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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 -5.4%, and for the last 12 months is 1.5%. Over the same period the benchmark E60B40 performance was 3.8% and 13.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.43% at a time when SPY gained 2.77%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $122,476 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 -7.2%, and for the last 12 months is 0.2%. Over the same period the benchmark E60B40 performance was 3.8% and 13.4% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.43% at a time when SPY gained 2.77%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $123,052 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 -9.0%, and for the last 12 months is -1.2%. Over the same period the benchmark E60B40 performance was 3.8% and 13.4% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.43% at a time when SPY gained 2.77%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,549 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 -20.3%, and for the last 12 months is -9.4%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 5.20% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $564,840 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 -22.8%, and for the last 12 months is -14.3%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.90% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $136,736 which includes $6,459 cash and excludes $6,269 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is -12.3%, and for the last 12 months is -0.4%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of iM-Combo5 gained 2.62% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $135,116 which includes $3,545 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 4.8%, and for the last 12 months is 19.9%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Since inception, on 7/1/2014, the model gained 156.41% while the benchmark SPY gained 85.08% and VDIGX gained 83.16% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 6.32% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $256,415 which includes $838 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 -16.3%, and for the last 12 months is -9.0%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 6.40% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $148,751 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 -4.8%, and for the last 12 months is 8.9%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Since inception, on 6/30/2014, the model gained 123.60% while the benchmark SPY gained 85.08% and the ETF USMV gained 93.35% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 7.88% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $223,657 which includes $2,375 cash and excludes $6,961 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 4.9%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Since inception, on 1/3/2013, the model gained 282.08% while the benchmark SPY gained 155.48% and the ETF USMV gained 151.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 9.14% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $382,189 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 -35.8%, and for the last 12 months is -31.2%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained 1.22% at a time when BND gained -0.37%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $140,130 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 -5.0%, and for the last 12 months is -4.4%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of iM-Best(Short) gained -0.11% at a time when SPY gained 4.91%. Over the period 1/2/2009 to 6/8/2020 the starting capital of $100,000 would have grown to $76,453 which includes $107,572 cash and excludes $27,763 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -6.4%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.10% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,693 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 -6.2%, and for the last 12 months is 1.8%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 4.04% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,718 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 -15.9%, and for the last 12 months is -7.0%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 9.35% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,907 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 -15.3%, and for the last 12 months is -9.4%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -1.49% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,359 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 -35.8%, and for the last 12 months is -39.3%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -1.31% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,383 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 13.7%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 2.17% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $147,994 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 -11.4%, and for the last 12 months is -5.0%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.34% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $99,737 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 -35.8%, and for the last 12 months is -31.2%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -2.40% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $100,984 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 -22.0%, and for the last 12 months is -15.8%. Over the same period the benchmark SPY performance was 1.0% and 14.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -1.22% at a time when SPY gained 4.91%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $105,983 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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