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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 18.7%, and for the last 12 months is 19.7%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of Best(SPY-SH) gained 0.74% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $548,500 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 22.3%, and for the last 12 months is 24.3%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.24% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $153,638 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 27.0%, and for the last 12 months is 28.2%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-Combo5 gained 1.50% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $125,252 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 13.8%, and for the last 12 months is 16.3%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Since inception, on 7/1/2014, the model gained 65.89% while the benchmark SPY gained 41.96% and VDIGX gained 35.62% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.37% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,761 which includes $288 cash and excludes $1,913 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is 10.6%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.16% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $221,222 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 4.3%, and for the last 12 months is 4.0%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.21% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $107,020 which includes -$58 cash and excludes $1,254 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 35.2%, and for the last 12 months is 34.7%. Over the same period the benchmark SPY performance was 18.1% and 19.8% 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 0.75%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $143,022 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 7.8%, and for the last 12 months is 6.4%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.27% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $105,893 which includes $684 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 19.7%, and for the last 12 months is 21.5%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Since inception, on 6/30/2014, the model gained 67.37% while the benchmark SPY gained 41.96% and the ETF USMV gained 160.23% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.37% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $167,367 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 25.4%, and for the last 12 months is 26.5%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Since inception, on 1/5/2015, the model gained 57.77% while the benchmark SPY gained 36.42% and the ETF USMV gained 36.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.29% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $157,696 which includes $35 cash and excludes $849 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.4%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Since inception, on 3/30/2015, the model gained 32.83% while the benchmark SPY gained 31.55% and the ETF USMV gained 31.55% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.32% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,795 which includes $100 cash and excludes $765 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 9.8%, and for the last 12 months is 11.9%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Since inception, on 7/1/2014, the model gained 70.20% while the benchmark SPY gained 41.96% and the ETF USMV gained 160.23% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.84% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $169,944 which includes -$97 cash and excludes $1,179 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 66.91% while the benchmark SPY gained 39.81% and the ETF USMV gained 40.07% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.78% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $166,879 which includes $144 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 36.19% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -6.4%, and for the last 12 months is -5.3%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of iM-Best(Short) gained -1.18% at a time when SPY gained 0.75%. Over the period 1/2/2009 to 11/27/2017 the starting capital of $100,000 would have grown to $90,854 which includes $90,854 cash and excludes $23,210 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 12.3%, and for the last 12 months is 14.2%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.46% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,872 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 10.5%, and for the last 12 months is 13.6%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.37% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,995 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 14.2%, and for the last 12 months is 14.8%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.27% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,423 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 20.2%, and for the last 12 months is 21.3%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.74% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $129,387 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 59.6%, and since inception 59.6%. Over the same period the benchmark SPY performance was 18.1% and 18.1% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 1.35% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $159,640 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 23.1%, and for the last 12 months is 20.5%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.28% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $127,928 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 5.1%. The benchmark SPY performance over the same period is 12.4%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.56% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,092 which includes $974 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 4.5%. The benchmark SPY performance over the same period is 11.9%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.49% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $104,400 which includes $1,644 cash and excludes $113 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 38.0%, and for the last 12 months is 42.4%. Over the same period the benchmark SPY performance was 18.1% and 19.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.53% at a time when SPY gained 0.75%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $155,736 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 18.1%, and for the last 12 months is 19.2%. Over the same period the benchmark SPY performance was 18.1% and 19.8% 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 0.75%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $121,417 which includes $1,385 cash and excludes $880 spent on fees and slippage. |
Blog Archives
iM-Best Reports – 11/27/2017
Posted in pmp SPY-SH
iM-Best Reports – 11/20/2017
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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 17.8%, and for the last 12 months is 20.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $544,486 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 20.8%, and for the last 12 months is 25.0%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.02% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $151,757 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 25.1%, and for the last 12 months is 27.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Combo5 gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $123,395 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 13.4%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 7/1/2014, the model gained 65.28% while the benchmark SPY gained 40.91% and VDIGX gained 34.59% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.57% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $165,152 which includes $392 cash and excludes $1,881 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is 12.7%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.48% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $220,871 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 4.1%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,798 which includes -$58 cash and excludes $1,254 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 35.6%, and for the last 12 months is 38.2%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.61% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $143,356 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 8.1%, and for the last 12 months is 9.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 0.67% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $106,179 which includes $684 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 18.0%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 6/30/2014, the model gained 65.10% while the benchmark SPY gained 40.91% and the ETF USMV gained 158.30% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.76% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $165,104 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 25.0%, and for the last 12 months is 28.