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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 7.5%, and for the last 12 months is 19.2%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.28% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $607,551 which includes -$4,925 cash and excludes $17,694 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 8.7%, and for the last 12 months is 25.4%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.63% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $171,694 which includes -$1,649 cash and excludes $4,008 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 10.4%, and for the last 12 months is 27.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-Combo5 gained 0.45% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $141,262 which includes $2,018 cash and excludes $983 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Since inception, on 7/1/2014, the model gained 91.57% while the benchmark SPY gained 57.97% and VDIGX gained 51.12% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.34% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $191,153 which includes $70 cash and excludes $2,344 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -14.8%, and for the last 12 months is -10.0%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.17% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $197,479 which includes $111 cash and excludes $2,946 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.96% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,748 which includes $220 cash and excludes $2,166 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 24.5%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 3.36% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $161,474 which includes $554 cash and excludes $712 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 12.6%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.05% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $117,253 which includes $639 cash and excludes $1,256 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 15.3%, and for the last 12 months is 27.3%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Since inception, on 6/30/2014, the model gained 97.26% while the benchmark SPY gained 57.97% and the ETF USMV gained 64.11% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.69% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $197,157 which includes $200 cash and excludes $4,401 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 12.9%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Since inception, on 1/5/2015, the model gained 82.22% while the benchmark SPY gained 51.80% and the ETF USMV gained 50.71% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.40% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $182,219 which includes $131 cash and excludes $1,252 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.9%, and for the last 12 months is 19.9%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Since inception, on 3/30/2015, the model gained 51.78% while the benchmark SPY gained 46.38% and the ETF USMV gained 45.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.57% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $151,785 which includes $503 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Since inception, on 7/1/2014, the model gained 88.28% while the benchmark SPY gained 57.97% and the ETF USMV gained 64.11% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.11% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $188,278 which includes $66 cash and excludes $1,584 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 96.01% while the benchmark SPY gained 55.58% and the ETF USMV gained 61.84% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.94% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $196,013 which includes $327 cash and excludes $1,340 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 45.97% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -2.8%, and for the last 12 months is -12.6%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of iM-Best(Short) gained -0.90% at a time when SPY gained 1.27%. Over the period 1/2/2009 to 8/20/2018 the starting capital of $100,000 would have grown to $88,626 which includes $88,626 cash and excludes $24,474 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 8.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.60% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,382 which includes $1,980 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 2.7%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 2.51% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,865 which includes $4,783 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 5.9%, and for the last 12 months is 17.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.94% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,680 which includes $3,223 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 7.8%, and for the last 12 months is 19.7%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.24% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $143,779 which includes $2,658 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 29.7%, and for the last 12 months is 69.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.77% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $228,237 which includes $77 cash and excludes $2,429 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -8.8%, and for the last 12 months is -7.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.29% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,357 which includes $77 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 -1.7%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.66% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,254 which includes $275 cash and excludes $76 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.91% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,809 which includes -$2,302 cash and excludes $350 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 14.6%, and for the last 12 months is 40.4%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.99% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $186,541 which includes $1,539 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 6.8%, and for the last 12 months is 18.7%. Over the same period the benchmark SPY performance was 8.0% and 19.9% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.58% at a time when SPY gained 1.27%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $134,220 which includes $3,101 cash and excludes $880 spent on fees and slippage. |
Blog Archives
iM-Best Reports – 8/20/2018
Posted in pmp SPY-SH
iM-Best Reports – 8/6/2018
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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 7.1%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.69% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $605,343 which includes -$4,925 cash and excludes $17,694 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 8.2%, and for the last 12 months is 22.0%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.77% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $170,830 which includes -$1,759 cash and excludes $4,008 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 10.4%, and for the last 12 months is 24.7%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-Combo5 gained 2.75% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $141,264 which includes $1,965 cash and excludes $983 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Since inception, on 7/1/2014, the model gained 88.63% while the benchmark SPY gained 57.40% and VDIGX gained 49.50% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.03% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $188,259 which includes $426 cash and excludes $2,343 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -14.3%, and for the last 12 months is -9.5%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.18% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $198,761 which includes $111 cash and excludes $2,946 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.99% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,886 which includes $1,106 cash and excludes $2,050 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 