iM-Best Reports – 3/5/2018

Performance-wk-3-6-2018 Performance-mth-3-6-2018 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-3-6-2018
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of Best(SPY-SH) gained -2.05% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $576,457 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
fig-2-Combo3-3-6-2018
iM-Combo3.R1: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 21.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.24% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $161,957 which includes -$5,595 cash and excludes $3,554 spent on fees and slippage.
Fig-15.Combo5-3-6-2018
iM-Combo5: The model’s out of sample performance YTD is 4.8%, and for the last 12 months is 27.9%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Combo5 gained -1.75% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $134,046 which includes -$1,809 cash and excludes $665 spent on fees and slippage.
Fig-8.VDIGXtrade-3-6-2018Fig-8.1.VDIGXtrade-3-6-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 17.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 7/1/2014, the model gained 82.63% while the benchmark SPY gained 49.24% and VDIGX gained 41.02% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -2.12% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $182,136 which includes -$378 cash and excludes $2,034 spent on fees and slippage.
Fig-4.Bestoga3-3-6-2018
iM-BESTOGA-3: The model’s out of sample performance YTD is -3.6%, and for the last 12 months is 1.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.65% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,350 which includes $340 cash and excludes $2,158 spent on fees and slippage.
Fig-18.HiD-LoV-3-6-2018
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 4.7%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.36% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,434 which includes $13 cash and excludes $1,627 spent on fees and slippage.
fig29im6-cap-strg-3-6-2018
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 30.5%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.47% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $156,128 which includes $785 cash and excludes $630 spent on fees and slippage.
Fig-17.BestogaX5-3-6-2018
iM-BestogaX5-System: The model’s out of sample performance YTD is 7.9%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BestogaX5-System gained 0.80% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $120,864 which includes $4,871 cash and excludes $966 spent on fees and slippage.
Fig-7.USMVtrade-3-6-2018Fig-7.1.USMVtrade-3-6-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 6/30/2014, the model gained 73.53% while the benchmark SPY gained 49.24% and the ETF USMV gained 51.64% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -2.98% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $173,303 which includes $627 cash and excludes $4,039 spent on fees and slippage.
Fig-9.USMVQ1-3-6-2018 Fig-9.1.USMVQ1-3-6-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 1/5/2015, the model gained 70.63% while the benchmark SPY gained 43.42% and the ETF USMV gained 39.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.81% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,490 which includes -$116 cash and excludes $1,017 spent on fees and slippage.
Fig-10.USMVQ2-3-6-2018 Fig-10.1.USMVQ2-3-6-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 3/30/2015, the model gained 38.20% while the benchmark SPY gained 38.29% and the ETF USMV gained 34.50% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.78% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,040 which includes $1,062 cash and excludes $874 spent on fees and slippage.
Fig-5.USMVQ3-3-6-2018 Fig-5.1.USMVQ3-3-6-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 7/1/2014, the model gained 79.59% while the benchmark SPY gained 49.24% and the ETF USMV gained 51.64% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.06% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,442 which includes $828 cash and excludes $1,359 spent on fees and slippage.
Fig-6.USMVQ4-3-6-2018Fig-6.1.USMVQ4-3-6-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 80.63% while the benchmark SPY gained 46.99% and the ETF USMV gained 49.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.68% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $180,551 which includes $692 cash and excludes $1,197 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-3-6-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.25% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-3-6-2018
iM-Best(Short): The model’s out of sample performance YTD is 2.9%, and for the last 12 months is -1.9%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Best(Short) gained 1.97% at a time when SPY gained -2.05%. Over the period 1/2/2009 to 3/5/2018 the starting capital of $100,000 would have grown to $93,914 which includes $113,054 cash and excludes $23,796 spent on fees and slippage.
fig25-Best2MCsETF-3-6-2018
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -2.6%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -1.15% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,471 which includes $743 cash and excludes $115 spent on fees and slippage.
fig26-Best4MCsVang-3-6-2018
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.8%, and for the last 12 months is 1.1%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.93% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,511 which includes $3,320 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-3-6-2018
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -1.58% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,722 which includes $2,172 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-3-6-2018
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 17.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -2.03% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,962 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-3-6-2018
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 60.3%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -3.22% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $191,605 which includes -$1,015 cash and excludes $1,288 spent on fees and slippage.
fig22-imc-gld-stk-bnd-3-6-2018
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.01% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,282 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-3-6-2018
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -0.1%, and since inception 7.0%. Over the same period the benchmark SPY performance was 2.0% and 18.1% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.74% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $106,987 which includes $1,612 cash and excludes $74 spent on fees and slippage.
fig28-im-min-dd-3-6-2018
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.2%, and since inception 8.1%. Over the same period the benchmark SPY performance was 2.0% and 17.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -1.25% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,063 which includes $1,097 cash and excludes $205 spent on fees and slippage.
fig27-im-5etf-trader-3-6-2018
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 3.9%, and for the last 12 months is 35.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -3.41% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $169,086 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-3-6-2018
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 15.6%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -1.79% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $127,299 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