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 1/5/2015, the model gained 57.31% while the benchmark SPY gained 35.41% and the ETF USMV gained 35.40% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.12% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $157,239 which includes $35 cash and excludes $849 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.1%, and for the last 12 months is 19.4%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 3/30/2015, the model gained 32.41% while the benchmark SPY gained 30.58% and the ETF USMV gained 30.57% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.08% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,366 which includes $101 cash and excludes $765 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 12.3%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Since inception, on 7/1/2014, the model gained 68.78% while the benchmark SPY gained 40.91% and the ETF USMV gained 158.30% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.70% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $168,522 which includes -$97 cash and excludes $1,179 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 65.63% while the benchmark SPY gained 38.78% and the ETF USMV gained 39.03% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.38% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $165,593 which includes $144 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 37.27% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -5.3%, and for the last 12 months is -3.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of iM-Best(Short) gained -0.07% at a time when SPY gained -0.01%. Over the period 1/2/2009 to 11/20/2017 the starting capital of $100,000 would have grown to $91,942 which includes $128,518 cash and excludes $23,170 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.04% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,378 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 10.1%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.12% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,594 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 13.9%, and for the last 12 months is 16.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.58% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,082 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 19.3%, and for the last 12 months is 22.1%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.01% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,433 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 57.5%, and since inception 57.5%. Over the same period the benchmark SPY performance was 17.2% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.03% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $157,507 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 21.6%, and for the last 12 months is 21.6%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.00% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,315 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.5%. The benchmark SPY performance over the same period is 11.5%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.33% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,510 which includes $974 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 3.9%. The benchmark SPY performance over the same period is 11.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.19% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $103,892 which includes $1,644 cash and excludes $113 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 35.9%, and for the last 12 months is 44.5%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.84% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $153,382 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 17.4%, and for the last 12 months is 20.0%. Over the same period the benchmark SPY performance was 17.2% and 20.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.32% at a time when SPY gained -0.01%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $120,682 which includes $1,385 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 11/13/2017
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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 17.8%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.20% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $544,548 which includes $7,222 cash and excludes $15,358 spent on fees and slippage. |
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iM-Combo3.R1: The model’s out of sample performance YTD is 20.8%, and for the last 12 months is 26.5%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.28% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $151,733 which includes -$544 cash and excludes $3,437 spent on fees and slippage. |
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iM-Combo5: The model’s out of sample performance YTD is 25.1%, and for the last 12 months is 27.8%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Combo5 gained -0.19% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $123,409 which includes $409 cash and excludes $603 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 12.8%, and for the last 12 months is 18.7%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 7/1/2014, the model gained 64.34% while the benchmark SPY gained 40.92% and VDIGX gained 34.95% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -0.06% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $164,209 which includes $305 cash and excludes $1,881 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 12.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 3.53% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $221,947 which includes $1,003 cash and excludes $1,818 spent on fees and slippage. |
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iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 4.1%, and for the last 12 months is 8.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.17% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,808 which includes -$58 cash and excludes $1,254 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 33.6%, and for the last 12 months is 38.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.97% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $141,084 which includes $728 cash and excludes $559 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 11.1%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.28% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $105,468 which includes $684 cash and excludes $881 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.2%, and for the last 12 months is 20.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 6/30/2014, the model gained 63.86% while the benchmark SPY gained 40.92% and the ETF USMV gained 158.33% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.21% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $163,859 which includes $231 cash and excludes $3,601 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 23.6%, and for the last 12 months is 28.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 1/5/2015, the model gained 55.57% while the benchmark SPY gained 35.42% and the ETF USMV gained 35.41% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.11% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $155,493 which includes $56 cash and excludes $821 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.2%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 3/30/2015, the model gained 32.54% while the benchmark SPY gained 30.59% and the ETF USMV gained 30.59% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.83% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,467 which includes $44 cash and excludes $724 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 9.6%, and for the last 12 months is 14.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Since inception, on 7/1/2014, the model gained 69.96% while the benchmark SPY gained 40.92% and the ETF USMV gained 158.33% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.23% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $169,705 which includes -$268 cash and excludes $1,128 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 64.96% while the benchmark SPY gained 38.79% and the ETF USMV gained 39.04% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.58% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $164,959 which includes -$223 cash and excludes $1,022 spent on fees and slippage. |
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Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 36.90% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -5.3%, and for the last 12 months is -2.9%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of iM-Best(Short) gained 0.56% at a time when SPY gained -0.20%. Over the period 1/2/2009 to 11/13/2017 the starting capital of $100,000 would have grown to $92,003 which includes $109,897 cash and excludes $23,113 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 11.7%, and for the last 12 months is 15.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.29% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,330 which includes $70 cash and excludes $115 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 10.3%, and for the last 12 months is 16.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.70% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,728 which includes $2,356 cash and excludes $00 spent on fees and slippage. |
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iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.2%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.08% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,361 which includes $1,593 cash and excludes $513 spent on fees and slippage. |
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iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 19.3%, and for the last 12 months is 23.3%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.20% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $128,448 which includes $833 cash and excludes $1,390 spent on fees and slippage. |
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iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 57.6%, and since inception 57.6%. Over the same period the benchmark SPY performance was 17.2% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.62% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $157,546 which includes $587 cash and excludes $578 spent on fees and slippage. |
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iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 21.6%, and for the last 12 months is 23.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.26% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $126,315 which includes $53 cash and excludes $1,955 spent on fees and slippage. |
