The iM-USMV Investor Portfolio consists of the four quarterly displaced Best 12(USMV)-Investor models at iMarketSignals. The purpose of the combination model is to check whether our hypothesis – ranking the holdings of iShares MSCI USA Min Volatility (NYSE:USMV), and selecting a portfolio of the 12 top ranked stocks, provides higher returns for the portfolio than for the underlying ETF – is supported by the actual performances of the model over longer period of time.
This portfolio combines the four Best12(USMV)-Investor models:
- Best12(USMV)Q1-Investor (started January 2015)
- Best12(USMV)Q2-Investor (will start April 2015)
- Best12(USMV)Q3-Investor (started July 2014)
- Best12(USMV)Q4-Investor (started October 2014)
where Q1, Q2, Q3, and Q4 are abbreviations for quarter 1, quarter 2, quarter 3, and quarter 4 of the calendar year, respectively.
The performance from Jul-2014 to Mar-2015 is graphed in the charts below, showing that the iM-USMV Investor Portfolio has returned about 16% more than USMV, and 20% more than SPY so far.
Performance is calculated from the average of the weekly percentage changes of the component models assuming that models are rebalanced to equal weight periodically as follows:
- At the end of Q3 the investment in Best12(USMV)Q3 is reduced to 1/2 of the total and remaining funds are invest in Best12(USMV)Q4. The 2 models have been rebalanced to equal weight with half of the capital in each.
- At the end of Q4 the investment in each of the two models is reduced to 1/3 of the total and remaining funds are invest in Best12(USMV)Q1. The 3 models have been rebalanced to equal weight with a third of the capital in each.
- At the end of Q1 the investment in each of the three models is reduced to 1/4 of the total and remaining funds are invest in Best12(USMV)Q2. The 4 models have been rebalanced to equal weight with a quarter of the capital in each.
- At the end of Q2 the component models are rebalanced to equal weight, and further rebalancing occurs from then on every 3 months.
Following the model
The performance chart of the iM-USMV Investor Portfolio will be updated weekly and posted in the “Model Performance Tables” section at iM.