Seasonal Musings 2017

General TSP Discussion.

Moderator: Aitrus

Ohura
Posts: 10
Joined: Fri Jan 27, 2017 11:45 pm

Re: Seasonal Musings 2017

Post by Ohura »

I was thinking the same thing.

FilthyFred
Posts: 10
Joined: Sat Jan 28, 2017 11:12 pm

Re: Seasonal Musings 2017

Post by FilthyFred »

Ya'll got me thinking now.

mmmmmbeer
Posts: 917
Joined: Wed May 11, 2016 11:00 am

Re: Seasonal Musings 2017

Post by mmmmmbeer »

Chamorrita wrote:I might deviate and use G instead of F in June.
There is something to be said about a 100% guaranteed positive month.
Those who 'abjure' violence can do so only because others are committing violence on their behalf.

TampaTed
Posts: 14
Joined: Fri Jan 06, 2017 8:40 pm

Re: Seasonal Musings 2017

Post by TampaTed »

Low (no) risk, low reward. :)

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

Re: Seasonal Musings 2017

Post by Roguejim »

Do you guys change your contributions to the corresponding fund each month?

Also, why the C Fund in July? Based on the last 5 years, I guess?

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

Re: Seasonal Musings 2017

Post by ksmoly04 »

What's everyone's opinion of the I-Fund? Between the UK elections and the overall condition of the Eurozone economies, seems to be a reasonable position to move to for Jun.
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 Musings 2017

Post by Aitrus »

Roguejim wrote:Do you guys change your contributions to the corresponding fund each month?

Also, why the C Fund in July? Based on the last 5 years, I guess?


Yes, I always advise that someone following a seasonal strategy match their contributions to their IFT. So for June, 100% of both existing funds and future contributions go into F.

The C Fund in July isn't based on the last 5 years alone. See this post for the whole story: http://tspcenter.com/forums/viewtopic.php?p=57183#p57183
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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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

ksmoly04 wrote:What's everyone's opinion of the I-Fund? Between the UK elections and the overall condition of the Eurozone economies, seems to be a reasonable position to move to for Jun.


The I Fund historically performs badly in June. It's not a 100% guarantee, but the odds aren't good that it will finish the month in the positive.
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

raahide
Posts: 3
Joined: Fri Apr 14, 2017 3:50 pm

Re: Seasonal Musings 2017

Post by raahide »

hkw bout that c fund

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

Re: Seasonal Musings 2017

Post by Roguejim »

ksmoly04 wrote:What's everyone's opinion of the I-Fund? Between the UK elections and the overall condition of the Eurozone economies, seems to be a reasonable position to move to for Jun.


I see The Fed Trader just bailed on the S Fund, and is now 50%-C, 50%-I.
http://www.thefedtrader.com

Kryptonite
Posts: 5
Joined: Thu Feb 16, 2017 12:26 am

Re: Seasonal Musings 2017

Post by Kryptonite »

raahide wrote:hkw bout that c fund


Yea it looks like this June may buck the historical trend on the C fund.

SmokingGun
Posts: 10
Joined: Fri Mar 10, 2017 6:00 pm

Re: Seasonal Musings 2017

Post by SmokingGun »

It's still early in the month.

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

Seasonal Strategy Results for May 2017
Note: A "good" month for the F Fund is CAGR 0.5% or better, and PNR 70% or better. A "good" month for C, S and I Funds is CAGR 1% or better, and PNR 70% or better. See 2nd post in the thread for description of CAGR. PNR is the ratio of Positive Months to Negative Months.

General Funds

G Fund: 0.19%, 0.97% Year to Date (YTD), PNR remains 100%
May Since 1988 CAGR = 0.43%
May 20 year CAGR = 0.32%
May 10 year CAGR = 0.21%
May 5 year CAGR = 0.17%

May is normally one of the best months for the G Fund. So far 2017 is pretty much on pace to match 2014’s return of 2.31%. 2016’s return was 0.15%

F Fund:
0.81%, 2.57% YTD
May Since 1988 CAGR = 0.6%, PNR 63%
May 20 year CAGR = 0.31%, PNR 60%
May 10 year CAGR = 0.31%, PNR 70%
May 5 year CAGR = 0.01%, PNR 60%

This month’s return of 0.81% was identical to April’s return. For both months this is an above average return for the F Fund. 2016’s return was 0.08%.

