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Weekly Updates

November 13, 2018

Performance-wk-11-13-2018 Performance-mth-11-13-2018 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $582,141 which includes $2,930 cash and excludes $17,699 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is -2.2%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Combo3.R1 gained -0.57% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $154,567 which includes $755 cash and excludes $4,229 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Combo5 gained -0.33% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,070 which includes $96 cash and excludes $1,142 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-11-13-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 10.8%, and for the last 12 months is 20.4%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 7/1/2014, the model gained 97.56% while the benchmark SPY gained 51.40% and VDIGX gained 50.42% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.45% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $197,565 which includes $602 cash and excludes $2,386 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is -26.4%, and for the last 12 months is -22.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -1.85% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $170,643 which includes $53,075 cash and excludes $3,270 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 11.1%, and for the last 12 months is 18.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.19% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,909 which includes $1,081 cash and excludes $2,420 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 5.0%, and for the last 12 months is 13.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.04% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $159,234 which includes $967 cash and excludes $790 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 6.8%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-BestogaX5-System gained -0.74% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $119,986 which includes $1,033 cash and excludes $1,363 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-11-13-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 9.7%, and for the last 12 months is 14.6%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 6/30/2014, the model gained 87.62% while the benchmark SPY gained 51.40% and the ETF USMV gained 63.53% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.29% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $187,616 which includes $448 cash and excludes $4,709 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-11-13-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 10.1%, and for the last 12 months is 14.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 1/5/2015, the model gained 77.67% while the benchmark SPY gained 45.49% and the ETF USMV gained 50.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -1.48% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $177,667 which includes $657 cash and excludes $1,290 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-11-13-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.5%, and for the last 12 months is 14.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 3/30/2015, the model gained 51.23% while the benchmark SPY gained 40.30% and the ETF USMV gained 45.05% 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 -0.30%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $151,235 which includes $498 cash and excludes $1,125 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-11-13-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 7.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Since inception, on 7/1/2014, the model gained 82.00% while the benchmark SPY gained 51.40% and the ETF USMV gained 63.53% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.18% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $181,999 which includes $772 cash and excludes $1,653 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-11-13-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 98.43% while the benchmark SPY gained 49.12% and the ETF USMV gained 61.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.15% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $198,432 which includes $962 cash and excludes $1,435 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-13-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 48.33% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -3.4%, and for the last 12 months is -4.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of iM-Best(Short) gained 1.96% at a time when SPY gained -0.30%. Over the period 1/2/2009 to 11/12/2018 the starting capital of $100,000 would have grown to $88,090 which includes $88,090 cash and excludes $24,801 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 4.3%, and for the last 12 months is 8.7%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.21% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,218 which includes $99 cash and excludes $124 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 3.4%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.13% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,796 which includes $5,697 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.28% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,110 which includes $3,838 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.5%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained -0.29% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,961 which includes $3,311 cash and excludes $1,390 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 13.9%, and for the last 12 months is 27.5%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.43% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $200,515 which includes $77 cash and excludes $3,254 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -8.0%, and for the last 12 months is -6.1%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -2.39% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,376 which includes $111 cash and excludes $1,956 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -4.1%, and for the last 12 months is -1.3%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.75% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $102,689 which includes $723 cash and excludes $76 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 7.0%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained -0.08% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,704 which includes $2,941 cash and excludes $417 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 1.5%, and for the last 12 months is 8.8%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained -1.74% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $165,173 which includes $1,874 cash and excludes $1,030 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 2.5%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 3.5% and 7.5% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained -0.16% at a time when SPY gained -0.30%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $128,779 which includes $3,759 cash and excludes $880 spent on fees and slippage.



November 9, 2018

Market Signals Summary:          

The MAC-US model is invested. 

To view this premium content requires membership category: Silver or higher. However, it can be freely viewed after 12-07-2018 16:00 (New York), or please login or register
The MAC-AU is also invested.  The recession indicators COMP and iM-BCIg do not signal a recession. 

 

Stock-markets:

Fig-2.-11-9-2018The MAC-US model generated a buy-signal 4/5/2016 and thus is invested in the stock-markets. The sell-spread (red graph) is below last week’s level and has to fall below zero to signal a sell. 

 

 

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Fig-2.1-11-9-2018The MAC-AU model is invested in the markets after it generated a buy signal on March 21, 2016. The sell-spread is below last week’s level and has to fall below zero to signal a sell.

This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.

 

Recession:

Fig-3.-11-9-2018Figure 3 shows the COMP down from last week’s  level. No recession is indicated.    COMP can be used for stock market exit timing as discussed in this article The Use of Recession Indicators in Stock Market Timing.

 

 

Fig-3.1-11-9-2018Figure 3.1 shows the recession indicator iM-BCIg   below last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-11-9-2018The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is at last week’s level and is not signaling a recession.  The FRR2-10 general trend is downwards.

