Seasonal Strategy...F Fund in June...Or...not?

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Roguejim
Posts: 44
Joined: Sun May 07, 2017 7:36 pm

Seasonal Strategy...F Fund in June...Or...not?

Post by Roguejim »

Looking over some of the resident seasonal strategies, I see that the F Fund is a popular destination for June transfers. I thought I would share this short article from "Paul" at tspallocation.

http://www.tspallocation.com/sell-may-g ... ind-adage/

BaTTl3_yeo
Posts: 4
Joined: Sat Mar 11, 2017 12:23 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by BaTTl3_yeo »

Despite what the seasonal are calling for, I'm going to stick with the I fund until I notice a trend that it's on a downward spiral. I'm taking exception to who the fund is performing this go around as I'm usually in C and S throughout the entire year. But, I can't deny that being in I fund since April has been wonderful to say the least -- especially when it was April 24th.

Sticking with I fund and then will move to the C fund once the waters start to turn...

wdd09
Posts: 94
Joined: Fri Jul 24, 2015 6:29 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by wdd09 »

Seasonal says F I go F, no exceptions. No emotion. Easy.
I follow a monthly seasonal strategy from gclapper (slightly modified). Its moves can be found by searching for strategy number #25727 on http://www.tspcalc.com

ksmoly04
Posts: 66
Joined: Thu Oct 06, 2016 2:08 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by ksmoly04 »

I'll be going back to the I-Fund for June
Daily Seasonal Since: August 23, 2017
Current Strategy: 16198 / 7.21σ

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Aitrus
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Joined: Mon Aug 06, 2012 5:03 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by Aitrus »

Roguejim wrote:Looking over some of the resident seasonal strategies, I see that the F Fund is a popular destination for June transfers. I thought I would share this short article from "Paul" at tspallocation.

http://www.tspallocation.com/sell-may-g ... ind-adage/


I've read this post in the past, and there is something to what he says, but it doesn't tell the whole story. I like Paul, he has some good things to say about how the market behaves. However, he's one of those who looks at the "Sell in May" strategy, sees that it's not all it's cracked up to be, and ignores the concept of seasonal investing any further. I agree - a straight "Sell at the end of May and buy back in on 1 Sep or 1 Oct" method isn't a very good one. But that's not the end of the idea.

His "1970 - 2016" number essentially says "CAGR 1+%, PNR 67%" He's counting only from Memorial Day to Labor Day. For 2017, that would mean "IFT out on 30 May, IFT back in on 5 Sep". Since he's not counting September, his numbers are more favorable than if had included it. September is a historically bad month.

Here's what my data says:

C Fund, Jun - Sep combined returns
Since 1988: CAGR -0.38%, PNR 72% (21 of 29 years positive)
Last 20 years: CAGR -1.54%, PNR 65%
Last 10 years: CAGR -0.29%, PNR 70%
Last 5 years: CAGR 2.5%, PNR 80%

However, if you look at just Jun, Aug and Sep, it's a much worse story:

C Fund - Jun, Aug and Sep combined returns
Since 1988: CAGR -1.39%, PNR 59% (17 of 29 years are positive)
Last 20 years: CAGR -2.09%, PNR 60%
Last 10 years: CAGR -2.08%, PNR 50%
Last 5 years: CAGR 0.29%, PNR 60%

July by itself makes a big difference.

C Fund - July only
Since 1988: CAGR 1.11%, PNR 52% (15 of 29 years are positive)
Last 20 years: CAGR 0.7%, PNR 50%
Last 10 years: CAGR 1.89%, PNR 60%
Last 5 years: CAGR 2.16%, PNR 80%

From what I can see, staying out of the market in Jun, Aug and Sep will improve your return by 2%. Being in the market for July improves your return by another 1%. Lastly, since you're not in the market, you'll be in the F Fund.

F Fund - Jun, Aug and Sep combined returns

Since 1988: CAGR 2.05%, PNR 86% (25 of 29 years are positive)
Last 20 years: CAGR 1.83%, PNR 85%
Last 10 years: CAGR 0.99%, PNR 70%
Last 5 years: CAGR 0.38%, PNR 60%

Being in the F Fund instead of stocks during Jun, Aug and Sep will add even more to your account, to the tune of somewhere between 0.5 - 1.5% because recent years haven't been so kind while older years have been much better.

