Seasonal Musings 2017

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Seasonal Musings 2017

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Welcome to the 2017 edition of Seasonal Musings!

Back in 2014 I decided to put together this series of lengthy threads because it seemed like there was a dearth of information for active movers, market timers and buy-and-holders here at TSP Center. New forum members would show up, do some reading, run across something about investing using seasonal methods, and ask a question or two about it. Then it would be up to those of us who still remember those days to dig up the information or the thread and point the newbie in the right direction. In the early days when TSP Center’s forum membership started delving into seasonality (2011 or so), forum member Jahbulon was the de-facto expert on the method. However, there’s not much information readily available on seasonal strategies since he went quiet a while ago (2013ish) when he started his TSP Holy Grail Research Lab and tspmarketwatch.com sites (both of which are no longer up and running, BTW). While I admit to reading, and following, much of his research (and some of it is replicated here), I’ve also incorporated other things I’ve learned from other sources as well.

For those that are interested in history, my other Seasonal Musings threads are here:
Original 2014 thread: viewtopic.php?f=14&t=10382
2015 version: viewtopic.php?f=14&t=11076
2016 version: viewtopic.php?f=14&t=12089

A note to those that followed the old threads: this thread has had a few revisions and updates in the early “introduction” posts from the old ones. You might find some of the new information interesting, entertaining, or irritating. Whichever happens to be the case, please know that I didn’t just copy-and-paste the old thread entries into this one without adding or changing pertinent information.

Please be aware that this thread isn’t an effort to prove that “Seasonal Beats All”, or that it’s impossible to beat the market using timing or that buy-and-hold is for lazy folks. It’s simply an effort to give more options to TSP investors. As I mentioned above, I’ve seen more than a few new (or newish) members asking about the seasonal calculator or other seasonal topics in the past, and I’ve been asked a question or two in private. So in mid-2014 I figured that since I’ve done a lot of studying on this method of investing as it relates specifically to the TSP, I’d share what I know. In the end, we all have the same goal – to make money, right? The data and trends I discuss here are convincing enough to me that I’m following a seasonal strategy with my personal and Fantasy TSP accounts. I’m putting my money where my mouth is.

I’ll caveat all of this by saying that I’m not a fiduciary, I’m not an advisor, I’m not an expert, and I’m not responsible for your monetary decisions. This thread is partly to inform, partly to document my own thoughts and musings, and partly to invite discussion on the topic of seasonal investing within the framework of the TSP. You’re all adults here (at least by law if not by mental faculty), and you each hit the “submit” button on the Interfund Transfer screen on tsp.gov of your own accord.

Now that all that’s said and out of the way, let's get this show on the road, shall we?

Seasonal investing is a strategy that looks at historical monthly patterns in the market, analyzes the times of year that have good odds of having positive returns, and then playing those odds and letting the Law of Averages win out over the long term. This method of trading is a good option for those that don’t want to “set it and forget it” because they feel that they need to be aware of what’s happening with their money, but don’t have the time to devote to learning how to time the market or sitting in front of candlesticks for 2-3 hours a day. It’s also an option for the followers that like John Bogle’s take on investing (buy and hold philosophy), that the best strategy is to stay in for the long haul and weather the storms, but don’t completely agree with his rationale when it comes to staying in the market when the odds are that it will be a negative month.

Think of it this way: an MIT study on casino gambling found that the best possible odds for games where you play against the house (instead of against other players) is Craps. The mathematical calculations show that the best odds (meaning, risk vs payout) you can get are just shy of 50/50 if you bet the Pass Line and take the Maximum Odds option whenever you have a chance. All other bets available on the table are stacked heavily against you. Any other game in the casino is worse for you from there. Knowing that, if your goal is to have the best odds possible at the casino, why go anywhere else but the Craps table?

Seasonal investing is the same way. We’re taking a look at the historical returns, calculating the averages for each Fund for each month, and picking the best Fund to be in for that month based on the odds. It’s not exactly a mantra you sometimes hear in investing talk called “Sell in May and Go Away”, but it certainly follows the concept that there are certain times when it’s better to be in than out, and vice versa. We’re betting on those odds. Market Timers do the same thing, just using different data and on a shorter timeframe to figure out their odds. “Buy and Hold” followers do the same thing in that they rely on the long-term market average to continue being the average for the next 30 years or so simply because it’s been that way for the past 200+ years. We’re all betting the odds, we’re just using different sets of data coupled with backtesting to determine our chances and for some clue as to what might lie ahead.

An example of how seasonal strategies work is like this: since 1988 the S Fund has been positive in December 25 out of 29 times, or 86% of the time. Over that time, it has a Cumulative Annual Growth Rate (CAGR – aka: average rate of return) of 3.00%. In the last 20 years it has been positive 16 times (80%), with a CAGR of 2.99%. And in the last 10 years has been positive 7 times, with a CAGR of 2.22%. The last 5 years has been positive 4 of 5 times, and the CAGR has been 0.86%. Of those 4 negative Decembers since 1988, the returns were -4.32% (2002), -3.91% (2015), -0.4% (2007) and -0.04% (2012). An investor using these historical figures would conclude that there’s a darn good chance of December being a positive month for the S Fund. If it ends up being a negative month then it’s got a 50/50 chance to be only a minor loss (a loss of -1% or less), so his risk of being in the S Fund during December is small for the gains he's likely to get. December is a good bet.

On the other end of the spectrum, August is terrible for the I Fund. It has been positive only 13 out of 29 times (45%), with a CAGR or -1.62% (the average annual return is very negative). In the last 20 years it has been positive 9 times and the CAGR is also -1.62%. The last 10 years has seen only 3 positive returns (30%) with a CAGR of -1.85%. And of the last 5 years, only 2 have been positive (40%) and the CAGR is -1.15%. The I Fund in August is a horrible bet! The odds of it being a negative month are horrifying, and should send any investor running for cover at the thought.

