Blog Archives
iM-Best Reports – 2/5/2018
Posted in pmp SPY-SH
iM-Best Reports – 1/29/2018
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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 6.6%, and for the last 12 months is 27.2%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.69% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $599,356 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 9.0%, and for the last 12 months is 33.3%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.73% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $171,946 which includes $2,296 cash and excludes $3,443 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 10.6%, and for the last 12 months is 41.1%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-Combo5 gained 1.06% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $141,292 which includes -$1,645 cash and excludes $606 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 7.8%, and for the last 12 months is 29.0%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Since inception, on 7/1/2014, the model gained 92.19% while the benchmark SPY gained 56.09% and VDIGX gained 49.08% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.92% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $191,954 which includes $1,512 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.70% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $237,898 which includes $2,123 cash and excludes $2,007 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.9%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.51% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,891 which includes $155 cash and excludes $1,500 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 4.0%, and for the last 12 months is 43.6%. Over the same period the benchmark SPY performance was 6.7% and 26.7% 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 0.70%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $157,641 which includes $418 cash and excludes $630 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 21.6%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 4.93% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $121,987 which includes $5,886 cash and excludes $933 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 25.3%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Since inception, on 6/30/2014, the model gained 81.38% while the benchmark SPY gained 56.09% and the ETF USMV gained 58.33% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.77% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $181,164 which includes $728 cash and excludes $3,822 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 8.4%, and for the last 12 months is 33.7%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Since inception, on 1/5/2015, the model gained 74.92% while the benchmark SPY gained 49.99% and the ETF USMV gained 45.40% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.22% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $174,858 which includes $377 cash and excludes $926 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 21.9%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Since inception, on 3/30/2015, the model gained 43.78% while the benchmark SPY gained 44.65% and the ETF USMV gained 40.44% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.53% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $143,737 which includes $983 cash and excludes $874 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is 18.0%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Since inception, on 7/1/2014, the model gained 86.67% while the benchmark SPY gained 56.09% and the ETF USMV gained 58.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.94% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $186,613 which includes $660 cash and excludes $1,294 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 81.58% while the benchmark SPY gained 53.73% and the ETF USMV gained 56.14% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.09% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $181,471 which includes $247 cash and excludes $1,197 spent on fees and slippage. |
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Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 39.60% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -1.2%, and for the last 12 months is -6.6%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 0.70%. Over the period 1/2/2009 to 1/29/2018 the starting capital of $100,000 would have grown to $90,125 which includes $90,125 cash and excludes $23,591 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.39% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,151 which includes $743 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -0.3%, and for the last 12 months is 10.3%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.09% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,476 which includes $3,320 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 5.5%, and for the last 12 months is 21.9%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.44% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,097 which includes $2,172 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 6.6%, and for the last 12 months is 28.9%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.70% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $141,465 which includes $833 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 13.8%, and for the last 12 months is 81.4%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 1.65% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $200,298 which includes $886 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.55% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,542 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 2.3%, and since inception 9.6%. Over the same period the benchmark SPY performance was 6.7% and 23.6% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.20% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $109,591 which includes $1,612 cash and excludes $74 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 3.9%, and since inception 12.1%. Over the same period the benchmark SPY performance was 6.7% and 23.1% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.12% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $111,966 which includes $424 cash and excludes $173 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 12.1%, and for the last 12 months is 55.1%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.96% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $182,426 which includes $1,064 cash and excludes $1,030 spent on fees and slippage. |
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iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 25.7%. Over the same period the benchmark SPY performance was 6.7% and 26.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.57% at a time when SPY gained 0.70%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $133,025 which includes $1,878 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 1/16/2018
