iM-Best Reports – 1/6/2020

Performance-wk-1-7-2020 Performance-mth-1-7-2020 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
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 16.0%. Over the same period the benchmark E60B40 performance was 0.5% and 21.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.72% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $130,240 which includes $552 cash and excludes $1,278 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 16.7%. Over the same period the benchmark E60B40 performance was 0.5% and 21.4% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.74% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $133,384 which includes $466 cash and excludes $1,408 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 17.4%. Over the same period the benchmark E60B40 performance was 0.5% and 21.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.76% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $136,526 which includes $517 cash and excludes $1,531 spent on fees and slippage.
1-SPY-SH-1-7-2020
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.80% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $712,717 which includes -$1,556 cash and excludes $22,629 spent on fees and slippage.
2-Combo3-1-7-2020
iM-Combo3.R1: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.29% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $177,426 which includes $5,314 cash and excludes $5,516 spent on fees and slippage.
15-Combo5-1-7-2020
iM-Combo5: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of iM-Combo5 gained 0.92% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $155,403 which includes $2,732 cash and excludes $0 spent on fees and slippage.
RequireSilver8-1.VDIGXtrade-1-7-2020
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 34.4%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Since inception, on 7/1/2014, the model gained 146.17% while the benchmark SPY gained 84.25% and VDIGX gained 85.32% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.69% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $246,174 which includes $1,120 cash and excludes $2,727 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.29% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $178,353 which includes $2,487 cash and excludes $1,118 spent on fees and slippage.
RequireGold7-1.USMVtrade-1-7-2020
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 36.7%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Since inception, on 6/30/2014, the model gained 135.36% while the benchmark SPY gained 84.25% and the ETF USMV gained 97.49% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.56% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $235,362 which includes $713 cash and excludes $6,052 spent on fees and slippage.
RequireGold13-1.MinVolUSMVInv-1-7-2020
iM-Min Volatility(USMV) Investor (Tax Efficient): The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 27.0%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Since inception, on 1/3/2013, the model gained 266.58% while the benchmark SPY gained 154.34% and the ETF USMV gained 156.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.79% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $366,579 which includes $741 cash and excludes $2,394 spent on fees and slippage.
RequireGold
iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond): The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -0.31% at a time when BND gained 0.26%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $149,441 which includes $5,460 cash and excludes $1,985 spent on fees and slippage.
3-Short-1-7-2020
iM-Best(Short): The model’s out of sample performance YTD is -1.1%, and for the last 12 months is -8.3%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of iM-Best(Short) gained -1.06% at a time when SPY gained 0.80%. Over the period 1/2/2009 to 1/6/2020 the starting capital of $100,000 would have grown to $79,580 which includes $79,580 cash and excludes $27,010 spent on fees and slippage.
25-Best2MCsETF-1-7-2020
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -0.3%, and for the last 12 months is 17.7%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.10% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,411 which includes $97 cash and excludes $675 spent on fees and slippage.
26-Best4MCsVang-1-7-2020
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -0.6%, and for the last 12 months is 18.9%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.28% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,952 which includes $271 cash and excludes $00 spent on fees and slippage.
21-imc-sh-rsp-1-7-2020
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is -0.1%, and for the last 12 months is 25.8%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.21% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $153,146 which includes $6,988 cash and excludes $513 spent on fees and slippage.
20-imc-spy-ief-1-7-2020
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 16.1%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.78% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $164,250 which includes $2,753 cash and excludes $3,393 spent on fees and slippage.
12-vix-zif-1-7-2020
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 1.6%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 1.58% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $188,150 which includes $817 cash and excludes $7,434 spent on fees and slippage.
22-imc-gld-stk-bnd-1-7-2020
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 0.0%, and for the last 12 months is 18.4%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.02% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,236 which includes $243 cash and excludes $4,375 spent on fees and slippage.
23-iM-lo-turn-over-1-7-2020
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -0.5%, and for the last 12 months is 15.3%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.32% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $112,055 which includes $649 cash and excludes $1,612 spent on fees and slippage.
27-im-5etf-trader-1-7-2020
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.51% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $157,654 which includes $1,489 cash and excludes $3,569 spent on fees and slippage.
24-im-std-5etf-trader-1-7-2020
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 0.3%, and for the last 12 months is 15.9%. Over the same period the benchmark SPY performance was 0.6% and 30.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.58% at a time when SPY gained 0.80%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $136,215 which includes $1,417 cash and excludes $3,330 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