pmp SPY-SH | iMarketSignals

	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
	iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of Best(SPY-SH) gained -2.49% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $572,856 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
	iM-Combo3.R1: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 22.0%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.87% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $161,879 which includes -$2,678 cash and excludes $3,557 spent on fees and slippage.
	iM-Combo5: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of iM-Combo5 gained -3.15% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $133,633 which includes -$1,764 cash and excludes $665 spent on fees and slippage.
	iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Since inception, on 7/1/2014, the model gained 79.87% while the benchmark SPY gained 48.90% and VDIGX gained 41.07% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -2.57% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,362 which includes $416 cash and excludes $2,067 spent on fees and slippage.
	iM-BESTOGA-3: The model’s out of sample performance YTD is -1.0%, and for the last 12 months is 3.8%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -2.33% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $228,664 which includes $563 cash and excludes $2,158 spent on fees and slippage.
	iM-Best7(HiD-LoV): 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 1.8% and 16.3% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -2.22% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,997 which includes $20 cash and excludes $1,673 spent on fees and slippage.
	iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 27.4%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -1.88% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $152,013 which includes $1,253 cash and excludes $630 spent on fees and slippage.
	iM-BestogaX5-System: The model’s out of sample performance YTD is 6.8%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of iM-BestogaX5-System gained -3.01% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $119,399 which includes $4,973 cash and excludes $966 spent on fees and slippage.
	iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 14.7%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Since inception, on 6/30/2014, the model gained 74.55% while the benchmark SPY gained 48.90% and the ETF USMV gained 52.42% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.20% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $174,200 which includes $49 cash and excludes $4,118 spent on fees and slippage.
	iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 4.5%, and for the last 12 months is 23.0%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Since inception, on 1/5/2015, the model gained 68.77% while the benchmark SPY gained 43.09% and the ETF USMV gained 39.98% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.91% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $168,167 which includes -$9 cash and excludes $1,064 spent on fees and slippage.
	iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Since inception, on 3/30/2015, the model gained 40.41% while the benchmark SPY gained 37.99% and the ETF USMV gained 35.20% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.62% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $140,212 which includes $508 cash and excludes $893 spent on fees and slippage.
	iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Since inception, on 7/1/2014, the model gained 78.42% while the benchmark SPY gained 48.90% and the ETF USMV gained 52.42% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.62% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $178,117 which includes $840 cash and excludes $1,359 spent on fees and slippage.
	iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 82.58% while the benchmark SPY gained 46.65% and the ETF USMV gained 50.32% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.35% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $182,519 which includes -$725 cash and excludes $1,255 spent on fees and slippage.
	Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.16% over SPY. (see iM-USMV Investor Portfolio)
	iM-Best(Short): The model’s out of sample performance YTD is 2.0%, and for the last 12 months is -3.7%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained -2.49%. Over the period 1/2/2009 to 3/19/2018 the starting capital of $100,000 would have grown to $93,060 which includes $93,060 cash and excludes $23,817 spent on fees and slippage.
	iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -3.4%, and for the last 12 months is 5.2%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -1.90% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,268 which includes $743 cash and excludes $115 spent on fees and slippage.
	iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.6%, and for the last 12 months is 1.8%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.79% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,482 which includes $3,320 cash and excludes $00 spent on fees and slippage.
	iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -1.95% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,304 which includes $2,172 cash and excludes $513 spent on fees and slippage.
	iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 18.2%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -2.46% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,122 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
	iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 6.5%, and for the last 12 months is 57.5%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -4.54% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $187,455 which includes -$1,015 cash and excludes $1,288 spent on fees and slippage.
	iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 12.7%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.50% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,018 which includes $53 cash and excludes $1,955 spent on fees and slippage.
	iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -0.2%, and since inception 6.9%. Over the same period the benchmark SPY performance was 1.8% and 17.9% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.77% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $106,895 which includes $1,612 cash and excludes $74 spent on fees and slippage.
	iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.1%, and since inception 8.0%. Over the same period the benchmark SPY performance was 1.8% and 17.4% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -1.60% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,691 which includes $889 cash and excludes $215 spent on fees and slippage.
	iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 3.8%, and for the last 12 months is 35.7%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -4.69% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $168,907 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
	iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 16.4%. Over the same period the benchmark SPY performance was 1.8% and 16.3% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -2.20% at a time when SPY gained -2.49%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $127,101 which includes $2,002 cash and excludes $880 spent on fees and slippage.

