iM-Best Reports – 12/31/2018

Performance-wk-1-1-2019 Performance-mth-1-1-2019 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-1-1-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 6.4%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of Best(SPY-SH) gained 6.61% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $601,351 which includes $3,543 cash and excludes $20,123 spent on fees and slippage.
fig-2-Combo3-1-1-2019
iM-Combo3.R1: The model’s out of sample performance YTD is -1.9%, and for the last 12 months is -1.9%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 4.63% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $155,074 which includes $3,727 cash and excludes $4,551 spent on fees and slippage.
Fig-15.Combo5-1-1-2019
iM-Combo5: The model’s out of sample performance YTD is -0.5%, and for the last 12 months is -0.5%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of iM-Combo5 gained 4.10% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $127,315 which includes $4,000 cash and excludes $1,301 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-1-1-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 2.9%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Since inception, on 7/1/2014, the model gained 83.42% while the benchmark SPY gained 39.63% and VDIGX gained 40.97% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 6.31% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $183,418 which includes $55 cash and excludes $2,421 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -3.6%, and for the last 12 months is -3.6%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 4.26% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,315 which includes $645 cash and excludes $2,681 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -0.7%, and for the last 12 months is -0.7%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 5.79% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $150,645 which includes $2,018 cash and excludes $790 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-1-1-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 0.3%, and for the last 12 months is 0.3%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Since inception, on 6/30/2014, the model gained 71.48% while the benchmark SPY gained 39.63% and the ETF USMV gained 54.35% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 6.16% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $171,484 which includes $697 cash and excludes $4,905 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-1-1-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 1.8%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Since inception, on 1/5/2015, the model gained 64.39% while the benchmark SPY gained 34.19% and the ETF USMV gained 41.75% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 6.48% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $164,390 which includes $1,423 cash and excludes $1,393 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-1-1-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 2.4%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Since inception, on 3/30/2015, the model gained 38.92% while the benchmark SPY gained 29.39% and the ETF USMV gained 36.91% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 6.04% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,915 which includes $6,711 cash and excludes $1,288 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-1-1-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is -6.2%, and for the last 12 months is -6.2%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Since inception, on 7/1/2014, the model gained 66.71% while the benchmark SPY gained 39.63% and the ETF USMV gained 54.35% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 6.07% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $166,706 which includes $4,032 cash and excludes $1,840 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-1-1-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 74.75% while the benchmark SPY gained 37.52% and the ETF USMV gained 52.22% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 6.04% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $174,753 which includes -$760 cash and excludes $1,671 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-1-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 41.16% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-1-1-2019
iM-Best(Short): The model’s out of sample performance YTD is -2.4%, and for the last 12 months is -2.4%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of iM-Best(Short) gained -0.20% at a time when SPY gained 6.65%. Over the period 1/2/2009 to 12/31/2018 the starting capital of $100,000 would have grown to $89,016 which includes $125,565 cash and excludes $25,091 spent on fees and slippage.
fig25-Best2MCsETF-1-1-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -5.6%, and for the last 12 months is -5.6%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.44% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,085 which includes -$241 cash and excludes $336 spent on fees and slippage.
fig26-Best4MCsVang-1-1-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -2.5%, and for the last 12 months is -2.5%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 2.80% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,059 which includes $1,265 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-1-1-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is -7.6%, and for the last 12 months is -7.6%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 5.80% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,132 which includes $4,511 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-1-1-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 5.9%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 6.30% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $141,240 which includes -$55 cash and excludes $1,920 spent on fees and slippage.
Fig-12-vix-zif-1-1-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 2.7%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 15.05% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $180,812 which includes -$1,676 cash and excludes $4,388 spent on fees and slippage.
fig22-imc-gld-stk-bnd-1-1-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -14.8%, and for the last 12 months is -14.8%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.65% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,702 which includes -$760 cash and excludes $2,428 spent on fees and slippage.
fig23iM-lo-turn-over-1-1-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -10.0%, and for the last 12 months is -10.0%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 4.00% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $96,348 which includes -$391 cash and excludes $280 spent on fees and slippage.
fig28-im-min-dd-1-1-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is -5.5%, and for the last 12 months is -5.5%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 5.28% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $101,976 which includes $3,347 cash and excludes $620 spent on fees and slippage.
fig27-im-5etf-trader-1-1-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is -14.9%, and for the last 12 months is -14.9%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 9.21% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $138,475 which includes $1,830 cash and excludes $1,383 spent on fees and slippage.
fig24-im-std-5etf-trader-1-1-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is -6.6%, and for the last 12 months is -6.6%. Over the same period the benchmark SPY performance was -4.6% and -4.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 5.45% at a time when SPY gained 6.65%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $117,282 which includes $951 cash and excludes $1,315 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