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iM Update – November 17, 2017

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iM Update* – November 17, 2017

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BCI November 16, 2017

 
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iM-Best Reports – 11/13/2017

Performance-wk-11-14-2017 Performance-mth-11-14-2017 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
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 17.8%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $544,548 which includes $7,222 cash and excludes $15,358 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 20.8%, and for the last 12 months is 26.5%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.28% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $151,733 which includes -$544 cash and excludes $3,437 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 25.1%, and for the last 12 months is 27.8%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Combo5 gained -0.19% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $123,409 which includes $409 cash and excludes $603 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-11-14-2017
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 12.8%, and for the last 12 months is 18.7%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 7/1/2014, the model gained 64.34% while the benchmark SPY gained 40.92% and VDIGX gained 34.95% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.06% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $164,209 which includes $305 cash and excludes $1,881 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 12.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.53% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $221,947 which includes $1,003 cash and excludes $1,818 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 8.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.17% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,808 which includes -$58 cash and excludes $1,254 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 33.6%, and for the last 12 months is 38.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.97% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $141,084 which includes $728 cash and excludes $559 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 11.1%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.28% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $105,468 which includes $684 cash and excludes $881 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-11-14-2017
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.2%, and for the last 12 months is 20.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 6/30/2014, the model gained 63.86% while the benchmark SPY gained 40.92% and the ETF USMV gained 158.33% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.21% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $163,859 which includes $231 cash and excludes $3,601 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-11-14-2017
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 23.6%, and for the last 12 months is 28.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 1/5/2015, the model gained 55.57% while the benchmark SPY gained 35.42% and the ETF USMV gained 35.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.11% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $155,493 which includes $56 cash and excludes $821 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-11-14-2017
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.2%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 3/30/2015, the model gained 32.54% while the benchmark SPY gained 30.59% and the ETF USMV gained 30.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.83% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,467 which includes $44 cash and excludes $724 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-11-14-2017
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 9.6%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 7/1/2014, the model gained 69.96% while the benchmark SPY gained 40.92% and the ETF USMV gained 158.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.23% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $169,705 which includes -$268 cash and excludes $1,128 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-11-14-2017
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 64.96% while the benchmark SPY gained 38.79% and the ETF USMV gained 39.04% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.58% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $164,959 which includes -$223 cash and excludes $1,022 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-14-2017
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 36.90% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -5.3%, and for the last 12 months is -2.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Best(Short) gained 0.56% at a time when SPY gained -0.20%. Over the period 1/2/2009 to 11/13/2017 the starting capital of $100,000 would have grown to $92,003 which includes $109,897 cash and excludes $23,113 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 15.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.29% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,330 which includes $70 cash and excludes $115 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 16.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.70% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,728 which includes $2,356 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.2%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.08% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,361 which includes $1,593 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 19.3%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.20% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,448 which includes $833 cash and excludes $1,390 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 57.6%, and since inception 57.6%. Over the same period the benchmark SPY performance was 17.2% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.62% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $157,546 which includes $587 cash and excludes $578 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 21.6%, and for the last 12 months is 23.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.26% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,315 which includes $53 cash and excludes $1,955 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.2%. The benchmark SPY performance over the same period is 11.6%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.21% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,170 which includes $974 cash and excludes $69 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance from inception is 3.7%. The benchmark SPY performance over the same period is 11.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.53% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $103,694 which includes $1,644 cash and excludes $113 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 34.8%, and for the last 12 months is 46.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.81% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $152,107 which includes $757 cash and excludes $1,030 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 17.0%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.11% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $120,301 which includes $1,385 cash and excludes $880 spent on fees and slippage.

 
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Posted in pmp SPY-SH

iM Update – November 10, 2017

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iM Update* – November 10, 2017

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BCI November 9, 2017

 
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iM-Best Reports – 11/6/2017

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iM Update* – November 3, 2017

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iM Update – November 3, 2017

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