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Blog Archives
iM Update – March 2, 2018
Posted in pmp free update
Improvement Update to the iM-Best12(USMV)-Trader: Trading the Stocks of the iShares Minimum Volatility ETF – USMV
- The iM-Best12(USMV)-Trader periodically invests in the 12 highest ranked stocks of USMV which currently holds 208 large-cap stocks.
- This strategy, postulated in 2014, has produced from the end of Jun-2014 to end of Feb-2018 an annualized return of 16.1% versus 11.9% for USMV, and 11.5% for SPY.
- We have now changed the trading rules and ranking system which we believe will provide improved returns with low turnover in the future.
In this 2014 article we showed that better returns than those from the ETF could be obtained by applying a ranking system to the stock holding of USMV (the universe), and investing periodically only in the 12 highest ranked stocks, bought and sold according to certain rules.
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Improvement Update to the iM-Best10(VDIGX)-Trader: Trading the Stocks of the Vanguard Dividend Growth Fund – VDIGX
- The iM-Best10(VDIGX)-Trader periodically invests in the ten highest ranked stocks of VDIGX which currently holds 45 large-cap stocks.
- This strategy, postulated in 2014, has produced from end of Jun-2014 to end of Feb-2018 an annualized return of 17.7% versus 9.9% for VDIGX, and 11.5% for SPY.
- We have now changed the trading rules and ranking system which we believe will provide improved returns with low turnover in the future.
No Sight of Next Recession: Business Cycle Index Update 3/1/2018
Is your investment strategy protecting your assets from the next recession? Our Business Cycle Index is a tool to help you gauge recession risk.
Posted in BCI
How Good is Vanguard’s new U.S. Momentum Factor ETF (VFMO)
- As of Feb-24-2018 VFMO holds 637 Russell 3000 stocks, selected according to a rules-based screen for relatively strong recent performance and liquidity. They show a 1-year average return of 62%.
- Using similar screening criteria we selected a portfolio of 639 stocks on Feb-24-2018 which had a 1-year average return of 71%. It holds 501 stocks in common with VFMO.
- Similar screening rules selected 576 stocks on Feb-24-2017 which showed an average return of 105% over the preceding year, but 0% return over the following 6 months to Aug-24-2018.
- Vanguard’s easily replicated selection process appears to be greatly influenced by survivorship bias. It is unlikely that VFMO will show a higher return than MTUM or SPY in the future.
iM-Best Reports – 2/26/2018
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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-Best(SPY-SH).R1: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 19.5%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.40% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $588,551 which includes -$42 cash and excludes $15,368 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 3.8%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 2.00% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $164,076 which includes -$5,595 cash and excludes $3,554 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 30.6%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-Combo5 gained 2.97% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $136,483 which includes -$1,809 cash and excludes $665 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 19.8%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Since inception, on 7/1/2014, the model gained 86.59% while the benchmark SPY gained 52.37% and VDIGX gained 44.46% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.98% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $176,767 which includes -$7,732 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -2.0%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.30% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $227,099 which includes $340 cash and excludes $2,158 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 4.7%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.36% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,065 which includes $153 cash and excludes $1,627 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 30.5%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.47% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $156,128 which includes $785 cash and excludes $630 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 7.1%, and for the last 12 months is 15.4%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 2.30% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $119,904 which includes $4,871 cash and excludes $966 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 17.3%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Since inception, on 6/30/2014, the model gained 78.86% while the benchmark SPY gained 52.37% and the ETF USMV gained 53.86% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.44% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $178,758 which includes $410 cash and excludes $3,990 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 7.7%, and for the last 12 months is 27.1%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Since inception, on 1/5/2015, the model gained 73.78% while the benchmark SPY gained 46.43% and the ETF USMV gained 41.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.77% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $173,735 which includes -$116 cash and excludes $1,017 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 13.6%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Since inception, on 3/30/2015, the model gained 40.71% while the benchmark SPY gained 41.20% and the ETF USMV gained 36.47% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.81% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $140,706 which includes $1,062 cash and excludes $874 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 8.9%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Since inception, on 7/1/2014, the model gained 81.51% while the benchmark SPY gained 52.37% and the ETF USMV gained 53.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.18% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $181,377 which includes $691 cash and excludes $1,359 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 81.79% while the benchmark SPY gained 50.07% and the ETF USMV gained 51.74% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.11% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $181,794 which includes $692 cash and excludes $1,197 spent on fees and slippage. |
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Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 40.59% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is 1.0%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.03% at a time when SPY gained 2.39%. Over the period 1/2/2009 to 2/26/2018 the starting capital of $100,000 would have grown to $92,096 which includes $147,403 cash and excludes $23,721 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -1.4%, and for the last 12 months is 7.4%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.17% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,749 which includes $743 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -3.9%, and for the last 12 months is 1.7%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.03% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,500 which includes $3,320 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 2.2%, and for the last 12 months is 14.6%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.69% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,822 which includes $2,172 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 4.1%, and for the last 12 months is 21.0%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.37% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,783 which includes $1,500 cash and excludes $1,390 spent on fees and slippage. |
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iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 12.5%, and for the last 12 months is 67.5%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 6.18% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $197,983 which includes -$145 cash and excludes $912 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is 11.5%. Over the same period the benchmark SPY performance was 4.1% and 19.7% 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 2.39%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,611 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.7%, and since inception 7.8%. Over the same period the benchmark SPY performance was 4.1% and 20.6% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.61% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,789 which includes $1,612 cash and excludes $74 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 1.4%, and since inception 9.5%. Over the same period the benchmark SPY performance was 4.1% and 20.1% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.69% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,451 which includes $1,097 cash and excludes $205 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 7.6%, and for the last 12 months is 40.8%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.53% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $175,054 which includes $1,064 cash and excludes $1,030 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 3.2%, and for the last 12 months is 18.0%. Over the same period the benchmark SPY performance was 4.1% and 19.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.06% at a time when SPY gained 2.39%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $129,623 which includes $2,002 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
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