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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 -5.5%, and for the last 12 months is -0.3%. Over the same period the benchmark E60B40 performance was 0.9% and 8.3% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.01% at a time when SPY gained -1.05%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $122,306 which includes -$3,240 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 -7.3%, and for the last 12 months is -1.8%. Over the same period the benchmark E60B40 performance was 0.9% and 8.3% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.01% at a time when SPY gained -1.05%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $122,875 which includes -$4,089 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 -9.1%, and for the last 12 months is -3.4%. Over the same period the benchmark E60B40 performance was 0.9% and 8.3% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.01% at a time when SPY gained -1.05%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,372 which includes -$4,894 cash and excludes $1,786 spent on fees and slippage. |
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iM-5HedgeFundSelect: Since inception, on 1/5/2016, the model gained 293.16% while the benchmark SPY gained 63.13% over the same period. Over the previous week the market value of iM-5HedgeFundSelect gained -1.74% at a time when SPY gained -1.98%. A starting capital of $25,000 at inception on 1/5/2016 would have grown to $98,290 which includes $644 cash and excludes $971 spent on fees and slippage. |
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iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -24.8%, and for the last 12 months is -16.6%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of Best(SPY-SH) gained -2.09% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $532,768 which includes -$29,265 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 -19.6%, and for the last 12 months is -11.7%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.52% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $142,285 which includes $718 cash and excludes $6,452 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is -11.0%, and for the last 12 months is -1.3%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of iM-Combo5 gained -2.03% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $137,131 which includes $354 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 -4.1%, and for the last 12 months is 8.5%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Since inception, on 7/1/2014, the model gained 134.73% while the benchmark SPY gained 75.11% and VDIGX gained 69.37% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -2.19% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $234,728 which includes $1,266 cash and excludes $3,528 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -21.9%, and for the last 12 months is -15.0%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.31% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $138,838 which includes $3,852 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 -14.3%, and for the last 12 months is -3.5%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Since inception, on 6/30/2014, the model gained 101.32% while the benchmark SPY gained 75.11% and the ETF USMV gained 81.87% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.29% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $201,323 which includes $652 cash and excludes $7,041 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 -6.4%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Since inception, on 1/3/2013, the model gained 240.78% while the benchmark SPY gained 141.73% and the ETF USMV gained 136.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.74% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $340,778 which includes $557 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 -34.2%, and for the last 12 months is -32.9%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -2.34% at a time when BND gained 0.32%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $134,033 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 -2.7%, and for the last 12 months is -0.9%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of iM-Best(Short) gained -0.96% at a time when SPY gained -1.98%. Over the period 1/2/2009 to 6/29/2020 the starting capital of $100,000 would have grown to $78,244 which includes $93,796 cash and excludes $28,044 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -4.7%, and for the last 12 months is 3.6%. Over the same period the benchmark SPY performance was -4.4% 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 -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,892 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 -10.4%, and for the last 12 months is -3.3%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.74% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,237 which includes $1,814 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 -24.8%, and for the last 12 months is -18.9%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -2.21% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,269 which includes $3,624 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 -13.6%, and for the last 12 months is -9.7%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.59% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $141,103 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 -34.6%, and for the last 12 months is -39.1%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.52% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,466 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 8.2%, and for the last 12 months is 9.7%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.06% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,892 which includes $8,678 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 -10.5%, and for the last 12 months is -6.2%. Over the same period the benchmark SPY performance was -4.4% 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 -1.98%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $100,757 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 -34.2%, and for the last 12 months is -32.9%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.94% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $103,534 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 -21.0%, and for the last 12 months is -16.9%. Over the same period the benchmark SPY performance was -4.4% and 6.0% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.50% at a time when SPY gained -1.98%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $107,292 which includes $9,260 cash and excludes $3,652 spent on fees and slippage. |
iM-Best Reports – 6/29/2020
Posted in pmp SPY-SH
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