Seasonal strategies take this line of thinking and applies it to the rest of the year, allocating a “best Fund” to each month based on historical odds. Then the strategy is re-analyzed each month to decide if a particular month’s Fund needs to be changed, or if it should stay the same for next year. If the investor desires it, additional study can be devoted to learning “why” each month tends to be positive or negative for particular sectors of the market. December, for example, is affected by mutual fund managers and other investors needing to pad their annual numbers, end of year dividends and pay bonuses being rolled over into further purchasing to avoid tax burdens, the Holiday shopping season and by general optimism. The collective effect is often called the “Santa Clause Rally”, and usually occurs in the last two and a half weeks of the year.

It’s not a 100% accurate method, but then again no strategy is. Personally, I’m satisfied with an 80% success rate – if the strategy has positive annual returns at least 80% of the time with a CAGR of 12% or more per year, then I’m winning in the long run. Why 12%? Because the S&P 500 Index (the C Fund follows this) has a historical 1988 – 2016 CAGR of 10.16%, and the Dow Jones Total Stock Market Completion Index (S Fund follows this) has a CAGR of 11.32% for the same time period. If I can beat those benchmarks, then I will be winning over Buy and Hold. Keep in mind that professional investment gurus say to plan for your retirement using an optimistic 7 or 8% annual return on your money. If I use a system that says I should get 12% or better every year based on history, and I end up getting only 75% of that, then I’m still in that 7-8% range. So I plan for my retirement using those 7-8% numbers. Even if the system only works half the time I’m sitting at 6% a year, and that’s a whole lot better than getting a measly 2% in the G Fund. (And the good news is that there are strategies I’ll talk about later that have a 16+% average, so there’s even more wiggle room for error!)

Seasonal investing can have elements of both buy-and-hold methodology and technical chart analysis in it. It’s like buy-and-hold in that you follow a system and largely ignore the media, blogs, and world politics when making your investing decisions and stay the course. It’s like technical analysis in that you can use technical indicators to decide when the best time is to make your move if you’re not satisfied with just moving funds at the end of the month. Using technicals can give you +/- a few % each year due to moving at the most optimal time +/- a few days. I won't cover technicals in this thread, that's something that's amply covered by other folks on the Forum.

Like any system, though, seasonal systems have Pros and Cons.

Pros:

- Emotion is removed from the decision making process. Everything is analyzed logically by establishing quantified limitations of what a “good” month looks like, what the odds are of having a positive month vs the likelihood of a month being negative. Don't be fooled, you will still feel the emotion, but if you can keep it out of the decision making process then this is a plus.

- It’s a systematic approach that analyzes the data and makes adjustments as necessary. You don’t blindly follow the system, you understand “why” you’re in a certain Fund at a certain time and have factual data to support that understanding.

- It tends to produce consistent returns because you avoid the times of year when bad things often happen, and you make sure you’re invested when the good things usually end up happening. It doesn't always turn out this way, but more often than not it does.

- It’s simple to do: only about 6 moves a year for most plans, some a few more, some less. Either way, it’s a system that fits easily into the TSP’s restrictions on allowing only 2 IFT moves each month.

Cons:

- If you commit to the strategy, you must follow through with it and ride the emotions that come with rough times. I made the mistake of not doing so in Feb 2014 – the market took a short dive in late Jan / early Feb while I was in the S Fund. I got scared and ran to the F Fund for the duration of Feb because the F Fund is the second-best Fund for that month. While that Feb ’14 was positive for the F fund (0.62%), the S Fund came back strong later in the month and had a return of 5.43%. This mistake on my part made a big difference in my ’14 real-world return. I further compounded the problem when I went looking for an indicator to keep me from losing again – a “stop my losses” trigger of sorts. That indicator ended up failing me because I didn’t fully understand it until I did a lot of digging and research. Before I could finish my learning, the indicator caused even more losses for me in Oct 2014, after which I finally figured out why the indicator didn’t work the way I thought it did. I’ve learned my lesson: follow the data, trust the numbers. The Law of Averages works.

- No system works all of the time. Sometimes it just won’t work. We’re playing the odds with this strategy and while the Law of Averages says we should win in the long run, it also says that we’ll have periods when we don’t. What we’re doing is stacking the deck in our favor and making an informed decision on where and when we invest. It’s the long-term end result you need to keep your focus on, not the short term dips and peaks. Followers of Bogle’s philosophy can appreciate this sentiment.

- Times when the markets move sideways for a long time are frustrating to this system because we’re looking for clear positives and negatives for each time period we use to make our decisions. At such times, we have to resist the urge to try to play Market Timer and try to do better. You avoid doing this by remembering that a small positive is still a positive, and a small negative could be much worse if we aren’t good at our market timing decisions.

So what does it take to follow a system like this?

- An interest in paying attention to what your account is doing while acknowledging that we don’t know enough to play Market Timer well enough to produce reliable returns.

- Dedication to following a logical system without letting emotion get in the way.

- A long-term focus: 12% a year over 30 years turns a biweekly $200 allocation into around $1,500,000. This would represent a FERS employee that makes $52,000 a year allocating 5% and gets the 5% match for 30 years, and doesn’t get a pay raise the entire time. For the military folks, if an 18-year old service member put $100 per paycheck into his account for 20 years and got 12% on average, it would turn into $180,500 by the end of that 20-year career. That $180,500 would grow into $2,739,700 by the time he turned 62, without having to put in another dime after he retired from the service.

- A willingness to ignore how well or poorly everybody else is doing, what the media is saying, whether or not the “experts” are saying to buy or sell, etc. Let the numbers do the talking for us and aim to get the average as positive as we can. The major exception to this is paying attention to the policies set out by the Federal Reserve – they will probably impact the F Fund, and to a smaller extent the G Fund. How much is not known, but there will be an effect (likely to the downside).

You might be thinking “That’s all fine and dandy, but what data is out there to support a seasonal system?” Answer: tons of it. Many books have been written on seasonal trends in general. Specifically for the TSP, http://www.tsp.gov has historical data going back to 1988 for the G, F and C Funds, and it’s easy to find similar data for the S and I Funds (which TSP has back to only 2001). I’ve taken the time to make an Excel workbook that details all of the monthly returns for each Fund going back to 1988 and calculated the CAGRs as well as the annual Positive / Negative Rate (PNR) for each Fund for each month.

