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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 |
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iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 11.0%. Over the same period the benchmark E60B40 performance was 1.3% and 14.7% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -2.25% at a time when SPY gained -2.24%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $131,198 which includes $605 cash and excludes $1,278 spent on fees and slippage. |
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iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 10.9%. Over the same period the benchmark E60B40 performance was 1.3% and 14.7% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -2.72% at a time when SPY gained -2.24%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $134,076 which includes $506 cash and excludes $1,408 spent on fees and slippage. |
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iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 10.9%. Over the same period the benchmark E60B40 performance was 1.3% and 14.7% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -3.18% at a time when SPY gained -2.24%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $136,940 which includes $545 cash and excludes $1,531 spent on fees and slippage. |
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iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 19.0%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of Best(SPY-SH) gained -4.26% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $710,025 which includes -$1,556 cash and excludes $22,629 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained -4.97% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $178,732 which includes $1,110 cash and excludes $5,641 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 2.8%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of iM-Combo5 gained -2.79% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $158,460 which includes $3,933 cash and excludes $0 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is -2.0%, and for the last 12 months is 18.8%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 139.87% while the benchmark SPY gained 83.55% and VDIGX gained 85.56% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -3.63% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $239,873 which includes $849 cash and excludes $2,780 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -7.2%, and for the last 12 months is 0.0%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -4.89% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $164,955 which includes $1,077 cash and excludes $1,124 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is -1.5%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Since inception, on 6/30/2014, the model gained 131.37% while the benchmark SPY gained 83.55% and the ETF USMV gained 103.79% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -4.04% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $231,371 which includes $711 cash and excludes $6,236 spent on fees and slippage. |
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iM-Min Volatility(USMV) Investor (Tax Efficient): The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 12.9%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Since inception, on 1/3/2013, the model gained 267.47% while the benchmark SPY gained 153.37% and the ETF USMV gained 164.61% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -4.08% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $367,472 which includes $5,630 cash and excludes $2,399 spent on fees and slippage. |
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iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond): The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained 0.04% at a time when BND gained 0.80%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $152,884 which includes $5,978 cash and excludes $1,985 spent on fees and slippage. |
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iM-Best(Short): The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of iM-Best(Short) gained 3.85% at a time when SPY gained -4.25%. Over the period 1/2/2009 to 2/24/2020 the starting capital of $100,000 would have grown to $82,940 which includes $82,940 cash and excludes $27,347 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -2.36% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,060 which includes $24 cash and excludes $678 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -2.20% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,683 which includes $202 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is -1.4%, and for the last 12 months is 10.6%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -3.43% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $151,211 which includes $6,988 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -4.18% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $163,641 which includes $2,753 cash and excludes $3,393 spent on fees and slippage. |
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iM-VIX Timer with ZIV: The model’s out of sample performance YTD is -4.1%, and for the last 12 months is -5.7%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -8.74% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $178,286 which includes $1,621 cash and excludes $7,819 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 8.0%, and for the last 12 months is 21.0%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 3.44% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,628 which includes $124 cash and excludes $4,640 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.87% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $115,484 which includes $863 cash and excludes $1,764 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -3.86% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $160,850 which includes $1,489 cash and excludes $3,569 spent on fees and slippage. |
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iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 14.7%. Over the same period the benchmark SPY performance was 0.2% and 17.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -3.52% at a time when SPY gained -4.25%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $139,929 which includes $1,417 cash and excludes $3,330 spent on fees and slippage. |
iM-Best Reports – 2/25/2020
Posted in pmp SPY-SH
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