Put all together, not being in Jun, Aug and Sep gets you about 2%, July gives you another 1%, and the F Fund gives you another 0.5% - 1.5%. That's 3.5 - 4.5% more than if you just stay in the market all summer. This is why all of the high performing Mixes all follow a similar pattern to this in the summertime.
Seasonal Musings 2022: viewtopic.php?f=14&t=19005
Recommended Reading: http://tspcenter.com/forums/viewtopic.php?f=14&t=13474
"It's not what happens to you, but how you react to it that matters" Epictetus

Roguejim
Posts: 44
Joined: Sun May 07, 2017 7:36 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by Roguejim »

Aitrus wrote:
Roguejim wrote:Looking over some of the resident seasonal strategies, I see that the F Fund is a popular destination for June transfers. I thought I would share this short article from "Paul" at tspallocation.

http://www.tspallocation.com/sell-may-g ... ind-adage/


I've read this post in the past, and there is something to what he says, but it doesn't tell the whole story. I like Paul, he has some good things to say about how the market behaves. However, he's one of those who looks at the "Sell in May" strategy, sees that it's not all it's cracked up to be, and ignores the concept of seasonal investing any further. I agree - a straight "Sell at the end of May and buy back in on 1 Sep or 1 Oct" method isn't a very good one. But that's not the end of the idea.

His "1970 - 2016" number essentially says "CAGR 1+%, PNR 67%" He's counting only from Memorial Day to Labor Day. For 2017, that would mean "IFT out on 30 May, IFT back in on 5 Sep". Since he's not counting September, his numbers are more favorable than if had included it. September is a historically bad month.

Here's what my data says:

C Fund, Jun - Sep combined returns
Since 1988: CAGR -0.38%, PNR 72% (21 of 29 years positive)
Last 20 years: CAGR -1.54%, PNR 65%
Last 10 years: CAGR -0.29%, PNR 70%
Last 5 years: CAGR 2.5%, PNR 80%

However, if you look at just Jun, Aug and Sep, it's a much worse story:

C Fund - Jun, Aug and Sep combined returns
Since 1988: CAGR -1.39%, PNR 59% (17 of 29 years are positive)
Last 20 years: CAGR -2.09%, PNR 60%
Last 10 years: CAGR -2.08%, PNR 50%
Last 5 years: CAGR 0.29%, PNR 60%

July by itself makes a big difference.

C Fund - July only
Since 1988: CAGR 1.11%, PNR 52% (15 of 29 years are positive)
Last 20 years: CAGR 0.7%, PNR 50%
Last 10 years: CAGR 1.89%, PNR 60%
Last 5 years: CAGR 2.16%, PNR 80%

From what I can see, staying out of the market in Jun, Aug and Sep will improve your return by 2%. Being in the market for July improves your return by another 1%. Lastly, since you're not in the market, you'll be in the F Fund.

F Fund - Jun, Aug and Sep combined returns

Since 1988: CAGR 2.05%, PNR 86% (25 of 29 years are positive)
Last 20 years: CAGR 1.83%, PNR 85%
Last 10 years: CAGR 0.99%, PNR 70%
Last 5 years: CAGR 0.38%, PNR 60%

Being in the F Fund instead of stocks during Jun, Aug and Sep will add even more to your account, to the tune of somewhere between 0.5 - 1.5% because recent years haven't been so kind while older years have been much better.

Put all together, not being in Jun, Aug and Sep gets you about 2%, July gives you another 1%, and the F Fund gives you another 0.5% - 1.5%. That's 3.5 - 4.5% more than if you just stay in the market all summer. This is why all of the high performing Mixes all follow a similar pattern to this in the summertime.


Thanks for your analysis. I'm pretty new to seasonal strategies. Can you put me on to some info that attempts to answer "why" certain funds perform better in certain months?

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Aitrus
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Re: Seasonal Strategy...F Fund in June...Or...not?

Post by Aitrus »

The reasons why vary from month to month, and sometimes it changes over time. For example, the winter used to be the worst time of year for stocks while Aug and Sep were big. Aug and Sep were the months when farmers got a real hold on how much they would bring in that year, and our economy was heavily influenced by agriculture. That changed as agriculture has become less of a driving force in our economy and consumerism now plays a bigger part. Stuff like that.

