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March 19, 2019

Performance-wk-3-19-2019 Performance-mth-3-19-2019 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 3.4%. Over the same period the benchmark SPY performance was 8.7% and 4.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 1.09% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $119,019 which includes $183 cash and excludes $788 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 6.9%, and for the last 12 months is 3.7%. Over the same period the benchmark SPY performance was 8.7% and 4.8% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 1.18% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $121,779 which includes $321 cash and excludes $909 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 8.7% and 4.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 1.24% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $124,447 which includes $381 cash and excludes $1,024 spent on fees and slippage.
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 4.9%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $611,868 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is -4.0%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.97% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $157,566 which includes -$867 cash and excludes $5,077 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is -1.9%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of iM-Combo5 gained 1.84% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $133,759 which includes $694 cash and excludes $0 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-3-19-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 10.5%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Since inception, on 7/1/2014, the model gained 102.64% while the benchmark SPY gained 58.44% and VDIGX gained 58.84% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.51% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $202,643 which includes $685 cash and excludes $2,508 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 10.6%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.33% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,847 which includes $16,710 cash and excludes $2,851 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 10.6%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.28% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $166,660 which includes $1,747 cash and excludes $870 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-3-19-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 18.2%, and for the last 12 months is 15.4%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Since inception, on 6/30/2014, the model gained 102.63% while the benchmark SPY gained 58.44% and the ETF USMV gained 71.49% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.35% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $202,629 which includes $906 cash and excludes $5,230 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-3-19-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 16.6%, and for the last 12 months is 13.3%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Since inception, on 1/5/2015, the model gained 91.66% while the benchmark SPY gained 52.26% and the ETF USMV gained 57.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.71% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $191,659 which includes $948 cash and excludes $1,442 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-3-19-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 16.1%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Since inception, on 3/30/2015, the model gained 61.34% while the benchmark SPY gained 46.82% and the ETF USMV gained 52.11% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.50% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $161,345 which includes -$229 cash and excludes $1,310 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-3-19-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 16.2%, and for the last 12 months is 8.1%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Since inception, on 7/1/2014, the model gained 93.70% while the benchmark SPY gained 58.44% and the ETF USMV gained 71.49% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.54% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $193,696 which includes $90 cash and excludes $1,917 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-3-19-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 105.04% while the benchmark SPY gained 56.04% and the ETF USMV gained 69.12% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.85% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $205,037 which includes $150 cash and excludes $1,723 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-3-19-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 54.32% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -12.2%, and for the last 12 months is -16.0%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of iM-Best(Short) gained -0.05% at a time when SPY gained 1.84%. Over the period 1/2/2009 to 3/18/2019 the starting capital of $100,000 would have grown to $78,163 which includes $93,493 cash and excludes $25,495 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 5.3%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was 13.5% and 5.0% 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 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $111,651 which includes $540 cash and excludes $447 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.7%, and for the last 12 months is 9.1%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.34% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,377 which includes $140 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 14.2%, and for the last 12 months is 3.7%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.57% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $137,208 which includes $5,116 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 6.4%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.27% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $146,264 which includes $1,328 cash and excludes $2,486 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is -1.2%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.28% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $190,105 which includes $775 cash and excludes $4,763 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 7.6%, and for the last 12 months is -9.0%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.50% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,060 which includes $833 cash and excludes $2,651 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 5.1%, and for the last 12 months is -5.6%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.25% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $101,218 which includes $1,309 cash and excludes $539 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 8.0%, and for the last 12 months is 1.3%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.50% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $110,176 which includes $9,694 cash and excludes $831 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 6.2%, and for the last 12 months is -15.2%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 2.54% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $147,056 which includes $25,753 cash and excludes $2,769 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 5.6%, and for the last 12 months is -3.8%. Over the same period the benchmark SPY performance was 13.5% and 5.0% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.01% at a time when SPY gained 1.84%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $123,849 which includes $169 cash and excludes $2,572 spent on fees and slippage.

 



March 15, 2019

Market Signals Summary:

The MAC-US model,  iM-Low Frequency Timer  

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are invested in the markets. However the monthly updated S&P500 Coppock is out of the markets. The MAC-AU  is invested in the markets. The recession indicators COMP and iM-BCIg do not signal a recession. 
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Fig-2.1-3-15-2019The MAC-AU model is invested in the markets after signaling a a buy on February 7, 2019. The sell-spread (red line) now needs to move above zero before a sell signal can be generated.

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

 

Recession:

Fig-3.-3-15-2019Figure 3 shows the COMP above last week’s levels . 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-3.1-3-15-2019Figure 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-3.2-3-15-2019The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is near 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-3.3-3-15-2019The iM-Low Frequency Timer is back in the markets since 1/22/2019.

A description of this indicator can be found here.



March 15, 2019

Bond-market:

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The Yield Curve:

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Silver:

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March 14, 2019

 

Business Cycle Index

BCI-3-14-2019

The BCI at 249.2  is below last week’s 249.9, and remains below this business cycle’s peak as indicated by the BCIp at 80.3.  Also, the 6-month smoothed annualized growth BCIg at 9.5  is below last week’s 10.1.  Both BCIp and BCIg are not signaling a recession.