Posted in pmp SPY-SH

iM-Best Reports – 3/12/2018

Posted on Mar 13, 2018 by Anton Vrba — No Comments ↓

	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
	iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 4.4%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.33% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $589,864 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
	iM-Combo3.R1: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 24.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained 2.04% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $165,354 which includes -$2,678 cash and excludes $3,557 spent on fees and slippage.
	iM-Combo5: The model’s out of sample performance YTD is 8.1%, and for the last 12 months is 31.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Combo5 gained 3.13% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $138,285 which includes -$1,764 cash and excludes $665 spent on fees and slippage.
	iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 7/1/2014, the model gained 84.62% while the benchmark SPY gained 52.71% and VDIGX gained 43.67% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.09% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,114 which includes $416 cash and excludes $2,067 spent on fees and slippage.
	iM-BESTOGA-3: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 6.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 5.21% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $234,754 which includes $340 cash and excludes $2,158 spent on fees and slippage.
	iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 9.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.31% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,691 which includes $136 cash and excludes $1,673 spent on fees and slippage.
	iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 29.3%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.16% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $154,935 which includes $998 cash and excludes $630 spent on fees and slippage.
	iM-BestogaX5-System: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 18.9%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.97% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $123,352 which includes $4,973 cash and excludes $966 spent on fees and slippage.
	iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 6/30/2014, the model gained 74.20% while the benchmark SPY gained 52.71% and the ETF USMV gained 54.18% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.39% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $174,022 which includes -$8 cash and excludes $4,093 spent on fees and slippage.
	iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.5%, and for the last 12 months is 25.1%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 1/5/2015, the model gained 70.32% while the benchmark SPY gained 46.76% and the ETF USMV gained 41.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.18% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,117 which includes -$62 cash and excludes $1,064 spent on fees and slippage.
	iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 4.2%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 3/30/2015, the model gained 41.29% while the benchmark SPY gained 41.51% and the ETF USMV gained 36.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.23% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $141,078 which includes $460 cash and excludes $893 spent on fees and slippage.
	iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 9.5%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Since inception, on 7/1/2014, the model gained 81.35% while the benchmark SPY gained 52.71% and the ETF USMV gained 54.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.98% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $181,154 which includes $828 cash and excludes $1,359 spent on fees and slippage.
	iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 83.15% while the benchmark SPY gained 50.40% and the ETF USMV gained 52.05% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.36% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $183,080 which includes $265 cash and excludes $1,227 spent on fees and slippage.
	Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 40.92% over SPY. (see iM-USMV Investor Portfolio)
	iM-Best(Short): The model’s out of sample performance YTD is 2.0%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of iM-Best(Short) gained -0.91% at a time when SPY gained 2.33%. Over the period 1/2/2009 to 3/12/2018 the starting capital of $100,000 would have grown to $93,060 which includes $93,060 cash and excludes $23,817 spent on fees and slippage.
	iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -1.5%, and for the last 12 months is 7.6%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.10% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,673 which includes $743 cash and excludes $115 spent on fees and slippage.
	iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -3.8%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.05% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,614 which includes $3,320 cash and excludes $00 spent on fees and slippage.
	iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.09% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,454 which includes $2,172 cash and excludes $513 spent on fees and slippage.
	iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 20.8%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.30% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $139,089 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
	iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 66.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 2.49% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $196,379 which includes -$1,015 cash and excludes $1,288 spent on fees and slippage.
	iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.30% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,675 which includes $53 cash and excludes $1,955 spent on fees and slippage.
	iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.6%, and since inception 7.7%. Over the same period the benchmark SPY performance was 4.4% and 20.9% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.69% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,728 which includes $1,612 cash and excludes $74 spent on fees and slippage.
	iM-Min Drawdown Combo: The model’s out of sample performance YTD is 1.7%, and since inception 9.8%. Over the same period the benchmark SPY performance was 4.4% and 20.4% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.55% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,632 which includes $866 cash and excludes $215 spent on fees and slippage.
	iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 44.4%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.81% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $177,218 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
	iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 20.2%. Over the same period the benchmark SPY performance was 4.4% and 19.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.17% at a time when SPY gained 2.33%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $130,067 which includes $2,002 cash and excludes $880 spent on fees and slippage.