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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 3.7%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.09% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $576,975 which includes $878 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is 29.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.08% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $165,729 which includes $1,808 cash and excludes $3,439 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 35.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Combo5 gained 1.25% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $135,347 which includes -$1,645 cash and excludes $606 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 7/1/2014, the model gained 87.48% while the benchmark SPY gained 51.86% and VDIGX gained 45.47% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 3.35% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $187,300 which includes $1,512 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.35% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $236,686 which includes $2,123 cash and excludes $2,007 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.04% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,708 which includes $341 cash and excludes $1,426 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 42.4%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.02% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $152,776 which includes $1,565 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.40% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $113,752 which includes $1,750 cash and excludes $904 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 23.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 6/30/2014, the model gained 76.49% while the benchmark SPY gained 51.86% and the ETF USMV gained 54.30% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.69% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $176,311 which includes $231 cash and excludes $3,796 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 29.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 1/5/2015, the model gained 66.37% while the benchmark SPY gained 45.93% and the ETF USMV gained 41.70% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.98% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $166,317 which includes $377 cash and excludes $926 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.2%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 3/30/2015, the model gained 38.67% while the benchmark SPY gained 40.72% and the ETF USMV gained 36.86% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.31% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,599 which includes $394 cash and excludes $854 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Since inception, on 7/1/2014, the model gained 79.74% while the benchmark SPY gained 51.86% and the ETF USMV gained 54.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.13% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,655 which includes $204 cash and excludes $1,268 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 75.56% while the benchmark SPY gained 49.57% and the ETF USMV gained 52.17% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.24% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $175,371 which includes $419 cash and excludes $1,132 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 37.88% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -0.2%, and for the last 12 months is -5.9%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of iM-Best(Short) gained 0.14% at a time when SPY gained 1.11%. Over the period 1/2/2009 to 1/16/2018 the starting capital of $100,000 would have grown to $91,083 which includes $127,554 cash and excludes $23,552 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.10% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,129 which includes $743 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -1.7%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -1.45% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,019 which includes $3,320 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 20.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.66% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,947 which includes $2,172 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.7%, and for the last 12 months is 26.5%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.10% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,656 which includes $833 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 8.3%, and for the last 12 months is 80.0%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 4.00% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $190,679 which includes $886 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.8%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.41% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,346 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 1.7%, and since inception 8.9%. Over the same period the benchmark SPY performance was 3.8% and 20.2% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.63% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $108,903 which includes $1,612 cash and excludes $74 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.0%, and since inception 10.1%. Over the same period the benchmark SPY performance was 3.8% and 19.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.85% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,997 which includes $409 cash and excludes $153 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 50.2%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.06% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $174,083 which includes $1,064 cash and excludes $1,030 spent on fees and slippage. |
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iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 23.7%. Over the same period the benchmark SPY performance was 3.8% and 24.4% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.90% at a time when SPY gained 1.11%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $129,638 which includes $1,878 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 1/8/2018
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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 2.6%, and for the last 12 months is 23.4%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 1.88% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $576,975 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 3.9%, and for the last 12 months is 28.4%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 2.80% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $163,949 which includes $1,808 cash and excludes $3,439 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 34.2%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-Combo5 gained 3.12% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $133,674 which includes -$1,645 cash and excludes $606 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 22.1%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Since inception, on 7/1/2014, the model gained 81.39% while the benchmark SPY gained 50.19% and VDIGX gained 43.83% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.07% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $178,636 which includes -$1,166 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 12.8%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.07% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $230,447 which includes $1,589 cash and excludes $1,818 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 10.3%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.75% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $114,141 which includes -$31 cash and excludes $1,426 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 43.1%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.21% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $152,690 which includes $1,326 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.52% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $112,995 which includes $1,453 cash and excludes $904 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 21.3%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Since inception, on 6/30/2014, the model gained 73.57% while the benchmark SPY gained 50.19% and the ETF USMV gained 54.15% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.33% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $173,186 which includes -$33 cash and excludes $3,796 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 28.6%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Since inception, on 1/5/2015, the model gained 64.75% while the benchmark SPY gained 44.33% and the ETF USMV gained 41.56% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.63% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $164,436 which includes $326 cash and excludes $871 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 17.7%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Since inception, on 3/30/2015, the model gained 38.25% while the benchmark SPY gained 39.17% and the ETF USMV gained 