iM-Best Reports – 6/17/2019

Performance-wk-6-18-2019 Performance-mth-6-18-2019 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-6040-6-18-2019
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 7.8%, and for the last 12 months is 3.1%. Over the same period the benchmark E60B40 performance was 11.9% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.11% at a time when SPY gained 0.19%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $120,658 which includes $747 cash and excludes $788 spent on fees and slippage.
fig31im-fs-7030-6-18-2019
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 8.0%, and for the last 12 months is 2.9%. Over the same period the benchmark E60B40 performance was 11.9% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -0.06% at a time when SPY gained 0.19%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $123,035 which includes $743 cash and excludes $909 spent on fees and slippage.
fig32im-fs-8020-6-18-2019
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 2.7%. Over the same period the benchmark E60B40 performance was 11.9% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.01% at a time when SPY gained 0.19%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $125,390 which includes $830 cash and excludes $1,024 spent on fees and slippage.
fig1-SPY-SH-6-18-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.14% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $627,405 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
fig-2-Combo3-6-18-2019
iM-Combo3.R1: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is -6.2%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.78% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $160,382 which includes -$1,230 cash and excludes $5,289 spent on fees and slippage.
Fig-15.Combo5-6-18-2019
iM-Combo5: The model’s out of sample performance YTD is 7.7%, and for the last 12 months is -1.7%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of iM-Combo5 gained 0.63% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $137,103 which includes $1,253 cash and excludes $0 spent on fees and slippage.
Fig-8.VDIGXtrade-6-18-2019Fig-8.1.VDIGXtrade-6-18-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 16.6%, and for the last 12 months is 15.6%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Since inception, on 7/1/2014, the model gained 113.80% while the benchmark SPY gained 62.39% and VDIGX gained 67.46% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.21% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $213,796 which includes $478 cash and excludes $2,558 spent on fees and slippage.
Fig-18.HiD-LoV-6-18-2019
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 17.2%, and for the last 12 months is 15.9%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of iM-Best7(HiD-LoV) gained 1.79% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,076 which includes $37,520 cash and excludes $3,069 spent on fees and slippage.
fig29im6-cap-strg-6-18-2019
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 7.7%, and for the last 12 months is 4.9%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.63% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $162,270 which includes $1,870 cash and excludes $954 spent on fees and slippage.
Fig-7.USMVtrade-6-18-2019Fig-7.1.USMVtrade-6-18-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 21.4%, and for the last 12 months is 13.2%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Since inception, on 6/30/2014, the model gained 108.20% while the benchmark SPY gained 62.39% and the ETF USMV gained 82.72% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.85% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $208,202 which includes $401 cash and excludes $5,579 spent on fees and slippage.
Fig-9.USMVQ1-6-18-2019 Fig-9.1.USMVQ1-6-18-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 21.1%, and for the last 12 months is 13.6%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Since inception, on 1/5/2015, the model gained 99.15% while the benchmark SPY gained 56.05% and the ETF USMV gained 67.80% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.07% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $199,147 which includes $461 cash and excludes $1,522 spent on fees and slippage.
Fig-10.USMVQ2-6-18-2019 Fig-10.1.USMVQ2-6-18-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 19.7%, and for the last 12 months is 14.7%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Since inception, on 3/30/2015, the model gained 66.31% while the benchmark SPY gained 50.47% and the ETF USMV gained 62.07% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.04% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $166,307 which includes $320 cash and excludes $1,431 spent on fees and slippage.
Fig-5.USMVQ3-6-18-2019 Fig-5.1.USMVQ3-6-18-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 18.0%, and for the last 12 months is 7.7%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Since inception, on 7/1/2014, the model gained 96.68% while the benchmark SPY gained 62.39% and the ETF USMV gained 82.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.14% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $196,683 which includes $431 cash and excludes $2,021 spent on fees and slippage.
Fig-6.USMVQ4-6-18-2019Fig-6.1.USMVQ4-6-18-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 106.61% while the benchmark SPY gained 59.93% and the ETF USMV gained 80.20% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.23% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $206,614 which includes -$572 cash and excludes $1,839 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-6-18-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 53.31% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-6-18-2019
iM-Best(Short): The model’s out of sample performance YTD is -11.1%, and for the last 12 months is -10.1%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of iM-Best(Short) gained -0.87% at a time when SPY gained 0.14%. Over the period 1/2/2009 to 6/17/2019 the starting capital of $100,000 would have grown to $79,147 which includes $95,178 cash and excludes $25,891 spent on fees and slippage.
fig25-Best2MCsETF-6-18-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.39% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,855 which includes $341 cash and excludes $670 spent on fees and slippage.
fig26-Best4MCsVang-6-18-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 12.1%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.07% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,692 which includes $197 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-6-18-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 15.7%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.07% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,966 which includes $5,116 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-6-18-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 8.7%, and for the last 12 months is 10.0%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.14% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $153,576 which includes $499 cash and excludes $2,780 spent on fees and slippage.
Fig-12-vix-zif-6-18-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is -10.4%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.41% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $199,465 which includes $1,115 cash and excludes $5,544 spent on fees and slippage.
fig22-imc-gld-stk-bnd-6-18-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 13.8%, and for the last 12 months is -1.2%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.09% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,891 which includes $258 cash and excludes $2,889 spent on fees and slippage.
fig23iM-lo-turn-over-6-18-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is -1.3%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.24% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,294 which includes -$527 cash and excludes $813 spent on fees and slippage.
fig28-im-min-dd-6-18-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 7.3%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.74% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $115,758 which includes $11,100 cash and excludes $1,018 spent on fees and slippage.
fig27-im-5etf-trader-6-18-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 7.8%, and for the last 12 months is -17.3%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.56% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $149,220 which includes $285 cash and excludes $2,795 spent on fees and slippage.
fig24-im-std-5etf-trader-6-18-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 7.8%, and for the last 12 months is -3.1%. Over the same period the benchmark SPY performance was 16.3% and 6.0% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.04% at a time when SPY gained 0.14%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $126,431 which includes -$218 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