Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table | |
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 5.1%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of Best(SPY-SH) gained -1.77% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $436,779 which includes -$4,971 cash and excludes $15,358 spent on fees and slippage. | |
iM-Combo3.R1: The model’s out of sample performance YTD is -8.0%, and for the last 12 months is -8.3%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.00% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $121,730 which includes $149 cash and excludes $2,866 spent on fees and slippage. | |
iM-Combo5: The model’s out of sample performance from inception is -1.5%. The benchmark SPY performance over the same period is 12.3%. Over the previous week the market value of iM-Combo5 gained 0.00% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $98,485 which includes $19,086 cash and excludes $237 spent on fees and slippage. | |
The iM-Best8(S&P500 Min Vol)Tax-Efficient The model’s out of sample performance YTD is -5.5%, and for the last 12 months is -5.8%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained -0.78% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $420,715 which includes $191,243 cash and excludes $7,554 spent on fees and slippage. | |
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is -0.8%, and for the last 12 months is 4.1%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 25.06% while the benchmark SPY gained 13.56% and the ETF VDIGX gained 14.06% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained -2.12% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $127,763 which includes $2,689 cash and excludes $1,331 spent on fees and slippage. | |
iM-Best2 MC-Score ETF System: The model’s out of sample performance from inception is -4.3%. The benchmark SPY performance over the same period is 1.9%. Over the previous week the market value of iM-BESTOGA-3 gained -0.67% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $43 which includes $103 cash and excludes Gain to date spent on fees and slippage. | |
iM-BESTOGA-3: The model’s out of sample performance YTD is 13.8%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.88% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $209,134 which includes $20,041 cash and excludes $767 spent on fees and slippage. | |
iM-Best7(HiD-LoV): The model’s out of sample performance from inception is -4.3%. The benchmark SPY performance over the same period is 1.9%. Over the previous week the market value of iM-BESTOGA-3 gained 0.43% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $95,657 which includes $217 cash and excludes $231 spent on fees and slippage. | |
iM-Best10(Short Russell3000): The model’s performance YTD is -38.9%, and for the last 12 months is -25.0%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of iM-Best10(Short Russell3000) gained 4.58% at a time when SPY gained -1.75%. Over the period 2/3/2014 to 10/17/2016 the starting capital of $100,000 would have grown to $8,683 which includes $16,239 cash and excludes $1,513 spent on fees and slippage. | |
iM-BestogaX5-System: The model’s out of sample performance from inception is -7.9%. The benchmark SPY performance over the same period is 5.6%. Over the previous week the market value of iM-Best8(S&P 500)Tax-Eff. gained 1.01% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $92,138 which includes $20,212 cash and excludes $285 spent on fees and slippage. | |
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 10.2%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 34.70% while the benchmark SPY gained 13.56% and the ETF USMV gained 24.72% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -1.45% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $134,696 which includes $187 cash and excludes $2,327 spent on fees and slippage. | |
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 13.0%, and for the last 12 months is 11.2%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Since inception, on 1/5/2015, the model gained 17.88% while the benchmark SPY gained 9.13% and the ETF USMV gained 14.54% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained -0.67% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $117,878 which includes $509 cash and excludes $519 spent on fees and slippage. | |
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 7.9%, and for the last 12 months is 11.0%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Since inception, on 3/31/2015, the model gained 7.35% while the benchmark SPY gained 5.23% and the ETF USMV gained 10.63% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.80% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 3/31/2015 would have grown to $107,345 which includes $467 cash and excludes $440 spent on fees and slippage. | |
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 20.8%, and for the last 12 months is 17.9%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 41.61% while the benchmark SPY gained 13.56% and the ETF USMV gained 24.72% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -1.61% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $141,609 which includes $5,122 cash and excludes $764 spent on fees and slippage. | |
iM-Best12(USMV)Q4-Investor: Since inception, on 9/30/2014, the model gained 32.87% while the benchmark SPY gained 12.04% and the ETF USMV gained 23.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained -1.23% at a time when SPY gained -1.75%. A starting capital of $100,000 at inception on 9/30/2014 would have grown to $132,866 which includes $91 cash and excludes $610 spent on fees and slippage. | |
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 27.65% over SPY. (see iM-USMV Investor Portfolio) | |
iM-Best(Short): The model’s out of sample performance YTD is -6.9%, and for the last 12 months is -5.0%. Over the same period the benchmark SPY performance was 5.8% and 6.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.10% at a time when SPY gained -1.75%. Over the period 1/2/2009 to 10/17/2016 the starting capital of $100,000 would have grown to $97,452 which includes $116,461 cash and excludes $20,483 spent on fees and slippage. |
iM-Best Reports – 10/17/2016
Posted in pmp SPY-SH
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