Most months are pretty black and white as to whether or not it’s a good time to be in the market according to the odds. Then I track various seasonal mixes using that data, and even compare them against each other in order to find the best possible mixture. I freely offer the Excel workbook to anybody who asks nicely, just ask the couple dozen of forum members that already have a copy of it. But be forewarned: it’s big. There’s a lot of manipulation of data going on, and lots of little tweaks need to be done manually each month to keep it updated.

What I’d like to do with this thread is invite discussion on this strategy, and to document the monthly progress of several seasonal TSP Fund mixes that I’ve seen, including the one I’m using. Going forward I’ll also do a monthly entry that documents how each Fund has performed in the past for the next upcoming month, and this entry will be towards the end of the month so interested parties will have enough time to percolate on what the upcoming month looks like historically. I’ll also post how the various mixes are set for the upcoming month. And at the end of the year I’ll do a wrap-up post before starting the next year’s thread.

And with that, I’ll end this lengthy post and use the next few posts to do an overview of the various Fund’s historical details and the seasonal mixes I’m actively tracking. They are as follows:

- TSP Center’s default setting on the “TSP Seasonal Calculator” page.
- Jahbulon’s Basic Mix
- gclapper's M3 Mix
- tmj100's Mix
- Boltman’s Mix
- A straight “Sell in May and Go Away” using G and C
- A formula that’s in G all year, and S in December

There’s other mixes I’m tracking as well. Some are doing ok, some aren’t. They’re mostly variations on the mixes I listed above. I don’t post about them on a regular basis because there’s just so many of them (23 at last count), and it would take just too much time to write about them all. I can give those stats as well if anybody is interested and asks nicely. Also, if anybody has another version they’d like me to add to the list and my ongoing tracking database, let me know and we’ll see if it’s promising. That’s how gclapper’s M3 Mix came into being last year. None of the mixes I follow use the L funds, and I don’t anticipate starting them anytime soon. The L funds don’t fit into the methodology and mindset that seasonality uses.

Stay tuned for some explanations of terms, the individual Fund History posts, the Seasonal Mix overview posts, and a final closing post to signal that you’re at the end of the starting posts I use to introduce this method of investing to interested parties.
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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Re: Seasonal Musings 2017

Post by Aitrus »

Before I get started with the individual Fund History and Seasonal Strategy introduction posts, let me take a moment and explain what I mean by “CAGR”, “PNR”, and “good month”.

CAGR
All the average figures I quote will use the Cumulative Annual Return Rate (CAGR), sometimes called the Compound Annual Return in investing circles. This number is different from a straight mathematical average and takes into effect negative compounding. The good thing about investing early in life is that compounding multiplies your earnings exponentially. You take $1,000, it has a 10% gain. Now you have $1,100. Another 10% gain gets you not $100, but $110. So now you have $1,210. Another 10% gain gets you $121, which goes onto the pile to equal $1,331. The interest builds its own interest, which then builds its own interest, etc. Your money “compounds” on itself and grows larger and larger and quicker and quicker as time goes on. But there’s a negative side to compounding as well. The rules apply regardless if the figures you are working with are positive or negative. Since when does the market always go up? Wouldn’t you like to know how the negative times affect your actual rate of return?

Here’s how it works. Imagine you have $1,000 and have a 100% gain. This gives you a total of $2,000. Then you have a -50% loss, which takes you back to $1,000. A straight average calculation would show the gain per year would as a 25% annual gain. [(100 - 50) / 2] = 25. But the real number is 0% because you’re back at $1,000 after two years. CAGR is the 0% real result. The calculation used for CAGR takes into account the negative compounding factor, so it gives you the 0% figure. CAGR is always lower than a straight average if there’s any negative numbers in the formula, so it makes sense for us to use it so we don't overestimate the actual returns. TSP uses CAGR when figuring the multi-year average on your return for the 10-year fund returns on tsp.gov. They even have a Fact Sheet in .pdf available that explains how the calculation works, and it’s the same one I use. The link is on the Share Price History page: https://www.tsp.gov/investmentfunds/sha ... tory.shtml.

PNR
PNR is pretty simple to understand. It’s the ratio of Positive Months vs. Negative Months. If a month has a history of having 4 of 10 months in the positive, then it has a PNR of 40%. If a month has a history of having 7 of 10 months in the positive, then it has a PNR of 70%. The higher the better.

Good Month
What is the “good month” standard? When I first did my analysis and comparison as to which Fund performs better in any given month, I set a standard as to what would qualify as a "good" month for each Fund. For the F Fund, that "good" measurement is a CAGR of 0.5% or better, and a PNR of 70% or better. For the C, S and I Funds, it's a CAGR of 1% or better, and a PNR of 70% or better. Ideally, the Fund assigned to each month will be rated as "good" or close to it. I didn’t have any specific metric or measure that caused me to come up with 0.5%, 1%, and 70% as the standard, it all comes from my personal risk tolerance. I asked myself “What level of risk would I be willing to take for how much profit, and at what point does the risk outweigh the reward?” I came up with 70% as the ideal demarcation point for how often a Fund is positive in a given month to quantify it as “good” because I can stand losing 30% of the time if the profit is high enough to justify the risk.

But how high is high enough? At what point will the higher returns from the Law of Averages make up for that 30% expected loss? Well, for the C, S and I Funds I settled on 1%, and 0.5% for the F Fund. Why 1%? Simple – my ultimate goal is to have returns that beat Buy and Hold, which are around 9% for the C Fund and around 11% for the S Fund (up or down a few % for each, depending on how far back you go). So if I want to beat that mark of 12%, then I need to aim for it, which means 1% or more per month on average. As for F Fund, again it's a judgment call. If the G Fund still had the returns it did in the late '80s and early '90s when it routinely claimed 0.5% or better, then I wouldn't have a problem substituting it for F. A 100% reliable 0.5% gain for a month when stocks are at risk is a pretty good deal, but the last time the G Fund had a 0.5% or better return was in Oct of 2000, and it was sporadic before that point. The last full year of 0.5% or better monthly returns was 1997.

