Seasonal Musings 2017

General TSP Discussion.

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evilanne
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Re: Seasonal Musings 2017

Post by evilanne »

alphaalpha wrote:So why is it that the daily strategies only go back to 2004 yet the monthlies utilize data from 1988 onward?
TSP switched to share prices in mid-2003, prior to that updates were done on monthly basis

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

Two reasons.

First, from what I remember, the TSP has a history of daily returns for all Funds back to only 2004.

Second, the TSP has monthly returns for G, F and C back to 1988. For S and I Funds, the monthly data goes back to May 2001. For Jan - May 2001, TSP used the Wilshire 4500 and EFA Index returns to simulate S and I Fund performance for the first part of 2001. I simply did the same thing. I used the monthly Index returns for the Wilshire 4500 and EFA to simulate S and I Fund returns for 1988 - 2000. In all likelihood, the S and I Funds would have slightly outperformed those Indexes then just as they do now, so I think it's a fair approximation of how the S and I Funds would have performed back then.

The reason I used the Wilshire 4500 for the S Fund: When it first came online in May 2001 the S Fund followed the Wilshire 4500 before switching to the Russell 2000 and finally to the Dow Jones TSM Completion Index. I figured that the consistency of using the Wilshire 4500 would be best since that's what it started with in the beginning.
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

korvinski
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Re: Seasonal Musings 2017

Post by korvinski »

Thanks for that explanation.

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

For November 2017
Last chance to move: Tuesday, 31 October before noon EST

For this coming November, the individual funds have performed on average as follows:

G Fund
Since 1988: 0.39%
Last 20 years: 0.30%
Last 10 years: 0.20%
Last 5 years: 0.16%

November is historically one of the worse months for the G Fund. The 2016 return was 0.16%.

F Fund – A “good” month is a CAGR of 0.5% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.37%, PNR 62%
Last 20 years: CAGR 0.30%, PNR 60%
Last 10 years: CAGR 0.38%, PNR 70%
Last 5 years: CAGR -0.41%, PNR 40%

November is one of the worst months for the F Fund. Only March is worse in terms of both CAGR and PNR.

The best years were 2008 (3.30%), 1990 (2.15%) and 2007 (1.88%). The worst years were 2016 (-2.35%), 2001 (-1.37%) and 1988 (-1.09%).

C Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.56%, PNR 72%
Last 20 years: CAGR 1.60%, PNR 80%
Last 10 years: CAGR 0.41%, PNR 70%
Last 5 years: CAGR 2.06%, PNR 100%

November is one of the better months for the C Fund. Pretty solid PNRs across all the timelines, and good average returns. Not a bad choice for this time of year.

The best years were 2001 (7.62%), 1996 (7.54%) and 1990 (6.36%). The worst years were 2000 (-7.87%), 2008 (-7.18%) and 2007 (-4.2%).

S Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.41%, PNR 72%
Last 20 years: CAGR 1.57%, PNR 80%
Last 10 years: CAGR 0.33%, PNR 70%
Last 5 years: CAGR 2.98%, PNR 100%

The S Fund really starts to get into the swing of things in November. It’s close to the C Fund in terms of performance. This month is one of the best all year for the S Fund.

The best years were 1999 (8.44%), 2016 (7.95%) and 2001 (7.84%). The worst years were 2000 (-17.03%), 2008 (-11.13%) and 2007 (-5.65%).

I Fund - A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.08%, PNR 59%
Last 20 years: CAGR 0.51%, PNR 60%
Last 10 years: CAGR -1.42%, PNR 40%
Last 5 years: CAGR 0.15%, PNR 60%

November isn’t good for the I Fund. Over the long term, you basically break even. Over the short term (last few years or decade), there’s runs of good returns followed by runs of bad. The last decade has been on a bad run overall, and it’s impossible to say if it’s done or if there’s more to come.

The best years were 2004 (6.16%), 1988 (5.85%), and 1998 (5.0%). The worst years were 1993 (-8.86%), 2008 (-6.72%), and 1990 (-6.05%).

Note: For CAGR explanation, see 2nd post in the thread. PNR is the ratio of Positive Months vs Negative Months. A Fund that was positive in March for 4 out of 10 years would have a PNR of 40%.

Individual Seasonal Mix Allocations
Here is where the various seasonal mix allocations are going to for November 2017.