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iM-Low Turnover Composite Timer Combo: The model’s out of sample performance from inception is 4.2%. The benchmark SPY performance over the same period is 11.6%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.21% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,170 which includes $974 cash and excludes $69 spent on fees and slippage. |
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iM-Min Drawdown Combo: The model’s out of sample performance from inception is 3.7%. The benchmark SPY performance over the same period is 11.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.53% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $103,694 which includes $1,644 cash and excludes $113 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 34.8%, and for the last 12 months is 46.6%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.81% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $152,107 which includes $757 cash and excludes $1,030 spent on fees and slippage. |
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iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 17.0%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 17.2% and 21.8% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.11% at a time when SPY gained -0.20%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $120,301 which includes $1,385 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
iM-Best Reports – 9/25/2017
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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 13.0%, and for the last 12 months is 17.6%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of Best(SPY-SH) gained -0.31% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $522,428 which includes $4,654 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 12.7%, and for the last 12 months is 15.9%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.77% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $141,617 which includes -$826 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 15.5%, and for the last 12 months is 15.2%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-Combo5 gained -1.32% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $113,891 which includes $66 cash and excludes $599 spent on fees and slippage. |
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iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 15.6%, and for the last 12 months is 28.3%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Since inception, on 7/1/2014, the model gained 68.48% while the benchmark SPY gained 35.79% and VDIGX gained 33.11% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.36% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $168,476 which includes $368 cash and excludes $1,694 spent on fees and slippage. |
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iM-BESTOGA-3: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 4.1%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.51% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $217,245 which includes $207 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 8.3%, and for the last 12 months is 11.5%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.94% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,231 which includes $51 cash and excludes $1,211 spent on fees and slippage. |
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iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 30.4%, and since inception 37.9%. Over the same period the benchmark SPY performance was 12.9% and 19.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.42% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $134,657 which includes -$1,343 cash and excludes $440 spent on fees and slippage. |
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iM-BestogaX5-System: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.62% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $104,807 which includes $146 cash and excludes $786 spent on fees and slippage. |
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iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 16.1%, and for the last 12 months is 15.2%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Since inception, on 6/30/2014, the model gained 62.39% while the benchmark SPY gained 35.79% and the ETF USMV gained 43.97% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.15% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $162,392 which includes -$368 cash and excludes $3,443 spent on fees and slippage. |
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iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 18.8%, and for the last 12 months is 22.2%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Since inception, on 1/5/2015, the model gained 49.46% while the benchmark SPY gained 30.49% and the ETF USMV gained 32.22% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.57% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $149,464 which includes -$201 cash and excludes $821 spent on fees and slippage. |
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iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.2%, and for the last 12 months is 18.3%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Since inception, on 3/30/2015, the model gained 32.57% while the benchmark SPY gained 25.83% and the ETF USMV gained 27.70% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.01% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $132,570 which includes -$189 cash and excludes $704 spent on fees and slippage. |
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iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 8.6%, and for the last 12 months is 16.9%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Since inception, on 7/1/2014, the model gained 68.43% while the benchmark SPY gained 35.79% and the ETF USMV gained 43.97% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.36% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $168,432 which includes $492 cash and excludes $1,066 spent on fees and slippage. |
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iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 67.78% while the benchmark SPY gained 33.74% and the ETF USMV gained 41.98% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.55% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $167,775 which includes $302 cash and excludes $869 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 37.76% over SPY. (see iM-USMV Investor Portfolio) |
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iM-Best(Short): The model’s out of sample performance YTD is -2.8%, and for the last 12 months is -3.5%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of iM-Best(Short) gained -5.56% at a time when SPY gained -0.32%. Over the period 1/2/2009 to 9/25/2017 the starting capital of $100,000 would have grown to $94,109 which includes $94,109 cash and excludes $22,777 spent on fees and slippage. |
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iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 8.5%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.95% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,346 which includes $399 cash and excludes $111 spent on fees and slippage. |
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iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -1.11% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,998 which includes $1,729 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 10.0%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.15% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,819 which includes $1,074 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 14.5%, and for the last 12 months is 18.8%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.32% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $123,194 which includes $223 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 42.4%, and since inception 42.4%. Over the same period the benchmark SPY performance was 12.9% and 12.9% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.40% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 12/30/2016 would have grown to $142,412 which includes $293 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 24.8%, and for the last 12 months is 27.0%. Over the same period the benchmark SPY performance was 12.9% and 17.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.19% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $129,635 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 4.6%. The benchmark SPY performance over the same period is 7.5%. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.08% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $104,628 which includes $847 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 4.3%. The benchmark SPY performance over the same period is 7.1%. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.29% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $104,319 which includes $919 cash and excludes $103 spent on fees and slippage. |
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iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 25.1%, and since inception 41.2%. Over the same period the benchmark SPY performance was 12.9% and 19.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -0.68% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $141,193 which includes $672 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 13.4%, and since inception 16.6%. Over the same period the benchmark SPY performance was 12.9% and 19.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.15% at a time when SPY gained -0.32%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $116,546 which includes $1,073 cash and excludes $880 spent on fees and slippage. |
Posted in pmp SPY-SH
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