iM-Best Reports – 9/24/2018

Performance-wk-9-25-2018 Performance-mth-9-25-2018Out 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-9-25-2018
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 10.0%, and for the last 12 months is 18.8%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.05% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $619,022 which includes -$4,925 cash and excludes $17,694 spent on fees and slippage.
fig-2-Combo3-9-25-2018
iM-Combo3.R1: The model’s out of sample performance YTD is 10.9%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.59% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $174,790 which includes -$1,119 cash and excludes $4,125 spent on fees and slippage.
Fig-15.Combo5-9-25-2018
iM-Combo5: The model’s out of sample performance YTD is 13.3%, and for the last 12 months is 26.3%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-Combo5 gained 1.77% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $144,599 which includes $509 cash and excludes $1,039 spent on fees and slippage.
Fig-8.VDIGXtrade-9-25-2018Fig-8.1.VDIGXtrade-9-25-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Since inception, on 7/1/2014, the model gained 98.40% while the benchmark SPY gained 61.65% and VDIGX gained -100.00% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.97% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $198,404 which includes $181 cash and excludes $2,382 spent on fees and slippage.
Fig-4.Bestoga3-9-25-2018
iM-BESTOGA-3: The model’s out of sample performance YTD is -17.4%, and for the last 12 months is -11.8%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.94% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $190,709 which includes $785 cash and excludes $2,946 spent on fees and slippage.
Fig-18.HiD-LoV-9-25-2018
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.9%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.75% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,435 which includes $67 cash and excludes $2,332 spent on fees and slippage.
fig29im6-cap-strg-9-25-2018
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 8.5%, and for the last 12 months is 20.1%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.65% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $164,051 which includes $1,224 cash and excludes $712 spent on fees and slippage.
Fig-17.BestogaX5-9-25-2018
iM-BestogaX5-System: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 13.0%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-BestogaX5-System gained 0.44% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $117,966 which includes $639 cash and excludes $1,256 spent on fees and slippage.
Fig-7.USMVtrade-9-25-2018Fig-7.1.USMVtrade-9-25-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 18.7%, and for the last 12 months is 25.6%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Since inception, on 6/30/2014, the model gained 103.10% while the benchmark SPY gained 61.65% and the ETF USMV gained 66.56% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.87% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $202,717 which includes $219 cash and excludes $4,508 spent on fees and slippage.
Fig-9.USMVQ1-9-25-2018 Fig-9.1.USMVQ1-9-25-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.2%, and for the last 12 months is 26.0%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Since inception, on 1/5/2015, the model gained 87.60% while the benchmark SPY gained 55.34% and the ETF USMV gained 52.96% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.01% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $187,079 which includes $209 cash and excludes $1,252 spent on fees and slippage.
Fig-10.USMVQ2-9-25-2018 Fig-10.1.USMVQ2-9-25-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 17.0%, and for the last 12 months is 20.1%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Since inception, on 3/30/2015, the model gained 58.69% while the benchmark SPY gained 49.80% and the ETF USMV gained 47.74% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.75% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $158,430 which includes $228 cash and excludes $1,098 spent on fees and slippage.
Fig-5.USMVQ3-9-25-2018 Fig-5.1.USMVQ3-9-25-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 16.1%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Since inception, on 7/1/2014, the model gained 94.49% while the benchmark SPY gained 61.65% and the ETF USMV gained 66.56% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.62% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $194,097 which includes $337 cash and excludes $1,620 spent on fees and slippage.
Fig-6.USMVQ4-9-25-2018Fig-6.1.USMVQ4-9-25-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 101.45% while the benchmark SPY gained 59.21% and the ETF USMV gained 64.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.08% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $201,050 which includes $110 cash and excludes $1,435 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-25-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 48.09% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-9-25-2018
iM-Best(Short): The model’s out of sample performance YTD is -7.2%, and for the last 12 months is -12.2%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of iM-Best(Short) gained -1.37% at a time when SPY gained 1.03%. Over the period 1/2/2009 to 9/24/2018 the starting capital of $100,000 would have grown to $84,620 which includes $84,620 cash and excludes $24,623 spent on fees and slippage.
fig25-Best2MCsETF-9-25-2018
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 9.6%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.41% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,396 which includes $52 cash and excludes $119 spent on fees and slippage.
fig26-Best4MCsVang-9-25-2018
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 5.7%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -1.26% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,612 which includes $4,783 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-9-25-2018
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 7.4%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.40% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,996 which includes $3,223 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-9-25-2018
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 19.1%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.02% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $146,421 which includes $2,658 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-9-25-2018
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 35.6%, and for the last 12 months is 66.8%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 3.03% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $238,591 which includes $77 cash and excludes $2,429 spent on fees and slippage.
fig22-imc-gld-stk-bnd-9-25-2018
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -8.2%, and for the last 12 months is -7.9%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.11% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,174 which includes $88 cash and excludes $1,956 spent on fees and slippage.
fig23iM-lo-turn-over-9-25-2018
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -1.7%, and for the last 12 months is 1.3%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.01% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,249 which includes $375 cash and excludes $76 spent on fees and slippage.
fig28-im-min-dd-9-25-2018
iM-Min Drawdown Combo: 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 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.41% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,836 which includes $1,178 cash and excludes $396 spent on fees and slippage.
fig27-im-5etf-trader-9-25-2018
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 18.5%, and for the last 12 months is 36.1%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.96% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $192,916 which includes $1,539 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-9-25-2018
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 9.0%, and for the last 12 months is 17.7%. Over the same period the benchmark SPY performance was 10.5% and 18.8% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.80% at a time when SPY gained 1.03%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $136,798 which includes $3,101 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