36.73% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.40% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $138,078 which includes $356 cash and excludes $803 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Since inception, on 7/1/2014, the model gained 79.97% while the benchmark SPY gained 50.19% and the ETF USMV gained 54.15% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.76% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,876 which includes $107 cash and excludes $1,268 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 74.95% while the benchmark SPY gained 47.92% and the ETF USMV gained 52.02% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.87% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $174,749 which includes -$88 cash and excludes $1,098 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 37.25% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -0.3%, and for the last 12 months is -6.5%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of iM-Best(Short) gained 0.30% at a time when SPY gained 1.92%. Over the period 1/2/2009 to 1/8/2018 the starting capital of $100,000 would have grown to $90,954 which includes $108,452 cash and excludes $23,495 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 0.8%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 2.6% and 22.9% 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 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,237 which includes $743 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 9.9%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.09% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,628 which includes $3,320 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 19.1%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.64% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,075 which includes $2,172 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 25.1%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.89% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,149 which includes $833 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 4.2%, and for the last 12 months is 76.5%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 3.72% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $183,338 which includes $886 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.14% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,504 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 1.1%, and since inception 8.2%. Over the same period the benchmark SPY performance was 2.6% and 18.9% 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 1.92%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $108,216 which includes $1,415 cash and excludes $69 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance YTD is 1.2%, and since inception 9.2%. Over the same period the benchmark SPY performance was 2.6% and 18.4% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.95% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,952 which includes $296 cash and excludes $153 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 4.8%, and for the last 12 months is 47.1%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 3.19% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $170,577 which includes $1,064 cash and excludes $1,030 spent on fees and slippage. |
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iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 22.4%. Over the same period the benchmark SPY performance was 2.6% and 22.9% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.75% at a time when SPY gained 1.92%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $128,474 which includes $1,878 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 1/2/2018
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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 0.7%, and for the last 12 months is 23.1%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.58% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $566,263 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 27.1%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.90% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $159,399 which includes $1,731 cash and excludes $3,439 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 31.7%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-Combo5 gained 1.14% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $129,586 which includes $508 cash and excludes $603 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 23.1%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Since inception, on 7/1/2014, the model gained 79.47% while the benchmark SPY gained 47.37% and VDIGX gained 41.29% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.41% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,358 which includes $1,403 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.39% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $230,614 which includes $1,589 cash and excludes $1,818 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 9.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.04% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,042 which includes $332 cash and excludes $1,383 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -0.3%, and for the last 12 months is 43.1%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.75% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $150,852 which includes $1,123 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is -0.4%, and for the last 12 months is 13.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.95% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $111,070 which includes $1,233 cash and excludes $904 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 22.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Since inception, on 6/30/2014, the model gained 71.29% while the benchmark SPY gained 47.37% and the ETF USMV gained 52.19% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.07% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $170,920 which includes -$135 cash and excludes $3,796 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 28.8%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Since inception, on 1/5/2015, the model gained 62.12% while the benchmark SPY gained 41.61% and the ETF USMV gained 39.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.23% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $161,797 which includes $326 cash and excludes $871 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Since inception, on 3/30/2015, the model gained 36.34% while the benchmark SPY gained 36.56% and the ETF USMV gained 34.99% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.40% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $136,099 which includes $286 cash and excludes $803 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 15.2%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Since inception, on 7/1/2014, the model gained 78.62% while the benchmark SPY gained 47.37% and the ETF USMV gained 52.19% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.35% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $178,380 which includes -$33 cash and excludes $1,268 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 71.54% while the benchmark SPY gained 45.14% and the ETF USMV gained 50.09% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.11% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $171,337 which includes -$88 cash and excludes $1,098 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 37.17% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -0.6%, and for the last 12 months is -6.6%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of iM-Best(Short) gained -0.21% at a time when SPY gained 0.59%. Over the period 1/2/2009 to 1/2/2018 the starting capital of $100,000 would have grown to $90,679 which includes $108,727 cash and excludes $23,458 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -0.3%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.35% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,002 which includes $743 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -0.3%, and for the last 12 months is 11.1%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.06% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,526 which includes $3,320 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 19.2%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.57% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,924 which includes $2,172 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 0.7%, and for the last 12 months is 24.8%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.58% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,605 which includes $833 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 0.4%, and for the last 12 months is 76.8%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.51% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $176,467 which includes $587 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 25.4%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 2.81% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,318 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.5%, and since inception 7.6%. Over the same period the benchmark SPY performance was 0.7% and 16.