Posted in pmp SPY-SH

iM-Best Reports – 3/5/2018

Posted on Mar 6, 2018 by Anton Vrba — No Comments ↓

	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
	iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of Best(SPY-SH) gained -2.05% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $576,457 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
	iM-Combo3.R1: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 21.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained -1.24% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $161,957 which includes -$5,595 cash and excludes $3,554 spent on fees and slippage.
	iM-Combo5: The model’s out of sample performance YTD is 4.8%, and for the last 12 months is 27.9%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Combo5 gained -1.75% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $134,046 which includes -$1,809 cash and excludes $665 spent on fees and slippage.
	iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 17.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 7/1/2014, the model gained 82.63% while the benchmark SPY gained 49.24% and VDIGX gained 41.02% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -2.12% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $182,136 which includes -$378 cash and excludes $2,034 spent on fees and slippage.
	iM-BESTOGA-3: The model’s out of sample performance YTD is -3.6%, and for the last 12 months is 1.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.65% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,350 which includes $340 cash and excludes $2,158 spent on fees and slippage.
	iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 4.7%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.36% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,434 which includes $13 cash and excludes $1,627 spent on fees and slippage.
	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.
	iM-BestogaX5-System: The model’s out of sample performance YTD is 7.9%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-BestogaX5-System gained 0.80% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $120,864 which includes $4,871 cash and excludes $966 spent on fees and slippage.
	iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 13.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 6/30/2014, the model gained 73.53% while the benchmark SPY gained 49.24% and the ETF USMV gained 51.64% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -2.98% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $173,303 which includes $627 cash and excludes $4,039 spent on fees and slippage.
	iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 1/5/2015, the model gained 70.63% while the benchmark SPY gained 43.42% and the ETF USMV gained 39.26% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.81% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,490 which includes -$116 cash and excludes $1,017 spent on fees and slippage.
	iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 3/30/2015, the model gained 38.20% while the benchmark SPY gained 38.29% and the ETF USMV gained 34.50% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -1.78% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,040 which includes $1,062 cash and excludes $874 spent on fees and slippage.
	iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Since inception, on 7/1/2014, the model gained 79.59% while the benchmark SPY gained 49.24% and the ETF USMV gained 51.64% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.06% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,442 which includes $828 cash and excludes $1,359 spent on fees and slippage.
	iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 80.63% while the benchmark SPY gained 46.99% and the ETF USMV gained 49.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -0.68% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $180,551 which includes $692 cash and excludes $1,197 spent on fees and slippage.
	Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.25% over SPY. (see iM-USMV Investor Portfolio)
	iM-Best(Short): The model’s out of sample performance YTD is 2.9%, and for the last 12 months is -1.9%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of iM-Best(Short) gained 1.97% at a time when SPY gained -2.05%. Over the period 1/2/2009 to 3/5/2018 the starting capital of $100,000 would have grown to $93,914 which includes $113,054 cash and excludes $23,796 spent on fees and slippage.
	iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -2.6%, and for the last 12 months is 6.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -1.15% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,471 which includes $743 cash and excludes $115 spent on fees and slippage.
	iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.8%, and for the last 12 months is 1.1%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.93% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,511 which includes $3,320 cash and excludes $00 spent on fees and slippage.
	iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -1.58% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,722 which includes $2,172 cash and excludes $513 spent on fees and slippage.
	iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is 17.8%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -2.03% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,962 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
	iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 60.3%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -3.22% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $191,605 which includes -$1,015 cash and excludes $1,288 spent on fees and slippage.
	iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.01% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,282 which includes $53 cash and excludes $1,955 spent on fees and slippage.
	iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -0.1%, and since inception 7.0%. Over the same period the benchmark SPY performance was 2.0% and 18.1% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.74% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $106,987 which includes $1,612 cash and excludes $74 spent on fees and slippage.
	iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.2%, and since inception 8.1%. Over the same period the benchmark SPY performance was 2.0% and 17.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -1.25% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,063 which includes $1,097 cash and excludes $205 spent on fees and slippage.
	iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 3.9%, and for the last 12 months is 35.2%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -3.41% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $169,086 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
	iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 15.6%. Over the same period the benchmark SPY performance was 2.0% and 16.4% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -1.79% at a time when SPY gained -2.05%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $127,299 which includes $2,002 cash and excludes $880 spent on fees and slippage.