Long term the F is better, but with the Fed messing around with the interest rates, who knows what the future holds for it? Over the last 5 years the G Fund has returned an annual CAGR of 1.92%, or about 0.16% per month, while the F Fund has returned an annual CAGR of 2.59%, or about 0.21% per month, with PNRs ranging from 40% (Nov, Dec) to 80% (5 months). Since the F Fund has better long term returns than the G Fund, then at what point am I willing to take the F Fund risk over G Fund certainty? That number for me is 0.5% if it’s 70% of the time or better and the rest of the market isn’t in a “good” month. If the F Fund were to start earning less, or the G Fund goes back up to its 0.5% or better return every month, then I would switch to the G Fund at those times.

Regardless of whatever seasonal Mix an investor decides to go with, in the end it’s all about the Law of Averages and the risk/reward ratio he/she is comfortable with. In the big scheme of things, I believe that there are multiple Mixes that perform well, are less risky than Buy and Hold while also making more than sitting in the G Fund, and are less technically demanding and more forgiving than Market Timing.

With that out of the way, let’s take a look at the individual Funds and how they have performed historically across various time periods.
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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Re: Seasonal Musings 2017

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The G Fund

It goes without saying that the G Fund is no longer in its heyday. Back in 1988 it earned a return of 0.76% in Aug and Sep as the highest returns on record. That year it earned 8.83%. Its low point was Sep ’12, when it earned 0.1% for the month and a whopping 1.48% for the year. 2016’s return was 1.84% for the year, with 0.13% in Jul, Aug and Sep being the lowest months. The steep price paid in the G Fund’s low recent returns is offset by the guaranteed safe haven it gives us, and the price seems to be slowly climbing again in a “two steps forward, one step back“ fashion. I don’t know how the Fed’s actions with the interest rates will affect the Fund, but remember that a weak positive is still a positive and better than a loss. For those that desire safety, the G Fund is the closest you can come to that point of absolute safety and still have returns better than a bank account.

Note: For CAGR explanation, see the 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%.

Here’s the historical breakdown according to various timeframes:

Since 1988:
Overall CAGR: 5.10%
Best monthly average: May at 0.44%
Worst monthly average: Feb at 0.38%
Last month with a positive of .5% or more monthly return: Jul ‘07
Last full year of 0.5% or more monthly returns: 1997, with 2000 coming close with only Sep, Nov and Dec having returns of 0.48 or 0.49%

Last 20 years:
Overall CAGR: 3.97%
Best monthly average: July at 0.35%
Worst monthly average: Feb and Nov at 0.30% each

Last 10 years:
Overall CAGR: 2.64%
Best monthly average: July at 0.24%
Worst monthly average: Feb and Nov at 0.20% each

Last 5 years:
Overall CAGR: 1.92%
Best monthly average: Jan at 0.17%
Worst monthly average: Feb at 0.14%
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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Re: Seasonal Musings 2017

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The F Fund

This Fund has its ups and downs, and definitely has a least favorite time of year (March). Its positives outweigh its negatives, however, and in the long run has better returns than the G Fund. But the recent actions by the Federal Reserve make the future of the F Fund uncertain at best. When the Fed eventually raises rates again, the F Fund will likely go down because bond rates are inverse to bond returns. The higher the rates, the lower the returns on currently held bonds.

Note: For CAGR explanation, see the 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%.

Since 1988:
Overall CAGR: 6.32%
Pos/Neg Ratio (PNR): 26 of 29, or 90% years are positive
Best years: 18.3% (1995), 15.74% (1991), and 13.87% (1989)
Worst years: -2.97% (1994), -1.68% (2013), and -0.86% (1999)

Monthly profile since 1988: Consider a “good” F Fund month to be a CAGR of 0.5% or better, and a PNR of 70% or better.

Jan: CAGR 0.67%, PNR of 79% (23 of 29), lowest return was -1.38% (1990), highest return was 2.13% (2015)
Feb: CAGR of 0.31%, PNR of 72% (21 of 29), low was -1.74% (1999), best was 2.38% (1995)
Mar: CAGR of -0.03%, PNR of 59% (17 of 29), low was -2.45% (1994), best was 1.38% (2009)
Apr: CAGR of 0.42%, PNR of 66% (19 of 29), low was -2.54% (2004), best was 2.05% (1989)
May: CAGR of 0.59%, PNR of 62% (18 of 29), low was -1.78% (2013), best was 3.84% (1995)
Jun: CAGR of 0.64%, PNR of 69% (20 of 29), low was -1.53% (2013), best was 3.19% (1989)
Jul: CAGR of 0.76%, PNR of 76% (22 of 29), low was -2.51% (2003), best was 2.69% (1997)
Aug: CAGR of 0.66%, PNR of 69% (20 of 29), low was -1.48% (1989), best was 2.12% (1991)
Sep: CAGR of 0.74%, PNR of 83% (24 of 29), low was -1.47% (1994), best was 2.68% (2003)
Oct: CAGR of 0.45%, PNR of 72% (21 of 29), low was -2.4% (2009), best was 2.45% (1989)
Nov: CAGR of 0.37%, PNR of 62% (18 of 29), low was -2.35% (2016), best was 3.3% (2008)
Dec: CAGR of 0.56%, PNR of 69% (20 of 29), low was -1.55%, best was 3.73% (2008)

Last 20 years:
Overall CAGR: 5.42%
PNR: 90% (18 of 20)
Good months:
Jan: CAGR 0.7%, PNR 85%
Jul: CAGR 0.67%, PNR 75%
Aug: CAGR 0.79%, PNR 70%
Sep: CAGR 0.69%, PNR 80%
Worst months:
Mar: CAGR -0.03%, PNR 59%

Last 10 years:
Overall CAGR: 4.59%
PNR: 90%
Good months:
Jan: CAGR 0.80%, PNR 80%
Apr: CAGR 0.64%, PNR 80%
Jul: CAGR 0.77%, PNR 80%
Aug: CAGR 0.64%, PNR 70%
Worst months:
Jun: CAGR 0.08%, PNR 50%
Dec: CAGR 0.17%, PNR 50%

Last 5 years:
Overall CAGR: 2.59%
PNR: 80%
Best Months:
Jan: CAGR 1.10%, PNR 80%
Apr: CAGR 0.63%, PNR 80%
Jul: CAGR 0.54%, PNR 80%
Worst months:
Jun: -0.13%, PNR 60%
Aug: CAGR 0.10%, PNR 40%
Nov: CAGR -0.41%, PNR 40%
Dec: CAGR -0.12%, PNR 40%
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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Re: Seasonal Musings 2017

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The C Fund

This fund represents the S&P 500 index, which are the 500 largest stocks in the American market. It has clearly favored times of year, and not so favored times of year.