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 1.15% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,477 which includes $1,284 cash and excludes $69 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 since inception 8.1%. Over the same period the benchmark SPY performance was 0.7% and 16.2% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.71% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,823 which includes $2,508 cash and excludes $144 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 46.5%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.06% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $165,159 which includes $924 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 0.6%, and for the last 12 months is 22.9%. Over the same period the benchmark SPY performance was 0.7% and 22.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.50% at a time when SPY gained 0.59%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $126,257 which includes $1,878 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 12/19/2017
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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 22.9%, and for the last 12 months is 22.0%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.70% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $565,078 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 27.2%, and for the last 12 months is 26.2%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.55% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $159,321 which includes -$544 cash and excludes $3,437 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 31.7%, and for the last 12 months is 31.8%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-Combo5 gained 1.85% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $129,580 which includes $409 cash and excludes $603 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 22.3%, and for the last 12 months is 21.4%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Since inception, on 7/1/2014, the model gained 78.28% while the benchmark SPY gained 47.05% and VDIGX gained 41.03% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.84% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $178,102 which includes $1,227 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.41% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $230,503 which includes $1,589 cash and excludes $1,818 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 12.0%, and for the last 12 months is 9.5%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.00% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $114,602 which includes $155 cash and excludes $1,298 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 44.2%, and for the last 12 months is 41.3%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.12% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $152,236 which includes $1,123 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 14.5%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.28% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $112,329 which includes $768 cash and excludes $881 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 23.3%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Since inception, on 6/30/2014, the model gained 72.51% while the benchmark SPY gained 47.05% and the ETF USMV gained 53.24% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.58% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $172,290 which includes $123 cash and excludes $3,772 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 29.7%, and for the last 12 months is 28.5%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Since inception, on 1/5/2015, the model gained 63.15% while the benchmark SPY gained 41.32% and the ETF USMV gained 40.73% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.88% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $162,842 which includes $204 cash and excludes $871 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 18.8%, and for the last 12 months is 18.8%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Since inception, on 3/30/2015, the model gained 36.71% while the benchmark SPY gained 36.27% and the ETF USMV gained 35.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.99% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $136,531 which includes $12 cash and excludes $784 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 14.8%, and for the last 12 months is 14.6%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Since inception, on 7/1/2014, the model gained 78.05% while the benchmark SPY gained 47.05% and the ETF USMV gained 53.24% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.55% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $177,810 which includes $136 cash and excludes $1,238 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 72.49% while the benchmark SPY gained 44.83% and the ETF USMV gained 51.12% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.23% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $172,352 which includes $189 cash and excludes $1,076 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 38.99% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -6.2%, and for the last 12 months is -5.7%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of iM-Best(Short) gained -0.12% at a time when SPY gained 1.22%. Over the period 1/2/2009 to 12/18/2017 the starting capital of $100,000 would have grown to $91,059 which includes $91,059 cash and excludes $23,323 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 16.2%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.67% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,271 which includes $70 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 12.6%, and for the last 12 months is 13.3%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.00% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,589 which includes $2,356 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 18.4%, and for the last 12 months is 17.6%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.49% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $129,484 which includes $1,593 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 24.5%, and for the last 12 months is 23.7%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.71% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,324 which includes $833 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 76.8%, and since inception 76.8%. Over the same period the benchmark SPY performance was 22.3% and 22.3% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 3.41% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $176,799 which includes $587 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 20.0%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.44% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,618 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 5.7%. The benchmark SPY performance over the same period is 16.4%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.80% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,699 which includes $1,060 cash and excludes $69 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance from inception is 7.8%. The benchmark SPY performance over the same period is 16.0%. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.07% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,487 which includes $2,410 cash and excludes $124 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 46.3%, and for the last 12 months is 45.3%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.94% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $165,076 which includes $757 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 22.4%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 22.3% and 21.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.02% at a time when SPY gained 1.22%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $125,757 which includes $1,385 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 12/12/2017
