Home › pmp › pmp SPY-SH › iM-Best Reports – 1/22/2018

iM-Best Reports – 1/22/2018

Performance-wk-1-23-2018 Performance-mth-1-23-2018 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
fig1-SPY-SH-1-23-2018
 iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.03% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $595,217 which includes $7,222 cash and excludes $15,358 spent on fees and slippage.
fig-2-Combo3-1-23-2018
 iM-Combo3.R1: The model’s out of sample performance YTD is 8.2%, and for the last 12 months is 33.5%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 2.99% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $170,700 which includes $1,808 cash and excludes $3,439 spent on fees and slippage.
Fig-15.Combo5-1-23-2018
 iM-Combo5: The model’s out of sample performance YTD is 9.5%, and for the last 12 months is 40.4%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-Combo5 gained 3.29% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $139,808 which includes -$1,645 cash and excludes $606 spent on fees and slippage.
Fig-8.VDIGXtrade-1-23-2018Fig-8.1.VDIGXtrade-1-23-2018
 iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 6.8%, and for the last 12 months is 27.4%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Since inception, on 7/1/2014, the model gained 90.45% while the benchmark SPY gained 55.00% and VDIGX gained 48.12% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.58% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $190,211 which includes $1,512 cash and excludes $1,956 spent on fees and slippage.
Fig-4.Bestoga3-1-23-2018
 iM-BESTOGA-3: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 15.6%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.22% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $239,583 which includes $2,123 cash and excludes $2,007 spent on fees and slippage.
Fig-18.HiD-LoV-1-23-2018
 iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 16.1%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.28% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,498 which includes $155 cash and excludes $1,500 spent on fees and slippage.
fig29im6-cap-strg-1-23-2018
 iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 44.6%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.49% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $156,583 which includes $1,565 cash and excludes $559 spent on fees and slippage.
Fig-17.BestogaX5-1-23-2018
 iM-BestogaX5-System: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 17.3%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 2.18% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $116,241 which includes $1,750 cash and excludes $904 spent on fees and slippage.
Fig-7.USMVtrade-1-23-2018Fig-7.1.USMVtrade-1-23-2018
 iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 25.5%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Since inception, on 6/30/2014, the model gained 80.00% while the benchmark SPY gained 55.00% and the ETF USMV gained 57.09% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.99% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $179,762 which includes $231 cash and excludes $3,796 spent on fees and slippage.
Fig-9.USMVQ1-1-23-2018 Fig-9.1.USMVQ1-1-23-2018
 iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 33.7%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Since inception, on 1/5/2015, the model gained 71.12% while the benchmark SPY gained 48.95% and the ETF USMV gained 44.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.85% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $171,061 which includes $377 cash and excludes $926 spent on fees and slippage.
Fig-10.USMVQ2-1-23-2018 Fig-10.1.USMVQ2-1-23-2018
 iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 22.3%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Since inception, on 3/30/2015, the model gained 43.02% while the benchmark SPY gained 43.63% and the ETF USMV gained 39.34% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 3.13% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $142,973 which includes $422 cash and excludes $854 spent on fees and slippage.
Fig-5.USMVQ3-1-23-2018 Fig-5.1.USMVQ3-1-23-2018
 iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Since inception, on 7/1/2014, the model gained 84.94% while the benchmark SPY gained 55.00% and the ETF USMV gained 57.09% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.89% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,884 which includes $236 cash and excludes $1,268 spent on fees and slippage.
Fig-6.USMVQ4-1-23-2018Fig-6.1.USMVQ4-1-23-2018
 iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 81.31% while the benchmark SPY gained 52.66% and the ETF USMV gained 54.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 3.18% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $181,143 which includes $441 cash and excludes $1,132 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-23-2018
 Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 38.76% over SPY. (see iM-USMV Investor Portfolio)
fig-3-Short-1-23-2018
 iM-Best(Short): The model’s out of sample performance YTD is -1.2%, and for the last 12 months is -7.1%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of iM-Best(Short) gained -1.05% at a time when SPY gained 2.07%. Over the period 1/2/2009 to 1/22/2018 the starting capital of $100,000 would have grown to $90,125 which includes $90,125 cash and excludes $23,591 spent on fees and slippage.
fig25-Best2MCsETF-1-23-2018
 iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 17.8%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.27% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,696 which includes $743 cash and excludes $115 spent on fees and slippage.
fig26-Best4MCsVang-1-23-2018
 iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 10.3%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.43% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,579 which includes $3,320 cash and excludes $00 spent on fees and slippage.
fig21-imc-sh-rsp-1-23-2018
 iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 22.4%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.91% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,503 which includes $2,172 cash and excludes $513 spent on fees and slippage.
Fig-20-imc-spy-ief-1-23-2018
 iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 29.3%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.04% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,482 which includes $833 cash and excludes $1,390 spent on fees and slippage.
Fig-12-vix-zif-1-23-2018
 iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 12.0%, and for the last 12 months is 85.8%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 3.34% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $197,039 which includes $886 cash and excludes $578 spent on fees and slippage.
fig22-imc-gld-stk-bnd-1-23-2018
 iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 20.9%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.40% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,818 which includes $53 cash and excludes $1,955 spent on fees and slippage.
fig23iM-lo-turn-over-1-23-2018
 iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 2.1%, and since inception 9.4%. Over the same period the benchmark SPY performance was 5.9% and 22.7% 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 2.07%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $109,372 which includes $1,612 cash and excludes $74 spent on fees and slippage.
fig28-im-min-dd-1-23-2018
 iM-Min Drawdown Combo: The model’s out of sample performance YTD is 3.7%, and since inception 11.9%. Over the same period the benchmark SPY performance was 5.9% and 22.2% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.67% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $111,836 which includes $424 cash and excludes $173 spent on fees and slippage.
fig27-im-5etf-trader-1-23-2018
 iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 11.0%, and for the last 12 months is 56.9%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 3.79% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $180,686 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
fig24-im-std-5etf-trader-1-23-2018
 iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 26.0%. Over the same period the benchmark SPY performance was 5.9% and 27.1% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.03% at a time when SPY gained 2.07%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $132,271 which includes $1,878 cash and excludes $880 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