iM-Best Reports – 6/3/2019

Performance-wk-6-4-2019 Performance-mth-6-4-2019 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-6040-6-4-2019
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 1.6%. Over the same period the benchmark E60B40 performance was 8.3% and 4.5% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.60% at a time when SPY gained -0.81%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $117,495 which includes $483 cash and excludes $788 spent on fees and slippage.
fig31im-fs-7030-6-4-2019
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 4.5%, and for the last 12 months is 0.9%. Over the same period the benchmark E60B40 performance was 8.3% and 4.5% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -0.96% at a time when SPY gained -0.81%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $119,079 which includes $426 cash and excludes $909 spent on fees and slippage.
fig32im-fs-8020-6-4-2019
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 4.0%, and for the last 12 months is 0.3%. Over the same period the benchmark E60B40 performance was 8.3% and 4.5% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -1.31% at a time when SPY gained -0.81%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $120,639 which includes $461 cash and excludes $1,024 spent on fees and slippage.
fig1-SPY-SH-6-4-2019
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -1.1%, and for the last 12 months is 2.7%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.31% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $594,742 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
fig-2-Combo3-6-4-2019
iM-Combo3.R1: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is -6.9%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.77% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $155,952 which includes -$1,230 cash and excludes $5,289 spent on fees and slippage.
Fig-15.Combo5-6-4-2019
iM-Combo5: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is -4.5%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of iM-Combo5 gained -2.03% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $129,754 which includes $1,253 cash and excludes $0 spent on fees and slippage.
Fig-8.VDIGXtrade-6-4-2019Fig-8.1.VDIGXtrade-6-4-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 12.3%, and for the last 12 months is 14.7%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Since inception, on 7/1/2014, the model gained 105.94% while the benchmark SPY gained 54.08% and VDIGX gained -100.00% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.28% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $205,942 which includes $591 cash and excludes $2,558 spent on fees and slippage.
Fig-18.HiD-LoV-6-4-2019
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of iM-Best7(HiD-LoV) gained 0.04% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $122,003 which includes $481 cash and excludes $3,018 spent on fees and slippage.
fig29im6-cap-strg-6-4-2019
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.77% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $159,276 which includes $1,438 cash and excludes $954 spent on fees and slippage.
Fig-7.USMVtrade-6-4-2019Fig-7.1.USMVtrade-6-4-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 15.7%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Since inception, on 6/30/2014, the model gained 98.40% while the benchmark SPY gained 54.08% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.49% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $198,403 which includes -$244 cash and excludes $5,514 spent on fees and slippage.
Fig-9.USMVQ1-6-4-2019 Fig-9.1.USMVQ1-6-4-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.6%, and for the last 12 months is 13.1%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Since inception, on 1/5/2015, the model gained 91.74% while the benchmark SPY gained 48.07% and the ETF USMV gained 61.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.24% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $191,741 which includes $165 cash and excludes $1,522 spent on fees and slippage.
Fig-10.USMVQ2-6-4-2019 Fig-10.1.USMVQ2-6-4-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 12.2%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Since inception, on 3/30/2015, the model gained 58.17% while the benchmark SPY gained 42.78% and the ETF USMV gained 55.90% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.42% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $158,172 which includes $621 cash and excludes $1,399 spent on fees and slippage.
Fig-5.USMVQ3-6-4-2019 Fig-5.1.USMVQ3-6-4-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 11.1%, and for the last 12 months is 4.2%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Since inception, on 7/1/2014, the model gained 85.19% while the benchmark SPY gained 54.08% and the ETF USMV gained 75.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -2.29% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $185,187 which includes -$3,623 cash and excludes $1,994 spent on fees and slippage.
Fig-6.USMVQ4-6-4-2019Fig-6.1.USMVQ4-6-4-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 96.50% while the benchmark SPY gained 51.75% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.87% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $196,496 which includes -$3 cash and excludes $1,811 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-6-4-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 49.69% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-6-4-2019
iM-Best(Short): The model’s out of sample performance YTD is -10.2%, and for the last 12 months is -13.4%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained -1.99%. Over the period 1/2/2009 to 6/3/2019 the starting capital of $100,000 would have grown to $79,933 which includes $79,933 cash and excludes $25,775 spent on fees and slippage.
fig25-Best2MCsETF-6-4-2019
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 5.1%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.17% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,083 which includes $35 cash and excludes $670 spent on fees and slippage.
fig26-Best4MCsVang-6-4-2019
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.6%, and for the last 12 months is 9.5%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.35% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,221 which includes $197 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-6-4-2019
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 10.9%, and for the last 12 months is 1.0%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -1.05% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,223 which includes $5,116 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-6-4-2019
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -1.99% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $145,747 which includes $499 cash and excludes $2,780 spent on fees and slippage.
Fig-12-vix-zif-6-4-2019
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 4.5%, and for the last 12 months is -11.0%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -2.51% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $188,912 which includes $1,115 cash and excludes $5,544 spent on fees and slippage.
fig22-imc-gld-stk-bnd-6-4-2019
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is -9.1%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -2.57% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,005 which includes $258 cash and excludes $2,889 spent on fees and slippage.
fig23iM-lo-turn-over-6-4-2019
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is -3.9%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.16% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,253 which includes -$527 cash and excludes $813 spent on fees and slippage.
fig28-im-min-dd-6-4-2019
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 5.5%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.46% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $111,220 which includes $368 cash and excludes $1,018 spent on fees and slippage.
fig27-im-5etf-trader-6-4-2019
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is -2.3%, and for the last 12 months is -22.3%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -4.43% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $135,290 which includes $285 cash and excludes $2,795 spent on fees and slippage.
fig24-im-std-5etf-trader-6-4-2019
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.9%, and for the last 12 months is -6.8%. Over the same period the benchmark SPY performance was 10.3% and 2.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -2.13% at a time when SPY gained -1.99%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $119,447 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