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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 21.4%, and for the last 12 months is 19.8%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.81% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $561,146 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 24.9%, and for the last 12 months is 23.6%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.71% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $156,885 which includes -$544 cash and excludes $3,437 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 29.0%, and for the last 12 months is 28.3%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-Combo5 gained 2.01% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $127,232 which includes $409 cash and excludes $603 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 20.1%, and for the last 12 months is 18.7%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Since inception, on 7/1/2014, the model gained 75.06% while the benchmark SPY gained 45.28% and VDIGX gained 39.50% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.77% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $174,884 which includes $1,227 cash and excludes $1,956 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 13.7%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.05% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $229,553 which includes $1,003 cash and excludes $1,818 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 9.8%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.39% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,353 which includes $574 cash and excludes $1,297 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 42.8%, and for the last 12 months is 38.7%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.23% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $150,550 which includes $907 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 12.9%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.50% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $110,907 which includes $768 cash and excludes $881 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 22.6%, and for the last 12 months is 23.2%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Since inception, on 6/30/2014, the model gained 71.53% while the benchmark SPY gained 45.28% and the ETF USMV gained 51.92% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.42% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $171,299 which includes $385 cash and excludes $3,686 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 28.5%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Since inception, on 1/5/2015, the model gained 61.65% while the benchmark SPY gained 39.61% and the ETF USMV gained 39.52% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.17% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $161,417 which includes $204 cash and excludes $871 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 17.7%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Since inception, on 3/30/2015, the model gained 35.42% while the benchmark SPY gained 34.62% and the ETF USMV gained 34.75% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.35% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $135,187 which includes -$221 cash and excludes $784 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 13.1%, and for the last 12 months is 13.2%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Since inception, on 7/1/2014, the model gained 75.35% while the benchmark SPY gained 45.28% and the ETF USMV gained 51.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.51% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $175,098 which includes $16 cash and excludes $1,209 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 72.01% while the benchmark SPY gained 43.08% and the ETF USMV gained 49.82% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.26% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $171,958 which includes $177 cash and excludes $1,076 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 38.93% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -6.1%, and for the last 12 months is -5.1%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of iM-Best(Short) gained 0.23% at a time when SPY gained 0.82%. Over the period 1/2/2009 to 12/11/2017 the starting capital of $100,000 would have grown to $91,166 which includes $127,384 cash and excludes $23,285 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 15.4%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.06% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,525 which includes $70 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 12.2%, and for the last 12 months is 12.4%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.02% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,586 which includes $2,356 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 17.3%, and for the last 12 months is 15.0%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.33% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,852 which includes $1,593 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 23.0%, and for the last 12 months is 21.4%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.82% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,390 which includes $833 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 71.0%, and since inception 71.0%. Over the same period the benchmark SPY performance was 20.8% and 20.8% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.79% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $170,969 which includes $587 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 18.3%, and for the last 12 months is 17.4%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -2.65% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $122,849 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.9%. The benchmark SPY performance over the same period is 15.0%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.69% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,857 which includes $1,060 cash and excludes $69 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance from inception is 6.5%. The benchmark SPY performance over the same period is 14.5%. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.27% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $106,348 which includes $2,410 cash and excludes $124 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 42.1%, and for the last 12 months is 40.3%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.13% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $160,358 which includes $757 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 21.1%, and for the last 12 months is 20.5%. Over the same period the benchmark SPY performance was 20.8% and 19.9% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.61% at a time when SPY gained 0.82%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $124,485 which includes $1,385 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
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