Note: For CAGR explanation, see the 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%.

Since 1988:
Overall CAGR: 10.16%
PNR: 83% (24 of 29)
Best years: 37.39% (1995), 33.17% (1997), 32.45% (2013), 31.02% (1989)
Worst years: -37.0% (2008), -22.04% (2002), -11.95% (2001), -9.14% (2000), and -3.14% (1990)

Monthly profile since 1988: Consider a “good” C Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Jan: CAGR 0.10%, PNR 55% (16 of 29), low was -8.41% (2009), best was 7.14% (1989)
Feb: CAGR 0.47%, PNR 62% (18 of 29), low was -10.64% (2009), best was 7.2% (1998)
Mar: CAGR 1.42%, PNR 69% (20 of 29), low was -6.33% (2001), best was 9.74% (2000)
Apr: CAGR 1.75%, PNR 76% (22 of 29), low was -6.06% (2002), best was 9.58% (2009)
May: CAGR 1.33%, PNR 72% (21 of 29), low was -7.99% (2010), best was 9.44% (1990)
Jun: CAGR -0.26%, PNR 55% (16 of 29), low was -8.41% (2008), best was 5.54% (1999)
Jul: CAGR 1.11%, PNR 52% (15 of 29), low was -7.7% (2002), best was 8.83% (1989)
Aug: CAGR -0.82%, PNR 59% (17 of 29), low was -14.47% (1998), best was 6.19% (2000)
Sep: CAGR -0.27%, PNR 52% (15 of 29), low was -10.87% (2002), best was 8.92% (2010)
Oct: CAGR 1.52%, PNR 66% (19 of 29), low was -16.83% (2008), best was 10.93% (2011)
Nov: CAGR 1.56%, PNR 72% (21 of 29), low was -7.87% (2000), best was 7.62% (2001)
Dec: CAGR 1.85%, PNR 83% (24 of 29), low was -5.85% (2002), best was 11.41% (1991)

Last 20 years:
Overall CAGR: 7.68%
PNR: 80% (16 of 20)
Good Months:
Mar: CAGR 1.91%, PNR 70%
Apr: CAGR 2.06%, PNR 75%
Nov: CAGR 1.60%, PNR 80%
Dec: CAGR 1.59%, PNR 80%
Worst Months:
Jan: CAGR -0.48%, PNR 50%
Feb: CAGR -0.07%, PNR 55%
Jun: CAGR -0.23%, PNR 60%
Aug: CAGR -1.20%, PNR 55%
Sep: CAGR -0.62%, PNR 55%

Last 10 years:
Overall CAGR: 7.00%
PNR: 90%
Good months:
Mar: CAGR 1.91%, PNR 80%
Apr: CAGR 2.65%, PNR 90%
Dec: CAGR 1.35%, PNR 80%
Worst Months:
Jan: CAGR -1.68%, PNR 40%
Jun: CAGR -1.42%, PNR 40%
Aug: CAGR -0.65%, PNR 60%

Last 5 years:
Overall CAGR: 14.73%
PNR: 100%
Good Months:
Feb: CAGR 3.16%, PNR 80%
Mar: CAGR 2.59%, PNR 80%
Jul: CAGR 2.16%, PNR 80%
Nov: CAGR 2.06%, PNR 100%
Worst Months:
Jan: CAGR -0.44%, PNR 40%
Aug: CAGR -0.57%, PNR 60%
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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Re: Seasonal Musings 2017

Post by Aitrus »

The S Fund

This tracks the Dow Jones Total Stock Market Completion index (Small and Mid Cap stocks), which are all the other stocks not covered by the S&P 500. Between the C and S Funds, you have pretty much all 5,000 stocks in the market covered. There’s a few more, but they’re all smaller than the top 5,000 and really aren’t worth trading in something like the TSP (mom and pop businesses, risky penny stocks, etc). TSP has information for the S Fund going back to 2001. Since TSP used to model the S Fund off of the Wilshire 4500 (very similar to the Dow Jones TSM Completion index), I went to the Wilshire website to find the information that goes back to 1988 for my purposes.

Note: For CAGR explanation, see the 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%.

Since 1988:
Overall CAGR: 11.32%
PNR: 72% (21 of 29)
Best years: 43.47% (1991), 42.91% (2003), 42.39% (1999), 38.36% (2013)
Worst years: -38.32 (2008), -18.14% (2002), -15.78% (2000), -9.03% (2001), -6.45% (1990), -3.4% (2012), - 2.93% (2015), -2.66% (1994)

Monthly profile since 1988: Consider a “good” S Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Jan: CAGR 0.5%, PNR 59% (17 of 29), low was -8.72% (2016), best was 7.59% (2012)
Feb: CAGR 1.2%, PNR 62% (18 of 29), low was -12.15% (2001), best was 15.55% (2000)
Mar: CAGR 1.45%, PNR 72% (21 of 29), low was -9.18% (2001), best was 8.64% (2009)
Apr: CAGR 1.52%, PNR 69% (20 of 29), low was -12.03% (2000), best was 15% (2009)
May: CAGR 1.18%, PNR 66% (19 of 29), low was -7.38% (2000), best was 9.95% (1997)
Jun: CAGR 0.3%, PNR 55% (16 of 29), low was -7.63% (2008), best was 12.01% (2000)
Jul: CAGR 0.17%, PNR 45% (13 of 29), low was -9.93% (2002), best was 8.66% (2009)
Aug: CAGR -0.14%, PNR 62% (18 of 29), low was -19.38% (1998), best was 11.16% (2000)
Sep: CAGR -0.14%, PNR 62% (18 of 29), low was -12.5% (2001), best was 11.47% (2010)
Oct: CAGR 0.37%, PNR 59% (17 of 29), low was -20.99% (2009), best was 14.09% (2011)
Nov: CAGR 1.41%, PNR 72% (21 of 29), low was -17.03% (2000), best was 8.44% (1999)
Dec: CAGR 3.0%, PNR 86% (25 of 29), low was -4.32% (2002), best was 13.78% (1999)

