iM-Best Reports – 5/20/2019

Performance-wk-5-21-2019 Performance-mth-5-21-2019 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-6040-5-21-2019
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 3.7%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.52% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $118,868 which includes $209 cash and excludes $788 spent on fees and slippage.
fig31im-fs-7030-5-21-2019
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 3.6%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.64% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $121,137 which includes $218 cash and excludes $909 spent on fees and slippage.
fig32im-fs-8020-5-21-2019
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 3.5%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.75% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,386 which includes $319 cash and excludes $1,024 spent on fees and slippage.
fig1-SPY-SH-5-21-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.12% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $615,443 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
fig-2-Combo3-5-21-2019
iM-Combo3.R1: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is -4.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.25% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $158,167 which includes -$2,546 cash and excludes $5,182 spent on fees and slippage.
Fig-15.Combo5-5-21-2019
iM-Combo5: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 1.2%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Combo5 gained 1.24% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $134,527 which includes $1,744 cash and excludes $0 spent on fees and slippage.
Fig-8.VDIGXtrade-5-21-2019Fig-8.1.VDIGXtrade-5-21-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 108.16% while the benchmark SPY gained 59.35% and VDIGX gained 63.95% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.32% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $208,156 which includes $544 cash and excludes $2,558 spent on fees and slippage.
Fig-18.HiD-LoV-5-21-2019
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 14.5%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Best7(HiD-LoV) gained 0.30% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,206 which includes -$303 cash and excludes $2,975 spent on fees and slippage.
fig29im6-cap-strg-5-21-2019
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 8.7%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.20% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $163,142 which includes $932 cash and excludes $954 spent on fees and slippage.
Fig-7.USMVtrade-5-21-2019Fig-7.1.USMVtrade-5-21-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.7%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 6/30/2014, the model gained 101.87% while the benchmark SPY gained 59.35% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.13% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $201,867 which includes $568 cash and excludes $5,413 spent on fees and slippage.
Fig-9.USMVQ1-5-21-2019 Fig-9.1.USMVQ1-5-21-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 17.4%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 1/5/2015, the model gained 93.05% while the benchmark SPY gained 53.13% and the ETF USMV gained 61.98% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.67% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $193,050 which includes $405 cash and excludes $1,494 spent on fees and slippage.
Fig-10.USMVQ2-5-21-2019 Fig-10.1.USMVQ2-5-21-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 17.0%, and for the last 12 months is 15.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 3/30/2015, the model gained 62.47% while the benchmark SPY gained 47.66% and the ETF USMV gained 56.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.32% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $162,470 which includes $690 cash and excludes $1,356 spent on fees and slippage.
Fig-5.USMVQ3-5-21-2019 Fig-5.1.USMVQ3-5-21-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 15.3%, and for the last 12 months is 8.4%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 92.29% while the benchmark SPY gained 59.35% and the ETF USMV gained 76.38% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.94% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $192,292 which includes -$1,342 cash and excludes $1,971 spent on fees and slippage.
Fig-6.USMVQ4-5-21-2019Fig-6.1.USMVQ4-5-21-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 102.93% while the benchmark SPY gained 56.94% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.90% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $202,934 which includes -$1,089 cash and excludes $1,779 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-5-21-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 48.80% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-5-21-2019
iM-Best(Short): The model’s out of sample performance YTD is -11.7%, and for the last 12 months is -14.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.03% at a time when SPY gained 1.10%. Over the period 1/2/2009 to 5/20/2019 the starting capital of $100,000 would have grown to $78,583 which includes $93,897 cash and excludes $25,761 spent on fees and slippage.
fig25-Best2MCsETF-5-21-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is 7.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.48% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,552 which includes $24 cash and excludes $669 spent on fees and slippage.
fig26-Best4MCsVang-5-21-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.52% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,536 which includes $197 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-5-21-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.8%, and for the last 12 months is 4.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.65% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,740 which includes $5,116 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-5-21-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 10.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.10% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $150,709 which includes $499 cash and excludes $2,780 spent on fees and slippage.
Fig-12-vix-zif-5-21-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is -2.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 4.69% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $197,327 which includes $1,115 cash and excludes $5,544 spent on fees and slippage.
fig22-imc-gld-stk-bnd-5-21-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 11.0%, and for the last 12 months is -4.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.41% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,767 which includes $258 cash and excludes $2,889 spent on fees and slippage.
fig23iM-lo-turn-over-5-21-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 7.2%, and for the last 12 months is -2.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.54% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $103,284 which includes -$639 cash and excludes $813 spent on fees and slippage.
fig28-im-min-dd-5-21-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.60% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $113,479 which includes $679 cash and excludes $1,008 spent on fees and slippage.
fig27-im-5etf-trader-5-21-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 5.0%, and for the last 12 months is -14.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.46% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $145,333 which includes $285 cash and excludes $2,795 spent on fees and slippage.
fig24-im-std-5etf-trader-5-21-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 5.3%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.00% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $123,530 which includes -$316 cash and excludes $2,670 spent on fees and slippage.
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