C Fund: 1.41%, 8.68% YTD
May Since 1988 CAGR = 1.33%, PNR 73%
May 20 year CAGR = 0.2%, PNR 60%
May 10 year CAGR = 0.02%, PNR 70%
May 5 year CAGR = 1.84%, PNR 100%

May is historically a good PNR month for the C Fund, however, the S&P 500 sometimes sees an early slowdown due to an early start of the lackluster summer months. This month saw instead a very quick mid-month one day drop of -1.82% followed by a 7-day run of positive returns that recovered everything lost and then some. Even though some more minor down days followed, by the end of the month the end result was a positive gain that was about average historically. 2016’s return was 1.8%.

Thus far in the year the C Fund has had nothing but positive months, a trend which started in Nov 16. Other years that have done this were:

1991: 19.77% by the end of May, 30.76% for the year, run ended in Jun (-4.49%)
1995: 17.4% by the end of May, 37.39% for the year, run ended in Oct (-0.36% - the only negative month that year)
1996: 9.65% by the end of May, 22.85% for the year, run ended in Jul (-4.39%)
2013: 15.38% by the end of May, 32.45% for the year, run ended in Jun (-1.34%)

What this tells me is that, historically speaking, there’s a very good chance the C Fund isn’t on a bubble and will finish the year well into the green.

S Fund: -0.77%, 4.97% YTD
May Since 1988 CAGR = 1.12%, PNR 63%
May 20 year CAGR = 0.07%, PNR 55%
May 10 year CAGR = -0.06%, PNR 60%
May 5 year CAGR = 1.42%, PNR 80%

May isn’t a stellar month for the S Fund. Like the S&P 500, there was a big mid-month one day drop in the $DWCPF. The drop was deeper at -2.24%, and the recovery that followed just didn’t go high enough to outlast the rest of the month’s remaining negative trading days. 2016’s return was 1.81%.

I Fund: 3.76%, 14.3% YTD
May Since 1988 CAGR = -0.18%, PNR 47%
May 20 year CAGR = -0.91%, PNR 45%
May 10 year CAGR = -1.11%, PNR 50%
May 5 year CAGR = 0.42%, PNR 60%

May is one of the worst months of the year for the I Fund, certainly in the bottom 3 or 4. This year’s stellar run that the I Fund has been experiencing up to this point, however, continued this month. The I Fund’s tracked index, EFA, did have the same mid-month one day drop as the rest of the market, to the tune of -1.13%, but it was recovered within a couple of days. Combine that with the fact that the index was up by 3.43% at the point in the month when the drop occurred, and you can see how the month more or less played out. 2016’s return was 0.27%

2017’s string of unbroken I Fund returns since January has been seen before only twice:

1991: 23.06% by the end of May, 24.6% for the year, run was broken in Jun (-7.48%)
2007: 10.06% by the end of May, 11.44% for the year, run was broken in Jul (-2.39%)

The I Fund’s unbroken run began in Dec 16. I anticipate that the rest of the year will be hit and miss for the I Fund, as normal, and will finish off the year in the vicinity of where it is now.

Currently Tracked Seasonal Strategies
TSPCenter.com's Default Setting: C Fund in May (1.41%), 3.00% YTD
Jahbulon's Basic Mix: C Fund in May (1.41%), 5.33% YTD (This is the one I follow with my personal TSP account)
gclapper’s M3 Mix: C Fund in May (1.41%), 6.99% YTD
tjm100’s Mix: C Fund in May (1.41%), 8.36% YTD
Boltman's Mix: S Fund in May (-0.77%), 1.24% YTD
Sell in May and Go Away: G Fund in May (0.19%), 7.37% YTD
G all year, S in Dec Mix: G Fund in May (0.19%), 0.97% YTD

Everybody in C had a healthy gain, while those in the G Fund ticked away as normal. Boltman’s Mix took a little hit, and has quite a bit of work ahead of it in order to finish off the year in respectable territory. tmj100’s Mix still leads the pack.
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

mmmmmbeer
Posts: 917
Joined: Wed May 11, 2016 11:00 am

Re: Seasonal Musings 2017

Post by mmmmmbeer »

As always great stuff brother.
Those who 'abjure' violence can do so only because others are committing violence on their behalf.

JaxBeach
Posts: 10
Joined: Tue Feb 28, 2017 9:37 pm

Re: Seasonal Musings 2017

Post by JaxBeach »

Yes it is. Thanks.

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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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