 

 

 



March 12, 2019

Performance-wk-3-12-2019 Performance-mth-3-12-2019 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 5.2%, and for the last 12 months is 1.6%. Over the same period the benchmark SPY performance was 7.4% and 2.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.16% at a time when SPY gained 0.02%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $117,730 which includes $37 cash and excludes $672 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 1.6%. Over the same period the benchmark SPY performance was 7.4% and 2.9% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained -0.27% at a time when SPY gained 0.02%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $120,360 which includes $16 cash and excludes $766 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 6.0%, and for the last 12 months is 1.6%. Over the same period the benchmark SPY performance was 7.4% and 2.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained -0.35% at a time when SPY gained 0.02%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $122,918 which includes -$21 cash and excludes $857 spent on fees and slippage.
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is -0.1%, and for the last 12 months is 1.7%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $600,561 which includes -$13,956 cash and excludes $22,629 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is -5.5%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.92% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $156,050 which includes -$1,496 cash and excludes $5,077 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is -4.8%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of iM-Combo5 gained 0.53% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $131,336 which includes $266 cash and excludes $0 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-3-12-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Since inception, on 7/1/2014, the model gained 99.62% while the benchmark SPY gained 55.57% and VDIGX gained 56.42% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.15% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $199,619 which includes $817 cash and excludes $2,506 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 10.2%, and for the last 12 months is 3.9%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.55% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,445 which includes $16,959 cash and excludes $2,851 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 6.5%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained -0.16% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $164,555 which includes $1,747 cash and excludes $870 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-3-12-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.8%, and for the last 12 months is 15.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Since inception, on 6/30/2014, the model gained 101.92% while the benchmark SPY gained 55.57% and the ETF USMV gained 69.61% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 0.47% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $201,916 which includes $906 cash and excludes $5,230 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-3-12-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 14.6%, and for the last 12 months is 10.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Since inception, on 1/5/2015, the model gained 88.43% while the benchmark SPY gained 49.50% and the ETF USMV gained 55.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.01% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $188,433 which includes $792 cash and excludes $1,442 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-3-12-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.6%, and for the last 12 months is 13.6%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Since inception, on 3/30/2015, the model gained 60.54% while the benchmark SPY gained 44.16% and the ETF USMV gained 50.44% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 0.20% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $160,542 which includes -$265 cash and excludes $1,310 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-3-12-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 15.6%, and for the last 12 months is 5.7%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Since inception, on 7/1/2014, the model gained 92.65% while the benchmark SPY gained 55.57% and the ETF USMV gained 69.61% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.11% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $192,653 which includes $89 cash and excludes $1,917 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-3-12-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 103.18% while the benchmark SPY gained 53.22% and the ETF USMV gained 67.27% 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 -0.34%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $203,183 which includes $150 cash and excludes $1,723 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-3-12-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 52.87% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -12.2%, and for the last 12 months is -16.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of iM-Best(Short) gained 1.03% at a time when SPY gained -0.34%. Over the period 1/2/2009 to 3/11/2019 the starting capital of $100,000 would have grown to $78,200 which includes $78,200 cash and excludes $25,479 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 4.6%, and for the last 12 months is 0.0%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.47% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $110,907 which includes $540 cash and excludes $447 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 7.3%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.54% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,986 which includes $140 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 12.4%, and for the last 12 months is 1.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained -0.96% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,084 which includes $4,511 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 4.7%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.73% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $145,864 which includes $1,328 cash and excludes $2,486 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 4.9%, and for the last 12 months is -4.6%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.74% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $189,582 which includes $775 cash and excludes $4,763 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 7.1%, and for the last 12 months is -10.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.99% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,474 which includes $384 cash and excludes $2,651 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 4.8%, and for the last 12 months is -6.3%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.06% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $100,967 which includes $1,309 cash and excludes $539 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 7.5%, and for the last 12 months is -0.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.34% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $109,627 which includes $9,567 cash and excludes $831 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 3.6%, and for the last 12 months is -19.1%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.23% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $143,410 which includes -$3,084 cash and excludes $2,740 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 4.6%, and for the last 12 months is -5.9%. Over the same period the benchmark SPY performance was 11.4% and 1.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.70% at a time when SPY gained -0.34%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $122,616 which includes -$660 cash and excludes $2,473 spent on fees and slippage.

 



Monthly Updates

March 8, 2019

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

Fig-9a.-3-8-2019Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE;  the level moved from +2 to 0 end of Jan-2019. This indicator is described here.

To avoid the bear market, exit stocks when the spread between the 5-month and 25-month moving averages of S&P-real becomes negative and simultaneously the CAPE-Cycle-ID score is 0 or -2.  (read more)

 

Estimated  Forward 10-Year Returns

Fig-9.b-CMA-3-8-2019The estimated forward 10‐year annualized real return are estimated at 6.0% with a 95% confidence interval : 4.6% to 7.4%

 

 

iM-GT Timer

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Trade Weighted USD

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TIAA Real Estate Account

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