iM-Best Reports – 4/1/2019

Performance-wk-4-2-2019 Performance-mth-4-2-2019 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-6040-4-2-2019
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 6.7%. Over the same period the benchmark SPY performance was 9.9% and 8.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.41% at a time when SPY gained 1.37%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $120,109 which includes $428 cash and excludes $788 spent on fees and slippage.
fig31im-fs-7030-4-2-2019
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 7.9%, and for the last 12 months is 7.4%. Over the same period the benchmark SPY performance was 9.9% and 8.4% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.36% at a time when SPY gained 1.37%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $122,900 which includes $586 cash and excludes $909 spent on fees and slippage.
fig32im-fs-8020-4-2-2019
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 8.1%. Over the same period the benchmark SPY performance was 9.9% and 8.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.36% at a time when SPY gained 1.37%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $125,627 which includes $683 cash and excludes $1,024 spent on fees and slippage.
fig1-SPY-SH-4-2-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.48% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $619,592 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
fig-2-Combo3-4-2-2019
iM-Combo3.R1: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is -0.4%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.19% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $158,581 which includes -$2,546 cash and excludes $5,182 spent on fees and slippage.
Fig-15.Combo5-4-2-2019
iM-Combo5: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 4.9%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of iM-Combo5 gained 1.46% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $135,704 which includes -$343 cash and excludes $0 spent on fees and slippage.
Fig-8.VDIGXtrade-4-2-2019Fig-8.1.VDIGXtrade-4-2-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Since inception, on 7/1/2014, the model gained 105.01% while the benchmark SPY gained 60.40% and VDIGX gained 61.32% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.56% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $205,015 which includes $181 cash and excludes $2,508 spent on fees and slippage.
Fig-18.HiD-LoV-4-2-2019
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.01% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,102 which includes $36,169 cash and excludes $2,882 spent on fees and slippage.
fig29im6-cap-strg-4-2-2019
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 11.7%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.39% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $168,104 which includes $2,214 cash and excludes $870 spent on fees and slippage.
Fig-7.USMVtrade-4-2-2019Fig-7.1.USMVtrade-4-2-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 19.4%, and for the last 12 months is 18.4%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Since inception, on 6/30/2014, the model gained 104.79% while the benchmark SPY gained 60.40% and the ETF USMV gained 74.52% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.12% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $204,790 which includes $1,120 cash and excludes $5,230 spent on fees and slippage.
Fig-9.USMVQ1-4-2-2019 Fig-9.1.USMVQ1-4-2-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 18.0%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Since inception, on 1/5/2015, the model gained 94.03% while the benchmark SPY gained 54.14% and the ETF USMV gained 60.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.21% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $194,025 which includes $948 cash and excludes $1,442 spent on fees and slippage.
Fig-10.USMVQ2-4-2-2019 Fig-10.1.USMVQ2-4-2-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 18.5%, and for the last 12 months is 20.2%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Since inception, on 3/30/2015, the model gained 64.56% while the benchmark SPY gained 48.64% and the ETF USMV gained 54.80% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.60% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $164,565 which includes -$229 cash and excludes $1,310 spent on fees and slippage.
Fig-5.USMVQ3-4-2-2019 Fig-5.1.USMVQ3-4-2-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 18.5%, and for the last 12 months is 13.3%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Since inception, on 7/1/2014, the model gained 97.47% while the benchmark SPY gained 60.40% and the ETF USMV gained 74.52% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.91% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $197,465 which includes $90 cash and excludes $1,917 spent on fees and slippage.
Fig-6.USMVQ4-4-2-2019Fig-6.1.USMVQ4-4-2-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 108.94% while the benchmark SPY gained 57.98% and the ETF USMV gained 72.11% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.68% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $208,940 which includes $150 cash and excludes $1,723 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-2-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 53.95% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-4-2-2019
iM-Best(Short): The model’s out of sample performance YTD is -12.3%, and for the last 12 months is -16.6%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of iM-Best(Short) gained -1.10% at a time when SPY gained 2.43%. Over the period 1/2/2009 to 4/1/2019 the starting capital of $100,000 would have grown to $78,059 which includes $78,059 cash and excludes $25,545 spent on fees and slippage.
fig25-Best2MCsETF-4-2-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 5.3%, and for the last 12 months is 3.6%. Over the same period the benchmark SPY performance was 14.9% and 10.7% 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 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,653 which includes $307 cash and excludes $558 spent on fees and slippage.
fig26-Best4MCsVang-4-2-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 11.6%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.22% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,993 which includes $688 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-4-2-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 15.6%, and for the last 12 months is 8.1%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.86% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,916 which includes $5,116 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-4-2-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 7.4%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.43% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $151,703 which includes $499 cash and excludes $2,780 spent on fees and slippage.
Fig-12-vix-zif-4-2-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 12.8%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 5.70% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $203,869 which includes $712 cash and excludes $5,147 spent on fees and slippage.
fig22-imc-gld-stk-bnd-4-2-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is -5.3%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 3.89% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $123,992 which includes $258 cash and excludes $2,889 spent on fees and slippage.
fig23iM-lo-turn-over-4-2-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is -2.5%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 1.61% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,190 which includes $1,010 cash and excludes $675 spent on fees and slippage.
fig28-im-min-dd-4-2-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.72% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $113,479 which includes $11,762 cash and excludes $948 spent on fees and slippage.
fig27-im-5etf-trader-4-2-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 8.4%, and for the last 12 months is -6.3%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.73% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $150,049 which includes $285 cash and excludes $2,795 spent on fees and slippage.
fig24-im-std-5etf-trader-4-2-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 0.2%. Over the same period the benchmark SPY performance was 14.9% and 10.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.16% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $124,788 which includes -$316 cash and excludes $2,670 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