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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 3.1%, and for the last 12 months is 15.7%. Over the same period the benchmark E60B40 performance was 3.2% and 19.2% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 1.86% at a time when SPY gained 1.98%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $133,501 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 3.3%, and for the last 12 months is 16.5%. Over the same period the benchmark E60B40 performance was 3.2% and 19.2% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 2.16% at a time when SPY gained 1.98%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $137,001 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 3.5%, and for the last 12 months is 17.2%. Over the same period the benchmark E60B40 performance was 3.2% and 19.2% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 2.45% at a time when SPY gained 1.98%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $140,502 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 4.0%, and for the last 12 months is 27.4%. Over the same period the benchmark SPY performance was 4.0% and 27.2% respectively. Over the previous week the market value of Best(SPY-SH) gained 3.27% at a time when SPY gained -4.08%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $737,082 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 4.6%, and for the last 12 months is 18.1%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.91% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $185,128 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 4.8%, and for the last 12 months is 24.0%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of iM-Combo5 gained 0.48% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $161,464 which includes $33,811 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 2.3%, and for the last 12 months is 27.4%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Since inception, on 7/1/2014, the model gained 150.49% while the benchmark SPY gained 90.53% and VDIGX gained 91.00% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 3.00% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $250,490 which includes $282 cash and excludes $2,778 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -2.3%, and for the last 12 months is 8.3%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.61% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $173,526 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 1.6%, and for the last 12 months is 23.5%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Since inception, on 6/30/2014, the model gained 138.74% while the benchmark SPY gained 90.53% and the ETF USMV gained 106.62% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.76% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $238,737 which includes $1,437 cash and excludes $6,158 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 5.8%, and for the last 12 months is 23.8%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Since inception, on 1/3/2013, the model gained 285.38% while the benchmark SPY gained 163.01% and the ETF USMV gained 168.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.83% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $385,375 which includes $889 cash and excludes $2,394 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 4.5%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained 0.17% at a time when BND gained 0.08%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $151,926 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 -0.2%, and for the last 12 months is -0.9%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of iM-Best(Short) gained 0.07% at a time when SPY gained 3.26%. Over the period 1/2/2009 to 2/10/2020 the starting capital of $100,000 would have grown to $80,312 which includes $112,559 cash and excludes $27,213 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 17.2%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.02% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,333 which includes $9 cash and excludes $677 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 16.3%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.56% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,475 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 1.2%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.42% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $155,246 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 3.9%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 3.20% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $169,759 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 5.2%, and for the last 12 months is 3.4%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 6.40% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $195,484 which includes $44 cash and excludes $7,435 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.16% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,429 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 15.4%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 1.44% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $115,566 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 4.5%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.96% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $164,431 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 5.2%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 4.0% and 26.1% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.89% at a time when SPY gained 3.26%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $142,859 which includes $1,417 cash and excludes $3,330 spent on fees and slippage. |
iM-Best Reports – 2/10/2020
Posted in pmp SPY-SH
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