iM-Best Reports – 2/25/2019

Performance-wk-2-26-2019 Performance-mth-2-26-2019 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
fig30im-fs-6040-2-26-2019
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 7.5% and 3.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.41% at a time when SPY gained 0.34%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $118,199 which includes $37 cash and excludes $672 spent on fees and slippage.
fig31im-fs-7030-2-26-2019
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 3.5%. Over the same period the benchmark SPY performance was 7.5% and 3.9% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.48% at a time when SPY gained 0.34%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $120,955 which includes $16 cash and excludes $766 spent on fees and slippage.
fig32im-fs-8020-2-26-2019
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 3.7%. Over the same period the benchmark SPY performance was 7.5% and 3.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.53% at a time when SPY gained 0.34%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,603 which includes -$21 cash and excludes $857 spent on fees and slippage.
fig1-SPY-SH-2-26-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -1.0%, and for the last 12 months is 2.3%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.57% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $595,335 which includes $9 cash and excludes $21,417 spent on fees and slippage.
fig-2-Combo3-2-26-2019
iM-Combo3.R1: The model’s out of sample performance YTD is -0.5%, and for the last 12 months is -5.1%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.14% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $154,219 which includes -$361 cash and excludes $4,973 spent on fees and slippage.
Fig-15.Combo5-2-26-2019
iM-Combo5: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is -3.3%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of iM-Combo5 gained 0.48% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $130,204 which includes -$659 cash and excludes $0 spent on fees and slippage.
Fig-8.VDIGXtrade-2-26-2019Fig-8.1.VDIGXtrade-2-26-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 9.6%, and for the last 12 months is 9.6%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Since inception, on 7/1/2014, the model gained 101.09% while the benchmark SPY gained 56.17% and VDIGX gained 55.33% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.03% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $201,092 which includes $237 cash and excludes $2,461 spent on fees and slippage.
Fig-18.HiD-LoV-2-26-2019
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 9.9%, and for the last 12 months is 4.8%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -2.57% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,163 which includes $108 cash and excludes $2,738 spent on fees and slippage.
fig29im6-cap-strg-2-26-2019
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 9.9%, and for the last 12 months is 6.9%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.92% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $165,558 which includes $1,265 cash and excludes $870 spent on fees and slippage.
Fig-7.USMVtrade-2-26-2019Fig-7.1.USMVtrade-2-26-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.3%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Since inception, on 6/30/2014, the model gained 101.07% while the benchmark SPY gained 56.17% and the ETF USMV gained 69.02% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.67% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $201,070 which includes $346 cash and excludes $5,197 spent on fees and slippage.
Fig-9.USMVQ1-2-26-2019 Fig-9.1.USMVQ1-2-26-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 14.7%, and for the last 12 months is 9.7%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Since inception, on 1/5/2015, the model gained 88.62% while the benchmark SPY gained 50.08% and the ETF USMV gained 55.22% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.78% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $188,621 which includes $686 cash and excludes $1,442 spent on fees and slippage.
Fig-10.USMVQ2-2-26-2019 Fig-10.1.USMVQ2-2-26-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.3%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Since inception, on 3/30/2015, the model gained 60.23% while the benchmark SPY gained 44.71% and the ETF USMV gained 49.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.94% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $160,233 which includes -$358 cash and excludes $1,310 spent on fees and slippage.
Fig-5.USMVQ3-2-26-2019 Fig-5.1.USMVQ3-2-26-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 16.1%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Since inception, on 7/1/2014, the model gained 93.48% while the benchmark SPY gained 56.17% and the ETF USMV gained 69.02% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.66% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $193,483 which includes $669 cash and excludes $1,894 spent on fees and slippage.
Fig-6.USMVQ4-2-26-2019Fig-6.1.USMVQ4-2-26-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 102.76% while the benchmark SPY gained 53.81% and the ETF USMV gained 66.69% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.74% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $202,762 which includes $23 cash and excludes $1,723 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-2-26-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 50.47% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-2-26-2019
iM-Best(Short): The model’s out of sample performance YTD is -9.1%, and for the last 12 months is -12.1%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.07% at a time when SPY gained 0.60%. Over the period 1/2/2009 to 2/25/2019 the starting capital of $100,000 would have grown to $80,941 which includes $97,070 cash and excludes $25,395 spent on fees and slippage.
fig25-Best2MCsETF-2-26-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 2.1%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.33% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,185 which includes $313 cash and excludes $447 spent on fees and slippage.
fig26-Best4MCsVang-2-26-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 5.5%, and for the last 12 months is 9.9%. Over the same period the benchmark SPY performance was 8.3% and 5.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.06% at a time when SPY gained -0.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,969 which includes -$20 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-2-26-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 3.7%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.50% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,767 which includes $4,511 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-2-26-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 5.9%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.17% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $145,285 which includes $1,053 cash and excludes $2,486 spent on fees and slippage.
Fig-12-vix-zif-2-26-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 4.4%, and for the last 12 months is -2.1%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.17% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $188,825 which includes $416 cash and excludes $4,763 spent on fees and slippage.
fig22-imc-gld-stk-bnd-2-26-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is -11.8%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.60% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,865 which includes $210 cash and excludes $2,651 spent on fees and slippage.
fig23iM-lo-turn-over-2-26-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is -5.8%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.19% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $101,253 which includes $964 cash and excludes $472 spent on fees and slippage.
fig28-im-min-dd-2-26-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 7.4%, and for the last 12 months is 0.6%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.83% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,562 which includes $2,973 cash and excludes $805 spent on fees and slippage.
fig27-im-5etf-trader-2-26-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 2.3%, and for the last 12 months is -17.4%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.02% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $141,710 which includes $326 cash and excludes $2,455 spent on fees and slippage.
fig24-im-std-5etf-trader-2-26-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 3.9%, and for the last 12 months is -5.1%. Over the same period the benchmark SPY performance was 11.8% and 3.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.08% at a time when SPY gained 0.60%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $121,873 which includes $439 cash and excludes $2,230 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