.69% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,728 which includes $1,612 cash and excludes $74 spent on fees and slippage.
fig28-im-min-dd-3-13-2018
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 1.7%, and since inception 9.8%. Over the same period the benchmark SPY performance was 4.4% and 20.4% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.55% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,632 which includes $866 cash and excludes $215 spent on fees and slippage.
fig27-im-5etf-trader-3-13-2018
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 44.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.81% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $177,218 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-3-13-2018
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 20.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.17% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $130,067 which includes $2,002 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