4.9%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 3.72% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $158,666 which includes $554 cash and excludes $712 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 7.4%, and for the last 12 months is 11.7%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.95% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $120,387 which includes $639 cash and excludes $1,256 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 11.9%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Since inception, on 6/30/2014, the model gained 91.44% while the benchmark SPY gained 57.40% and the ETF USMV gained 61.49% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.08% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $191,440 which includes $556 cash and excludes $4,364 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 12.1%, and for the last 12 months is 23.7%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Since inception, on 1/5/2015, the model gained 80.89% while the benchmark SPY gained 51.26% and the ETF USMV gained 48.31% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.83% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $180,891 which includes $599 cash and excludes $1,196 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 17.3%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Since inception, on 3/30/2015, the model gained 50.28% while the benchmark SPY gained 45.85% and the ETF USMV gained 43.24% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.05% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $150,241 which includes $429 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Since inception, on 7/1/2014, the model gained 87.65% while the benchmark SPY gained 57.40% and the ETF USMV gained 61.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.77% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $187,652 which includes $657 cash and excludes $1,538 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 92.98% while the benchmark SPY gained 55.02% and the ETF USMV gained 59.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.20% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $192,983 which includes $326 cash and excludes $1,340 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 45.04% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -2.0%, and for the last 12 months is -11.1%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 1.68%. Over the period 1/2/2009 to 8/6/2018 the starting capital of $100,000 would have grown to $39,815 which includes $39,815 cash and excludes $24,436 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.77% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,799 which includes $1,980 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 1.5%, and for the last 12 months is 5.0%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.79% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,543 which includes $4,783 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 5.2%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.15% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,769 which includes $3,223 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 7.5%, and for the last 12 months is 17.0%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.64% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $143,270 which includes $2,658 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 32.0%, and for the last 12 months is 67.0%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 6.91% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $232,301 which includes $77 cash and excludes $2,429 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -7.5%, and for the last 12 months is -4.4%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.17% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $119,084 which includes $100 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 -1.6%, and for the last 12 months is 2.6%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.08% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,232 which includes $142 cash and excludes $76 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 6.8%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.36% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,337 which includes -$1,024 cash and excludes $321 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 14.1%, and for the last 12 months is 33.9%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 3.47% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $185,638 which includes $1,539 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 6.2%, and for the last 12 months is 15.7%. Over the same period the benchmark SPY performance was 7.6% and 17.2% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.40% at a time when SPY gained 1.68%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $133,424 which includes $3,101 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 7/30/2018
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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 5.3%, and for the last 12 months is 15.4%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.09% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $592,617 which includes -$7,596 cash and excludes $17,694 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.06% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $167,709 which includes $331 cash and excludes $4,006 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-Combo5 gained -1.66% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $137,290 which includes $1,724 cash and excludes $983 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 13.8%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Since inception, on 7/1/2014, the model gained 86.70% while the benchmark SPY gained 54.80% and VDIGX gained 48.37% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.24% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $186,330 which includes $118 cash and excludes $2,303 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -14.4%, and for the last 12 months is -9.9%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.78% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $198,407 which includes $1,394 cash and excludes $2,787 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 5.2%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.64% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,273 which includes $948 cash and excludes $2,050 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.55% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $153,174 which includes $345 cash and excludes $712 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 5.4%, and for the last 12 months is 9.8%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.18% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $118,084 which includes $639 cash and excludes $1,256 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 19.5%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Since inception, on 6/30/2014, the model gained 85.73% while the benchmark SPY gained 54.80% and the ETF USMV gained 58.81% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.35% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $185,674 which includes $503 cash and excludes $4,364 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 10.0%, and for the last 12 months is 21.6%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Since inception, on 1/5/2015, the model gained 77.65% while the benchmark SPY gained 48.76% and the ETF USMV gained 45.84% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.22% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $177,592 which includes $545 cash and excludes $1,196 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 14.6%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Since inception, on 3/30/2015, the model gained 47.25% while the benchmark SPY gained 43.45% and the ETF USMV gained 40.