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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 -5.9%, and for the last 12 months is 3.6%. Over the same period the benchmark E60B40 performance was 0.5% and 12.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.78% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $121,772 which includes -$3,368 cash and excludes $1,528 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 -7.8%, and for the last 12 months is 2.7%. Over the same period the benchmark E60B40 performance was 0.5% and 12.8% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.79% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $122,337 which includes -$4,218 cash and excludes $1,661 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 -9.5%, and for the last 12 months is 1.7%. Over the same period the benchmark E60B40 performance was 0.5% and 12.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.79% at a time when SPY gained 1.41%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $122,827 which includes -$5,025 cash and excludes $1,786 spent on fees and slippage. |
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iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -24.9%, and for the last 12 months is -10.7%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.30% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $532,258 which includes -$31,787 cash and excludes $25,091 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is -23.6%, and for the last 12 months is -13.0%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.20% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $135,204 which includes $47,602 cash and excludes $6,129 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is -15.0%, and for the last 12 months is 0.3%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of iM-Combo5 gained 1.44% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $130,913 which includes $27,012 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 -2.5%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Since inception, on 7/1/2014, the model gained 138.64% while the benchmark SPY gained 74.97% and VDIGX gained 73.55% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.85% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $238,636 which includes $531 cash and excludes $3,329 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -22.4%, and for the last 12 months is -12.2%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.54% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $137,941 which includes $3,395 cash and excludes $1,245 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is -13.9%, and for the last 12 months is 1.4%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Since inception, on 6/30/2014, the model gained 102.35% while the benchmark SPY gained 74.97% and the ETF USMV gained 86.77% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.92% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $202,346 which includes -$8 cash and excludes $6,953 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 -5.7%, and for the last 12 months is 2.8%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Since inception, on 1/3/2013, the model gained 243.43% while the benchmark SPY gained 141.53% and the ETF USMV gained 142.62% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.67% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $343,431 which includes $210 cash and excludes $3,481 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 -34.0%, and for the last 12 months is -23.8%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained 1.47% at a time when BND gained 0.28%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $137,081 which includes $14 cash and excludes $2,087 spent on fees and slippage. |
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iM-Best(Short): The model’s out of sample performance YTD is -4.9%, and for the last 12 months is -4.3%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of iM-Best(Short) gained -1.86% at a time when SPY gained 2.16%. Over the period 1/2/2009 to 6/1/2020 the starting capital of $100,000 would have grown to $76,538 which includes $76,538 cash and excludes $27,731 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -6.5%, and for the last 12 months is 6.8%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.20% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,605 which includes $361 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -10.6%, and for the last 12 months is 0.7%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 2.05% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,993 which includes $1,358 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 -24.1%, and for the last 12 months is -12.1%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.42% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,453 which includes $3,151 cash and excludes $932 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is -13.9%, and for the last 12 months is -3.7%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.30% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,702 which includes -$11,876 cash and excludes $3,692 spent on fees and slippage. |
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iM-VIX Timer with ZIV: The model’s out of sample performance YTD is -34.8%, and for the last 12 months is -36.0%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.26% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,162 which includes $5,358 cash and excludes $8,803 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 10.5%, and for the last 12 months is 24.1%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 3.29% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $143,893 which includes $8,146 cash and excludes $4,898 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -11.1%, and for the last 12 months is -1.4%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.43% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $100,083 which includes $24,179 cash and excludes $1,949 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is -34.0%, and for the last 12 months is -23.8%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.79% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $103,885 which includes $7,892 cash and excludes $3,972 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 -20.9%, and for the last 12 months is -10.5%. Over the same period the benchmark SPY performance was -4.5% and 13.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.41% at a time when SPY gained 2.16%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $107,456 which includes $9,260 cash and excludes $3,652 spent on fees and slippage. |
iM-Best Reports – 6/1/2020
Posted in pmp SPY-SH
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