Last 20 years:
Overall CAGR: 9.12%
PNR: 70%
Good Months:
Mar: CAGR 1.66%, PNR 70%
Nov: CAGR 1.57%, PNR 80%
Dec: CAGR 2.99%, PNR 80%
Worst Months:
Jan: CAGR -0.13%, PNR 45%
Jul: CAGR -0.28%, PNR 35%
Aug: -0.62%, PNR 60%
Sep: -0.56%, PNR 55%

Last 10 years:
Overall CAGR: 8.13%
PNR: 70%
Good months:
Feb: CAGR 1.27%, PNR 70%
Mar: CAGR 3.29%, PNR 80%
Apr: PNR 2.72%, PNR 70%
Dec: CAGR 2.22%, PNR 70%
Worst Months:
Jan: CAGR -1.2%, PNR 40%
Jun: CAGR -1.25%, PNR 30%
Aug: CAGR -0.65%, PNR 50%
Sep: CAGR -0.37%, PNR 60%
Oct: CAGR -0.17%, PNR 60%

Last 5 years:
Overall CAGR: 14.84%
PNR: 80%
Best Months:
Feb: CAGR 3.37%, PNR 100%
Mar: CAGR 3.11%, PNR 80%
Oct: CAGR 1.44%%, PNR 60%
Nov: CAGR 2.98%, PNR 100%
Dec: CAGR 0.87%, PNR 80%
Worst Months:
Apr: CAGR -0.47%, PNR 40%
Aug: CAGR 0.08%, PNR 60%
Sep: CAGR -0.21%, PNR 60%

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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Re: Seasonal Musings 2017

Post by Aitrus »

The I Fund

The I Fund tracks the iShares MSCI EAFE index. Basically, it’s a list of major non-US companies, mostly focusing on Europe, Canada and Japan, with the rest scattered over the globe. I tend to shy away from this fund because of its uncertainty due to Europe’s ongoing Euro fiasco. Foreign markets seem to me to be subject more to failure and govt. takeover than America’s. Consider Argentina’s economic collapse that started in 1998 and which they still haven’t recovered from yet, the EU’s confiscation of 10% of assets in Cyprus banks in 2013, and Venezuela’s current socialist collapse, just to name a few examples. That’s not to say that you shouldn’t invest in the I Fund if you believe doing so is in your best financial interest. There are seasonal strategies I’ll talk about in a bit, some use the I Fund and some don’t, and it’s possible to have good returns with or without the I Fund. I just don’t trust it, so I don’t use it.

Note: For CAGR explanation, see the 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%.

Since 1988:
Overall CAGR: 4.75%
PNR: 69% (20 of 29)
Best years: 37.92% (2003), 30.47 (1993), 30.04% (2009)
Worst years: -42.43% (2008), - 24.7% (1990), -21.94% (2001)

Monthly profile since 1988: Consider a “good” I Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Jan: CAGR -1.0%, PNR 45% (13 of 29), low was -11.93% (2009), best was 8.33% (1994)
Feb: CAGR 0.58%, PNR 59% (17 of 29), low was -10.23% (2009), best was 10.56% (1991)
Mar: CAGR 1.08%, PNR 66% (19 of 28), low was -10.54% (1990), best was 8.56% (1993)
Apr: CAGR 2.52%, PNR 79% (23 of 29), low was -5.36% (2000), best was 12.13% (2009)
May: CAGR -0.31%, PNR 45% (13 of 29), low was -11.4% (2012), best was 13.41% (2009)
Jun: CAGR -0.74%, PNR 45% (13 of 29), low was -8.15% (2008), best was 7.08% (2012)
Jul: CAGR 1.33%, PNR 66% (19 of 29), low was -9.99% (2002), best was 12.45% (1989)
Aug: CAGR -1.62%, PNR 45% (13 of 29), low was -12.51% (1998), best was 6.09% (1992)
Sep: CAGR -0.82%, PNR 59% (17 of 29), low was -14.08% (1990), best was 9.81% (2010)
Oct: CAGR 1.28%, PNR 62% (18 of 29), low was -20.59% (2008), best was 15.4% (1990)
Nov: CAGR 0.08%, PNR 59% (17 of 29), low was -8.86% (1993), best was 6.16% (2004)
Dec: CAGR 2.38%, PNR 79% (23 of 29), low was -4.13% (2014), best was 8.88% (1999)

Last 20 years:
Overall CAGR: 3.96%
PNR: 65%
Best months:
Mar: CAGR 1.4%, PNR 70%
Apr: CAGR 2.56%, PNR 75%
Oct: CAGR 1.05%, PNR 65%
Dec: CAGR 2.41%, PNR 75%
Worst Months:
Jan: CAGR -1.65%, PNR 40%
May: CAGR -0.79%, PNR 45%
Jun: CAGR -0.06%, PNR 55%
Aug: CAGR -1.62, PNR 45%
Sep: CAGR -0.94%, PNR 60%

Last 10 years:
Overall CAGR: 1.03%
PNR: 60%
Best Months:
Mar: CAGR 1.91%, PNR 70%
Apr: CAGR 3.53%, PNR 80%
Worst Months:
Jan: CAGR -2.21%, PNR 50%
May: CAGR -1.23%, PNR 50%
Jun: CAGR -1.34%, PNR 30%
Aug: CAGR -1.85%, PNR 30%
Sep: CAGR -0.37%, PNR 60%
Oct: CAGR -0.02%, PNR 60%
Nov: CAGR -1.42%, PNR 40%

Last 5 years:
Overall CAGR: 6.87%
PNR 60%
Best months:
Feb: CAGR 2.51%, PNR 60%
Apr: CAGR 2.16%, PNR 80%
Jul: CAGR 2.17%, PNR 80%
Worst months:
May: CAGR -2.71%, PNR 20%
Jun: CAGR -0.24%, PNR 40%
Aug: CAGR -1.15%, PNR 40%