TSPCenter.com’s Seasonal Mix: Move to the C Fund.
Jahbulon’s Basic Seasonal Mix: Remain in the C Fund. (This is the formula I follow with my money, the best Mix that doesn’t use the I Fund.)
gclapper’s M3 Mix: Remain in the C Fund
tmj100’s Mix: Move to the S Fund.
Boltman’s Mix: Move to the S Fund.
Sell in May and Go Away: Remain in the C Fund.
G All Year, S in Dec: Remain in the G Fund.
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

FairfaxCo
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Joined: Fri Jun 23, 2017 2:19 pm

Re: Seasonal Musings 2017

Post by FairfaxCo »

That's some great info. Thank you.

DSS

Re: Seasonal Musings 2017

Post by DSS »

Still going strong with the Clapper mix!

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

Seasonal Strategy Results for October 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%, 1.92% Year to Date (YTD), PNR remains 100%
Oct Since 1988 CAGR = 0.40%
Oct 20 year CAGR = 0.30%
Oct 10 year CAGR = 0.19%
Oct 5 year CAGR = 0.17%

October is normally an ok month for the G Fund. This year was about normal compared to the 5 and 10 year averages, but still significantly behind the long-term average. The G Fund is now ahead of 2016’s YTD return by 0.44%. 2016’s return was 0.14%

F Fund: 0.07%, 3.43% YTD
Oct Since 1988 CAGR = 0.44%, PNR 73%
Oct 20 year CAGR = 0.14%, PNR 70%
Oct 10 year CAGR = -0.01%, PNR 80%
Oct 5 year CAGR = 0.24%, PNR 80%

In October the F Fund has good PNRs but less than stellar average returns. This year was no different, with a basically break-even return that, mathematically speaking, lowered the averages across all timeframes. 2016’s return was -0.75%.

C Fund: 2.33%, 16.89% YTD
Oct Since 1988 CAGR = 1.55%, PNR 67%
Oct 20 year CAGR = 2.09%, PNR 70%
Oct 10 year CAGR = 0.74%, PNR 60%
Oct 5 year CAGR = 3.15%, PNR 80%

October is historically a decent month for the C Fund, and this year is no exception. All CAGRs increased, and next year the 10-year CAGR should increase significantly because 2008’s disastrous -16.83% return will fall away from the calculation and be replaced with whatever we get for Oct 2018. 2016’s return was -1.82%.

Thus far in the year the C Fund has had nothing but positive months, a trend which started in Nov 16. Except for the G Fund (which never has a down month), the C Fund now holds the record for most positive months in a row. The previous record was held by both the C and S Funds in 1995, which ran positive from Dec 1994 – Sep 1995. October that year saw a -0.36% return for the C Fund, and then the C Fund continued to be positive until Jun 1996. The S Fund had a -2.68% return in October, then it ran positive until May 1996.

Here’s to hoping that history repeats itself in this case.

S Fund: 4.26%, 12.77% YTD
Oct Since 1988 CAGR = 0.40%, PNR 60%
Oct 20 year CAGR = 1.09%, PNR 70%
Oct 10 year CAGR = -0.31%, PNR 60%
Oct 5 year CAGR = 1.99%, PNR 80%

This was a good month for the S Fund, well above the long term average. 2016’s return was -3.86%.

I Fund: 1.54%, 22.16% YTD
Oct Since 1988 CAGR = 1.29%, PNR 63%
Oct 20 year CAGR = 1.54%, PNR 70%
Oct 10 year CAGR = -0.30%, PNR 60%
Oct 5 year CAGR = 1.82%, PNR 60%

The I Fund historically does borderline good in October. This year’s return was respectably about average. 2016’s return was -2.03%

Currently Tracked Seasonal Strategies
TSPCenter.com's Default Setting: F Fund in Oct (0.07%), 3.86% YTD
Jahbulon's Basic Mix: C Fund in Oct (2.33%), 10.36% YTD (This is the one I follow with my personal TSP account)
gclapper’s M3 Mix: C Fund in Oct (2.33%), 13.01% YTD
tmj100’s Mix: C Fund in Oct (2.33%), 13.54% YTD
Boltman's Mix: C Fund in Oct (2.33%), 6.93% YTD
Sell in May and Go Away: C Fund in Oct (2.33%), 10.69% YTD
G all year, S in Dec Mix: G Fund in Oct (0.19%), 1.92% YTD

Most of the Mixes were in the C Fund this month, which means a lot of Mixes had a healthy recovery from September’s speedbump loss. Two more Mixes have joined the ’17 Double Digit Club – Jahbulon’s Basic Mix and Sell in May. As long as November and December perform IAW historical norms, these two should finish well into the double digit range. Of course, that also means that gclapper’s M3 and tmj100 would finish above 15%, and Boltman would have an outside chance of squeezing into the DD Club before Santa closes the door on him.