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.09% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $147,206 which includes $382 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 3.8%, and for the last 12 months is 12.6%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Since inception, on 7/1/2014, the model gained 84.38% while the benchmark SPY gained 54.80% and the ETF USMV gained 58.81% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.67% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,313 which includes $589 cash and excludes $1,538 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 88.82% while the benchmark SPY gained 52.46% and the ETF USMV gained 56.62% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.77% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $188,771 which includes $277 cash and excludes $1,340 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 43.95% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -2.0%, and for the last 12 months is -11.1%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of iM-Best(Short) gained 0.90% at a time when SPY gained -0.09%. Over the period 1/2/2009 to 7/30/2018 the starting capital of $100,000 would have grown to $89,379 which includes $89,379 cash and excludes $24,436 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -0.5%, and for the last 12 months is 5.1%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.72% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,825 which includes $1,980 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 -0.3%, and for the last 12 months is 3.3%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.44% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,568 which includes $4,783 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 4.0%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.16% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,214 which includes $3,223 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 5.7%, and for the last 12 months is 15.9%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.09% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,338 which includes $2,042 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 23.5%, and for the last 12 months is 59.8%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -4.95% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $217,279 which includes $77 cash and excludes $2,429 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -6.4%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.28% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,491 which includes $88 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 -1.5%, and for the last 12 months is 2.4%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.08% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,452 which includes $2,318 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 1.0%, and for the last 12 months is 6.0%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.82% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,775 which includes $3,128 cash and excludes $317 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 10.2%, and for the last 12 months is 29.3%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -1.92% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $179,413 which includes $1,539 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 4.7%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 5.8% and 15.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.03% at a time when SPY gained -0.09%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $131,462 which includes $2,986 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 7/23/2018
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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 5.4%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.31% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $593,153 which includes -$7,596 cash and excludes $17,694 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 7.4%, and for the last 12 months is 21.5%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.12% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $169,508 which includes $331 cash and excludes $4,006 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is 23.6%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-Combo5 gained 0.20% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $139,617 which includes $1,724 cash and excludes $983 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Since inception, on 7/1/2014, the model gained 87.16% while the benchmark SPY gained 54.94% and VDIGX gained 48.04% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.37% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $186,654 which includes $130 cash and excludes $2,299 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -15.9%, and for the last 12 months is -14.2%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -2.03% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $194,940 which includes $1,394 cash and excludes $2,787 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -0.7%, and for the last 12 months is 3.6%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.20% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,298 which includes $948 cash and excludes $2,050 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 18.9%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.45% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $154,020 which includes $1,777 cash and excludes $704 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 4.6%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-BestogaX5-System gained -0.05% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $116,701 which includes $639 cash and excludes $1,256 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 7.1%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Since inception, on 6/30/2014, the model gained 83.25% while the benchmark SPY gained 54.94% and the ETF USMV gained 58.78% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.60% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $183,042 which includes $348 cash and excludes $4,364 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.7%, and for the last 12 months is 20.7%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Since inception, on 1/5/2015, the model gained 75.51% while the benchmark SPY gained 48.89% and the ETF USMV gained 45.82% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.77% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $175,222 which includes $316 cash and excludes $1,196 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 8.7%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Since inception, on 3/30/2015, the model gained 47.38% while the benchmark SPY gained 43.58% and the ETF USMV gained 40.84% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.39% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $147,225 which includes $269 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 13.5%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Since inception, on 7/1/2014, the model gained 83.16% while the benchmark SPY gained 54.94% and the ETF USMV gained 58.78% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.97% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $182,850 which includes $344 cash and excludes $1,538 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 92.18% while the benchmark SPY gained 52.60% and the ETF USMV gained 56.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.64% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $192,102 which includes $253 cash and excludes $1,340 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 42.70% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -2.9%, and for the last 12 months is -11.9%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of iM-Best(Short) gained 0.05% at a time when SPY gained 0.31%. Over the period 1/2/2009 to 7/23/2018 the starting capital of $100,000 would have grown to $88,579 which includes $105,654 cash and excludes $24,418 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -1.2%, and for the last 12 months is 4.7%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.09% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,023 which includes $1,980 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 -0.7%, and for the last 12 months is 2.9%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.36% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,086 which includes $4,783 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 3.9%, and for the last 12 months is 12.1%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.21% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $134,998 which