That’s it for the Funds. Next will be a series of posts that will introduce the various Seasonal Mixes that I am tracking, as well as my assessment of each one. I will also talk briefly about any spin-offs from the main Mixes that I will be tracking behind the scenes. I introduce them here, track them all year long, and report their results in the End-of-Year Round Up.
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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Re: Seasonal Musings 2017

Post by Aitrus »

TSPCenter.com’s Seasonal Mix

This is the mix that appears when you go to TSP Center’s Seasonal Calculator page. This will be an active mix that I post about on a regular basis. The mix is as follows:

Monthly Allocation:
Jan: F Fund
Feb: G Fund
Mar: C Fund
Apr: C Fund
May: C Fund
Jun: F Fund
Jul: F Fund
Aug: F Fund
Sep: F Fund
Oct: F Fund
Nov: C Fund
Dec: S Fund

Since 1988
Overall CAGR: 14.19%, PNR 93% (27 of 29)
Last 20 CAGR: 13.41%, PNR 95%
Last 10 CAGR: 11.67%, PNR 90%
Last 5 CAGR: 9.08%, PNR 80%

Best Years: 48.13% (2009), 27.7% (1998), 26.1% (2001)
Worst Years: -2.06% (1994), -0.47% (2015), 1.82% (2008)

Beat C Fund 13 of 29 times (45%), for a higher gain of 98.89% since 1988.
Best yearly gain over C Fund: 38.82% (2008: 1.82% vs -37%)
Worst loss to C Fund: -18.16% (2013: 14.29% vs 32.45%)

Beat S Fund 15 of 29 times (52%), for a higher gain of 43.37% since 1988.
Best yearly gain over S Fund: 40.14% (2008: 1.82% vs -38.32%)
Worst loss to S Fund: -25.61% (2003: 17.3% vs 42.91%)

Analysis: This fund mixture has solid performance. It has only two negative years in 1994 and 2015, and the 2008 crash resulted in a 1.82% gain. The following year, 2009, was the banner year with 48.13%. This is a decent one to follow, but there are other mixes out there that deserve a look.

Spin-offs:
There are no spin-offs for this Mix.
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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Re: Seasonal Musings 2017

Post by Aitrus »

Jahbulon’s Basic Mix

This is originally found at viewtopic.php?f=14&t=5474

This mix is what forum member Jahbulon (Jahby for short) came up with back in 2012. It went through a few revisions before this became the final formula for him. I followed his research and findings when he was running the Holy Grail Research Lab website and then later on when he started up http://www.tspmarketwatch.com. Sadly, both sites are no longer running, and Jahby seems to have disappeared without a trace, but I’ve continued to track this mix’s performance. Jahby first ran with this Basic mix, then later modified it slightly in 2013 by adding a 9-month SMA stop loss trigger and again in 2014 with secondary fund “choices” for each month. There are a couple of spin-offs that use a 9-month SMA (a technical indicator) as a stop-loss trigger, but the method doesn’t perform very well.

The Basic Seasonal mix is the one I follow with my own accounts. There’s a reason I like this mix so much. In the beginning when I first started putting together my Excel sheets in Jan/Feb 2014, I started seeing the patterns emerge. After I had all the data plugged in I made a homebrew mix based solely off what I saw on the Excel sheets with a goal of using the most optimal funds for each month, excluding the I Fund. I used the 1%, 0.5%, and 70% rules outlined in the 2nd post of the thread. When I checked my resulting formula against Jahby’s, I found that they were exactly the same mix. That confirmed the data for me – if Jahby and I both came up with the same mix, and I did mine completely independent of his, then that tells me that he was on to something significant in 2012. Also, since he came up with the mix first, I will always give credit to him.

This Mix has been kept in its original unmodified version until this year. In times past, the S Fund was considered a “good” choice for January. However, recent years have begun to change the trend to the worse. If 2017 isn’t stellar, then the F Fund will be exchanged for the S Fund for January for this mix. As I mentioned in the first post of the thread, one of the upsides to a seasonal system is that you use data to determine your Fund choice for the month. When the data says that a Fund is no longer good in a particular month, then it’s time to consider changing it. That time has come for the S Fund in January. There is a spin-off mix that already does exactly this: crispyzee’s Mix.

Edit 1 Feb 2017: As mentioned above, the Mix would change to the F Fund in Jan if the S Fund didn't have a stellar month. While it was good month for the S Fund, the numbers aren't enough to justify remaining in the S Fund in Jan. The risk/reward ratio is just too high. See my posts on 1 Feb for further details. I have also updated this post to show the changes made to this Fund accordingly. Congrats, crispyzee! You get credit for improving upon this formula without using the I Fund!

Monthly Allocation:
Jan: F Fund
Feb: S Fund
Mar: C Fund
Apr: C Fund
May: C Fund
Jun: F Fund
Jul: C Fund
Aug: F Fund
Sep: F Fund
Oct: C Fund
Nov: C Fund
Dec: S Fund

Since 1988
Overall CAGR: 16.74%, PNR 93% (27 of 29)
Last 20 CAGR: 15.55%, PNR 95%
Last 10 CAGR: 14.81%, PNR 90%
Last 5 CAGR: 16.73%, PNR 100%

Best years: 46.92% (1998), 37.68% (1991), 37.22% (2009)
Worst years: -15.88% (2008), -0.32% (1994), 0.6% (2002)

Beat C Fund 18 of 29 times (64%), for a higher gain of 169.48% since 1988.
Best yearly gain over C Fund: 29.36% (2000: 20.22% vs -9.14%)
Worst loss to C Fund: -12.76% (1997: 20.41% vs 33.17%)

Beat S Fund 16 of 29 times (55%), for a higher gain of 123.99% since 1988.
Best yearly gain over S Fund: 38.29% (1998: 46.92% vs -8.63%)
Worst loss to S Fund: -16.31% (2003: 26.6% vs 42.91%)

Analysis: This mixture might have taken a big hit in 2008, but it more than made up for that with double digit for seven years afterward: 37.22%, 29.73%, 17.7%, 4.33%, 25.45%, 17.51%, 15.85% and 21.63% for 2009 – 2016 respectively. 2015 was 9.39%. While it was down in 2008 it also beat the C and S Funds that year (C: -37% and S: -38.32%). In addition, this mixture has had only 8 years that were not double digit years since 1988 (including both negative years). I view this mix as very solid, and one of the better ones you can follow. It is the best performing one that doesn’t use the I Fund.