Posted in pmp SPY-SH

iM-Best Reports – 2/26/2018

Posted on Feb 27, 2018 by Anton Vrba — No Comments ↓

	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
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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)
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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.
	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

iM-Best Reports – 2/20/2018

Posted on Feb 21, 2018 by Anton Vrba — No Comments ↓

	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
	iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 2.28% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $574,784 which includes -$42 cash and excludes $15,368 spent on fees and slippage.
	iM-Combo3.R1: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.99% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $160,855 which includes -$5,595 cash and excludes $3,554 spent on fees and slippage.
	iM-Combo5: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 27.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Combo5 gained 3.30% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $132,544 which includes -$2,175 cash and excludes $661 spent on fees and slippage.
	iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 17.6%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 81.19% while the benchmark SPY gained 48.81% and VDIGX gained 40.97% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.50% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $176,767 which includes -$2,527 cash and excludes $1,956 spent on fees and slippage.
	iM-BESTOGA-3: The model’s out of sample performance YTD is -3.3%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.32% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,991 which includes $144 cash and excludes $2,158 spent on fees and slippage.
	iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.77% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,481 which includes $153 cash and excludes $1,627 spent on fees and slippage.
	iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 31.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.94% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $153,865 which includes $785 cash and excludes $630 spent on fees and slippage.
	iM-BestogaX5-System: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 12.8%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.55% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $117,197 which includes $4,871 cash and excludes $966 spent on fees and slippage.
	iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 6/30/2014, the model gained 76.57% while the benchmark SPY gained 48.81% and the ETF USMV gained 51.27% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.91% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $176,464 which includes -$80 cash and excludes $3,904 spent on fees and slippage.
	iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 26.3%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 1/5/2015, the model gained 70.76% while the benchmark SPY gained 43.00% and the ETF USMV gained 38.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.57% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,715 which includes $456 cash and excludes $986 spent on fees and slippage.
	iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 3/30/2015, the model gained 39.57% while the benchmark SPY gained 37.90% and the ETF USMV gained 34.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.31% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $139,571 which includes $1,062 cash and excludes $874 spent on fees and slippage.
	iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 79.39% while the benchmark SPY gained 48.81% and the ETF USMV gained 51.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.86% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,257 which includes -$23 cash and excludes $1,316 spent on fees and slippage.
	iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 79.80% while the benchmark SPY gained 46.56% and the ETF USMV gained 49.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 3.11% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $179,802 which includes $692 cash and excludes $1,197 spent on fees and slippage.
	Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.27% over SPY. (see iM-USMV Investor Portfolio)
	iM-Best(Short): The model’s out of sample performance YTD is 0.9%, and for the last 12 months is -3.9%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 2.28%. Over the period 1/2/2009 to 2/20/2018 the starting capital of $100,000 would have grown to $92,070 which includes $92,070 cash and excludes $23,663 spent on fees and slippage.
	iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -2.6%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.90% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,467 which includes $743 cash and excludes $115 spent on fees and slippage.
	iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.9%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.95% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,410 which includes $3,320 cash and excludes $00 spent on fees and slippage.
	iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.18% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,608 which includes $2,172 cash and excludes $513 spent on fees and slippage.
	iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 19.1%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.26% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,572 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
	iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 58.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 7.98% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $186,462 which includes -$145 cash and excludes $912 spent on fees and slippage.
	iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.70% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,399 which includes $53 cash and excludes $1,955 spent on fees and slippage.
	iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.0%, and since inception 7.1%. Over the same period the benchmark SPY performance was 1.7% and 17.8% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.94% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,135 which includes $1,612 cash and excludes $74 spent on fees and slippage.
	iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.7%, and since inception 8.7%. Over the same period the benchmark SPY performance was 1.7% and 17.3% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.46% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,700 which includes $1,097 cash and excludes $205 spent on fees and slippage.
	iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 36.0%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.73% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $167,471 which includes $1,064 cash and excludes $1,030 spent on fees and slippage.
	iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.24% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $127,009 which includes $2,002 cash and excludes $880 spent on fees and slippage.