includes $3,223 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 5.8%, and for the last 12 months is 16.0%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.30% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $140,461 which includes $2,042 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 29.9%, and for the last 12 months is 72.2%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.32% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $228,600 which includes $77 cash and excludes $2,429 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -6.1%, and for the last 12 months is -2.7%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.33% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,827 which includes $112 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 -1.6%, and for the last 12 months is 2.6%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.57% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,364 which includes $2,318 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 0.2%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.33% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,888 which includes $3,128 cash and excludes $317 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 12.4%, and for the last 12 months is 32.0%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.69% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $182,918 which includes $1,539 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 4.8%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 5.9% and 15.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.44% at a time when SPY gained 0.31%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $131,500 which includes $2,986 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 7/9/2018
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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 4.6%, and for the last 12 months is 16.8%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.24% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $588,222 which includes -$7,596 cash and excludes $17,694 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 23.8%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.47% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $168,362 which includes $331 cash and excludes $4,006 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 27.0%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-Combo5 gained 2.30% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $138,139 which includes $1,724 cash and excludes $983 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Since inception, on 7/1/2014, the model gained 84.65% while the benchmark SPY gained 53.67% and VDIGX gained 45.94% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.88% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,520 which includes $159 cash and excludes $2,296 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -13.7%, and for the last 12 months is -10.5%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.63% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $199,399 which includes $649 cash and excludes $2,787 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -0.4%, and for the last 12 months is 8.8%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.92% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,416 which includes $569 cash and excludes $2,050 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 22.7%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.11% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $154,457 which includes $1,470 cash and excludes $704 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 4.9%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.96% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $116,227 which includes $207 cash and excludes $1,256 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 21.2%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Since inception, on 6/30/2014, the model gained 82.54% while the benchmark SPY gained 53.67% and the ETF USMV gained 57.42% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.35% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $182,207 which includes $71 cash and excludes $4,334 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Since inception, on 1/5/2015, the model gained 74.77% while the benchmark SPY gained 47.67% and the ETF USMV gained 44.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.33% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $174,365 which includes $139 cash and excludes $1,196 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Since inception, on 3/30/2015, the model gained 45.47% while the benchmark SPY gained 42.40% and the ETF USMV gained 39.63% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.81% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $145,223 which includes $133 cash and excludes $1,014 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Since inception, on 7/1/2014, the model gained 81.13% while the benchmark SPY gained 53.67% and the ETF USMV gained 57.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.49% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $180,631 which includes $94 cash and excludes $1,538 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 89.03% while the benchmark SPY gained 51.35% and the ETF USMV gained 55.25% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.29% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $188,890 which includes $141 cash and excludes $1,340 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 41.89% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -3.4%, and for the last 12 months is -12.5%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of iM-Best(Short) gained -0.08% at a time when SPY gained 2.22%. Over the period 1/2/2009 to 7/9/2018 the starting capital of $100,000 would have grown to $88,098 which includes $106,167 cash and excludes $24,381 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -2.1%, and for the last 12 months is 5.2%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.49% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,030 which includes $1,980 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 -0.6%, and for the last 12 months is 5.2%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.94% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,229 which includes $4,783 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 3.8%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.18% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $134,948 which includes $3,223 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 5.0%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.18% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $139,325 which includes $2,042 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 26.7%, and for the last 12 months is 70.5%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 5.02% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $223,036 which includes $77 cash and excludes $2,429 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -3.6%, and for the last 12 months is 3.4%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.39% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,059 which includes $77 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 -0.4%, and for the last 12 months is 5.5%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 1.27% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $106,702 which includes $2,318 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 0.7%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.63% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,396 which includes $3,018 cash and excludes $317 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 11.2%, and for the last 12 months is 35.8%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.43% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $180,984 which includes $1,539 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 4.1%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 5.0% and 16.9% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.13% at a time when SPY gained 2.22%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $130,421 which includes $2,772 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
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