Mostly, I did a lot of reading through the forums here, and a lot of googling. A couple of websites to start with:
http://www.equityclock.com/seasonality/
https://blog.rubicoin.com/seasonal-investing/
http://www.investopedia.com/terms/s/seasonality.asp (great example of how seasonality affects Wal-Mart's price)

Books
The Stock Trader's Almanac
Thackray's annual Investor's Guide
Seasonal Stock Market Trends - Joel Kappel
The Little Book of Stock Market Cycles - Jeffrey Hirsch (same author as the Stock Trader's Almanac)

And if you haven't read it yet, I recommend the first dozen or so posts of my Seasonal Musings thread. It gives a decently through overview of how the Seasonal method works.
Seasonal Musings 2022: viewtopic.php?f=14&t=19005
Recommended Reading: http://tspcenter.com/forums/viewtopic.php?f=14&t=13474
"It's not what happens to you, but how you react to it that matters" Epictetus

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bamablue
Posts: 246
Joined: Tue Jul 24, 2012 11:40 am

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by bamablue »

I understand trends and analysis of trends. I DO NOT want to insult anyone, I'm trying to make sense of it from a relevancy of statistics.
From strictly a statistical point of view, there MAY be certain trends that lead to market fluctuations on a seasonal basis. The evidence there is compelling, but not defined. Drivers for these fluctuations are the 'holy grail.' I would love to them identified and tracked... otherwise we chase echoes of past performance without understanding how they derived.

wdd09
Posts: 94
Joined: Fri Jul 24, 2015 6:29 pm

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by wdd09 »

bamablue wrote:I understand trends and analysis of trends. I DO NOT want to insult anyone, I'm trying to make sense of it from a relevancy of statistics.
From strictly a statistical point of view, there MAY be certain trends that lead to market fluctuations on a seasonal basis. The evidence there is compelling, but not defined. Drivers for these fluctuations are the 'holy grail.' I would love to them identified and tracked... otherwise we chase echoes of past performance without understanding how they derived.


If we want to get philosophical about this, even Buy and Hold is a reflection of that type of thinking. Buy and Hold has been "proven" to work, but even then we're still chasing echoes of past performance. :lol:
I follow a monthly seasonal strategy from gclapper (slightly modified). Its moves can be found by searching for strategy number #25727 on http://www.tspcalc.com

Chulke
Posts: 420
Joined: Thu Aug 01, 2013 10:25 am

Re: Seasonal Strategy...F Fund in June...Or...not?

Post by Chulke »

My chosen seasonal strategy says F fund for June but, looking at Aitrus's seasonal workbook the chances of getting a better return in the C fund, statistically speaking, are just as good as the F fund for June where the PNR over the past 5 years for both is hovering around 60%.

Looking at the charts for the F fund, AGG, says there's a Bull flag forming, which tends to break up, but there is also an open gap down at the base of the flag pole and those tend to provide pull to the downside.

So I guess looking at it, it's really a crap shoot. I might stay in C fund into the beginning of June and then if I see more than a .35% sell off in the C fund jump over into the F and hopefully catch a ride up far enough to cover any losses....I'm talking out of my butt right now...LOL!

I honestly don't know what to do!


Cheers!
Cheers!

Current Strat: Loosely following 152300 and 85660 more the former rather than the later
Current PIP: 24.04

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Fund Prices2024-03-28

FundPriceDayYTD
G $18.15 0.05% 1.05%
F $19.08 -0.06% -0.74%
C $82.21 0.11% 10.55%
S $82.43 0.30% 6.92%
I $42.57 -0.24% 5.95%
L2065 $16.38 0.02% 8.37%
L2060 $16.39 0.02% 8.38%
L2055 $16.39 0.02% 8.38%
L2050 $32.73 0.01% 6.95%
L2045 $14.91 0.02% 6.58%
L2040 $54.38 0.02% 6.22%
L2035 $14.34 0.02% 5.79%
L2030 $47.67 0.02% 5.38%
L2025 $13.15 0.03% 3.43%
Linc $25.61 0.03% 2.82%

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