A description of this indicator can be found here.

 

Fig-3.3-11-9-2018The iM-Low Frequency Timer is invested in the markets.

A description of this indicator can be found here.



November 9, 2018

Bond-market:

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The Yield Curve:

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Silver:

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November 8, 2018

 

Business Cycle Index

BCI-11-8-2018

The BCI at 248.6 is above last week’s level of 247.7, but remains below this business cycle’s peak as indicated by the BCIp at 90.0. However, the 6-month smoothed annualized growth BCIg at 11.7, is below last week’s 12.2.

No recession is signaled.

 

 



November 6, 2018

Performance-wk-a-11-6-2018 Performance-mth-a-11-6-2018 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $583,884 which includes $2,930 cash and excludes $17,699 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is -1.7%, and for the last 12 months is 2.3%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.69% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $155,351 which includes $645 cash and excludes $4,229 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 4.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-Combo5 gained 2.94% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,435 which includes $42 cash and excludes $1,142 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-11-6-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 8.9%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Since inception, on 7/1/2014, the model gained 94.20% while the benchmark SPY gained 51.86% and VDIGX gained 49.28% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 3.08% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $194,203 which includes $134 cash and excludes $2,386 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is -25.0%, and for the last 12 months is -19.0%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.23% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $173,662 which includes $52,883 cash and excludes $3,270 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 9.6%, and for the last 12 months is 18.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.29% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $124,277 which includes $934 cash and excludes $2,420 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 4.9%, and for the last 12 months is 13.7%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 3.23% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $159,074 which includes $743 cash and excludes $790 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 15.4%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 3.85% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $120,571 which includes $723 cash and excludes $1,363 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-11-6-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 11.2%, and for the last 12 months is 16.1%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Since inception, on 6/30/2014, the model gained 90.14% while the benchmark SPY gained 51.86% and the ETF USMV gained 61.71% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.64% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $190,264 which includes $977 cash and excludes $4,678 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-11-6-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 11.6%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Since inception, on 1/5/2015, the model gained 80.18% while the benchmark SPY gained 45.93% and the ETF USMV gained 48.51% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.47% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $180,183 which includes $508 cash and excludes $1,290 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-11-6-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 11.8%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Since inception, on 3/30/2015, the model gained 51.67% while the benchmark SPY gained 40.72% and the ETF USMV gained 43.44% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.49% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $151,669 which includes $444 cash and excludes $1,125 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-11-6-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Since inception, on 7/1/2014, the model gained 84.05% while the benchmark SPY gained 51.86% and the ETF USMV gained 61.71% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 3.31% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $184,045 which includes $645 cash and excludes $1,653 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-11-6-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 97.92% while the benchmark SPY gained 49.56% and the ETF USMV gained 59.48% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 2.46% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $197,916 which includes $853 cash and excludes $1,435 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-11-6-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 49.16% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -5.3%, and for the last 12 months is -7.0%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of iM-Best(Short) gained -0.28% at a time when SPY gained 3.61%. Over the period 1/2/2009 to 11/5/2018 the starting capital of $100,000 would have grown to $86,396 which includes $103,562 cash and excludes $24,784 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 8.7%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 2.54% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,822 which includes $99 cash and excludes $124 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 3.3%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.94% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,533 which includes $5,697 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is 6.1%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 4.28% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,477 which includes $3,838 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.8%, and for the last 12 months is 7.7%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 3.52% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $138,366 which includes $3,311 cash and excludes $1,390 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 13.4%, and for the last 12 months is 26.1%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 5.11% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $199,648 which includes $3,389 cash and excludes $3,251 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -5.9%, and for the last 12 months is -3.7%. Over the same period the benchmark SPY performance was 0.2% and 4.3% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.51% at a time when SPY gained -4.05%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,141 which includes $99 cash and excludes $1,956 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -3.4%, and for the last 12 months is -0.4%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 1.25% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $103,419 which includes $678 cash and excludes $76 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.59% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,723 which includes $2,872 cash and excludes $417 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 10.0%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 7.23% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $168,102 which includes $1,874 cash and excludes $1,030 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 2.7%, and for the last 12 months is 7.2%. Over the same period the benchmark SPY performance was 3.8% and 7.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 3.95% at a time when SPY gained 3.61%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $128,990 which includes $3,759 cash and excludes $880 spent on fees and slippage.

 



Monthly Updates

November 2, 2018

Unemployment

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The Dynamic Linearly Detrended Enhanced Aggregate Spread:

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Coppock Indicator for the S&P500

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CAPE-Cycle-ID

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Fig-9a-11-2-2018Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE.  A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.

 

 

 

iM-GT Timer

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Trade Weighted USD

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TIAA Real Estate Account

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