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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 -1.4%, and for the last 12 months is 8.0%. Over the same period the benchmark E60B40 performance was -0.9% and 12.2% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.74% at a time when SPY gained -0.37%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $127,711 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 -2.1%, and for the last 12 months is 7.2%. Over the same period the benchmark E60B40 performance was -0.9% and 12.2% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -0.97% at a time when SPY gained -0.37%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $129,838 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 -2.8%, and for the last 12 months is 6.6%. Over the same period the benchmark E60B40 performance was -0.9% and 12.2% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -1.19% at a time when SPY gained -0.37%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $131,934 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 14.6%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.14% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $680,582 which includes $275 cash and excludes $22,631 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is -5.0%, and for the last 12 months is 9.1%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of iM-Combo3.R1 gained -2.35% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $168,232 which includes -$352 cash and excludes $5,649 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is -1.3%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of iM-Combo5 gained -0.97% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $152,093 which includes $4,062 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 -6.4%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Since inception, on 7/1/2014, the model gained 129.05% while the benchmark SPY gained 75.96% and VDIGX gained 76.87% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -1.18% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $229,046 which includes $469 cash and excludes $2,822 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -12.2%, and for the last 12 months is -6.1%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -2.15% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $155,934 which includes $1,400 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 -5.1%, and for the last 12 months is 10.7%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Since inception, on 6/30/2014, the model gained 122.93% while the benchmark SPY gained 75.96% and the ETF USMV gained 94.21% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.52% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $222,931 which includes $1,462 cash and excludes $6,349 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 -2.3%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Since inception, on 1/3/2013, the model gained 255.99% while the benchmark SPY gained 142.90% and the ETF USMV gained 152.16% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.94% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $355,992 which includes $559 cash and excludes $2,544 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 -4.3%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -0.62% at a time when BND gained 0.65%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $151,039 which includes $6,503 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 6.8%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained -1.14%. Over the period 1/2/2009 to 3/2/2020 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 -2.2%, and for the last 12 months is 11.2%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -1.87% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $122,951 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 -4.4%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -3.36% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,046 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 -6.8%, and for the last 12 months is 4.3%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -2.39% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $142,874 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 8.7%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -1.12% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $156,989 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 -10.7%, and for the last 12 months is -11.6%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -1.72% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $165,851 which includes $8,749 cash and excludes $8,126 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -2.65% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $134,424 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 -3.0%, and for the last 12 months is 8.1%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -2.75% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $109,243 which includes -$1,622 cash and excludes $1,766 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is -4.3%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -2.98% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $150,518 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 -1.8%, and for the last 12 months is 9.7%. Over the same period the benchmark SPY performance was -4.0% and 12.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -1.89% at a time when SPY gained -1.14%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $133,351 which includes $1,417 cash and excludes $3,330 spent on fees and slippage. |
iM-Best Reports – 3/2/2020
Posted in pmp SPY-SH
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