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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 -0.5%. Over the same period the benchmark E60B40 performance was 1.9% and 9.3% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.55% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $122,295 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 -7.4%, and for the last 12 months is -2.1%. Over the same period the benchmark E60B40 performance was 1.9% and 9.3% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.56% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $122,866 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 -9.1%, and for the last 12 months is -3.7%. Over the same period the benchmark E60B40 performance was 1.9% and 9.3% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.56% at a time when SPY gained 0.97%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,362 which includes -$5,025 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 300.11% while the benchmark SPY gained 66.43% over the same period. Over the previous week the market value of iM-5HedgeFundSelect gained 2.71% at a time when SPY gained 1.61%. A starting capital of $25,000 at inception on 1/5/2016 would have grown to $100,027 which includes $633 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 -23.2%, and for the last 12 months is -15.1%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.70% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $544,139 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 -18.4%, and for the last 12 months is -11.0%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.09% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $144,475 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 -9.2%, and for the last 12 months is -0.1%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of iM-Combo5 gained 2.48% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $139,979 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 -2.0%, and for the last 12 months is 10.1%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Since inception, on 7/1/2014, the model gained 139.99% while the benchmark SPY gained 78.66% and VDIGX gained 73.43% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.27% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $239,993 which includes $961 cash and excludes $3,428 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -21.6%, and for the last 12 months is -14.8%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.48% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $139,267 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 -13.2%, and for the last 12 months is -3.6%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Since inception, on 6/30/2014, the model gained 103.95% while the benchmark SPY gained 78.66% and the ETF USMV gained 84.84% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.05% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $203,948 which includes $848 cash and excludes $7,003 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 -4.8%, and for the last 12 months is -4.5%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Since inception, on 1/3/2013, the model gained 246.81% while the benchmark SPY gained 146.62% and the ETF USMV gained 140.15% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.74% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 1/3/2013 would have grown to $346,810 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 -34.8%, and for the last 12 months is -33.7%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Bond Market Trader (High-Yield Bond or 10-yr Treasury Bond) gained -0.50% at a time when BND gained 0.01%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $137,247 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 -1.8%, and for the last 12 months is 0.0%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of iM-Best(Short) gained -2.28% at a time when SPY gained 1.61%. Over the period 1/2/2009 to 6/22/2020 the starting capital of $100,000 would have grown to $78,999 which includes $158,048 cash and excludes $27,943 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -5.0%, and for the last 12 months is 2.2%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.14% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,421 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 -9.7%, and for the last 12 months is -3.7%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.16% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,103 which includes $1,539 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 -23.1%, and for the last 12 months is -16.8%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.06% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,871 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 -14.1%, and for the last 12 months is -10.5%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.13% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,276 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 -35.0%, and for the last 12 months is -38.9%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.11% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,838 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 9.4%, and for the last 12 months is 10.6%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.68% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $142,400 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 -10.7%, and for the last 12 months is -6.2%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.00% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $100,518 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 -34.8%, and for the last 12 months is -33.7%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.62% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $102,569 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 -21.4%, and for the last 12 months is -17.4%. Over the same period the benchmark SPY performance was -2.5% and 7.8% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.40% at a time when SPY gained 1.61%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $106,755 which includes $9,260 cash and excludes $3,652 spent on fees and slippage. |
iM-Best Reports – 6/15/2020
Posted in pmp SPY-SH
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