Here’s what each Mix is doing for November and December:
TSPCenter: C-S
Jahbulon’s: C-S
gclapper’s: C-S
tmj100’s: S-S
Boltman’s: S-I
Sell in May: C-C
G all Year: G-S
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 »

There's something I've been considering doing for about a month or so. One of the members suggested I start listing the PIP for each Mix to give a sense of how it's done in the past year.

If I had been listing them this year, the PIPs would have looked like this for Jahbulon's Basic Mix:

Jan: PIP 20.12%
Feb: PIP 22.45%
Mar: PIP 14.8%
Apr: PIP 15.53%
May: PIP 15.09%
Jun: PIP 12.95%
Jul: PIP 11.16%
Aug: PIP 12.3%
Sep: PIP 11.81%
Oct: PIP 16.53%

What do you guys think?
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

LilJess
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Re: Seasonal Musings 2017

Post by LilJess »

Great data. Thanks for the leg work.

hmarkway
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Re: Seasonal Musings 2017

Post by hmarkway »

Aitrus wrote:There's something I've been considering doing for about a month or so. One of the members suggested I start listing the PIP for each Mix to give a sense of how it's done in the past year.

If I had been listing them this year, the PIPs would have looked like this for Jahbulon's Basic Mix:

Jan: PIP 20.12%
Feb: PIP 22.45%
Mar: PIP 14.8%
Apr: PIP 15.53%
May: PIP 15.09%
Jun: PIP 12.95%
Jul: PIP 11.16%
Aug: PIP 12.3%
Sep: PIP 11.81%
Oct: PIP 16.53%

What do you guys think?
How do you calculate the PIP? I think it's a great idea to look at the PIP, since that's a number the TSP tracks for how well we ourselves are doing.
Current Allocation: 50/50 split F/G Funds, as of 1/3/2018
Strategy: Loosely following Daily Seasonal #16198 until I figure out my 2018 plan when all the main plans start diverging.

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

The calculation is the same as what I use to determine the cumulative return for the year. Since there's no extra money going in to the Funds themselves, I don't have to worry about using the Dietz method.

The calculation goes like this:

Step 1: Determine which months will be a part of the PIP. For Oct 17, I used Nov 16 - Oct 17 returns.
Step 2: Multiply each month's return to the others. In Excel, the calculation is

=PRODUCT((Month1+1),(Month2+1) --->(Month12+1))-1

Step 3: Convert the result back to a %.
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

hmarkway
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Re: Seasonal Musings 2017

Post by hmarkway »

Aitrus wrote:The calculation is the same as what I use to determine the cumulative return for the year. Since there's no extra money going in to the Funds themselves, I don't have to worry about using the Dietz method.

The calculation goes like this:

Step 1: Determine which months will be a part of the PIP. For Oct 17, I used Nov 16 - Oct 17 returns.
Step 2: Multiply each month's return to the others. In Excel, the calculation is

=PRODUCT((Month1+1),(Month2+1) --->(Month12+1))-1

Step 3: Convert the result back to a %.
Great! Thanks!
Current Allocation: 50/50 split F/G Funds, as of 1/3/2018
Strategy: Loosely following Daily Seasonal #16198 until I figure out my 2018 plan when all the main plans start diverging.

rockfish
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Re: Seasonal Musings 2017

Post by rockfish »

Good to know. Thanks.

OkieTSPer
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Re: Seasonal Musings 2017

Post by OkieTSPer »

Thanks for the update.

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Aitrus
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Re: Seasonal Musings 2017

Post by Aitrus »

Keep in mind, the method that the TSP uses is slightly different. It has to account for money you add to your account, so there's an additional calculation thrown in.

I'm not completely sure what that calculation looks like or how it works. All I know is that my personal PIP matches the PIP I calculated for Jahbulon's Basic Mix, so I'm crunching my numbers right because it matches theirs.
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

Post Reply

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%

Live Charts

Pending Allocations

Under development. For now, you may view Pending Allocations by going to "fantasy TSP" and selecting "Leaderboard sort" of "Pending Allocations".