Spin-offs:
Jahbulon's Old Basic Mix (uses the S Fund in Jan instead of F)
Since 1988: CAGR 16.54%, PNR 93% (27 of 29)
Last 20 years: CAGR 14.61%, PNR 90%
Last 10 years: CAGR 12.53%, PNR 90%
Last 5 years: CAGR 15.72%, PNR 100%

Jahbulon’s SMA Mix (same monthly allocations, but uses a technical indicator as a stop-loss mechanism)
Since 1988: CAGR 12.99%, PNR 97% (28 of 29)
Last 20 years: CAGR 11.64%, PNR 100%
Last 10 years: CAGR 10.91%, PNR 100%
Last 5 years: CAGR 10.77%, PNR 100%

Jahbulon’s SMA Enter Only Mix (same monthly allocations, but uses the indicator in a slightly different way)
Since 1988: CAGR 13.77%, PNR 93% (27 of 29)
Last 20 years: CAGR 12.74%, PNR 100%
Last 10 years: CAGR 12.6%, PNR 100%
Last 5 years: CAGR 13.65%, PNR 100%

Aitrus’ Homebrew V1 (uses G Fund in Jun, Aug and Sep instead of F Fund)
Since 1988: CAGR 15.63%, PNR 93% (27 of 29)
Last 20 years: CAGR 13.64%, PNR 90%
Last 10 years: CAGR 12.15%, PNR 90%
Last 5 years: CAGR 16.01%, PNR 100%

Jahbulon’s with F in July (does just what the title says)
Since 1988: CAGR 16.14%, PNR 93% (27 of 29)
Last 20 years: CAGR 14.57%, PNR 95%
Last 10 years: CAGR 11.29%, PNR 90%
Last 5 years: CAGR 13.88%, PNR 100%
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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Re: Seasonal Musings 2017

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gclapper’s M3 Mix

This Mix was suggested in late 2016 by forum member gclapper. It’s similar to Jahbulon’s Mix, and makes three changes. He uses F in Jan, I in Apr and I in Jul. Everything else is the same, so technically it’s kind of a spin-off from Jahbulon’s Mix, but its returns are so good that I count it as an actively tracked Mix in its own right.

Monthly Allocation:
Jan: F Fund
Feb: S Fund
Mar: C Fund
Apr: I Fund
May: C Fund
Jun: F Fund
Jul: I Fund
Aug: F Fund
Sep: F Fund
Oct: C Fund
Nov: C Fund
Dec: S Fund

Since 1988
Overall CAGR: 17.89%, PNR 97% (28 of 29)
Last 20 CAGR: 16.10%, PNR 95%
Last 10 CAGR: 16.22%, PNR 90%
Last 5 CAGR: 18.46%, PNR 100%

Best years: 49.39% (1998), 43.23% (2009), 38.76% (1991)
Worst years: -17.88% (2008), 0.06% (1994), 2.17% (2012)

Beat C Fund 18 of 29 times (62%), for a higher gain of 195.21% since 1988.
Best yearly gain over C Fund: 29.08% (1990: 25.94% vs -3.14%)
Worst loss to C Fund: -25.92% (1997: 7.25% vs 33.17%)

Beat S Fund 16 of 29 times (55%), for a higher gain of 154.05% since 1988.
Best yearly gain over S Fund: 40.76% (1998: 49.39% vs 8.63%)
Worst loss to S Fund: -18.46% (1997: 7.25% vs 25.71%)

Analysis: This Mix is the best performer out of all the ones I track. It ignores my bias against the I Fund and choses the absolute best Fund for every month, and if there’s no clear winner it aims for safety over risk. This Mix has only one negative year on record (2008), when it outperformed the C and S Funds by over 19%. If you’re not afraid of the I Fund, then give this one a serious look.

Spin-offs:
Rome26’s Mix (meant to be a spin-off of Jahbulon’s Mix, but is almost identical to gclapper’s. Uses C in Jul)
Since 1988: CAGR 17.63%, PNR 97% (28 of 29)
Last 20 years: CAGR 16.12%, PNR 95%
Last 10 years: CAGR 15.79%, PNR 90%
Last 5 years: CAGR 18.45%, PNR 100%
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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Re: Seasonal Musings 2017

Post by Aitrus »

tmj100’s Mix

This Mix was suggested in 2016 by tmj100, and was inspired by another forum member’s moves in 2015. (For those that follow Timboslice’s Mix, this is the new name for it. Timbo had no part in the creation of this Mix other than to provide inspiration to tmj100. Timbo doesn’t follow this pattern unless he chooses to, so don’t confuse up his moves with this Mix’s moves.) Polling shows this to be the most popular Mix followed on the site as of early January 2016. I will be actively posting about this Mix during my monthly updates.

Monthly Allocation:
Jan: F Fund
Feb: C Fund
Mar: S Fund
Apr: I Fund
May: C Fund
Jun: F Fund
Jul: C Fund
Aug: F Fund
Sep: F Fund
Oct: C Fund
Nov: S Fund
Dec: S Fund

Since 1988
Overall CAGR: 16.63%, PNR 93% (27 of 29)
Last 20 CAGR: 15.06%, PNR 90%
Last 10 CAGR: 15.41%, PNR 90%
Last 5 CAGR: 19.88%, PNR 100%

Best years: 46.16% (1998), 39.51% (1991), 36.71% (2009)
Worst years: -21.34% (2000), -20.79% (2008), 0.14% (1994)

Beat C Fund 20 of 29 times (69%), for a higher gain of 178.06% since 1988.
Best yearly gain over C Fund: 34.36% (2002: 12.32% vs -22.04%)
Worst loss to C Fund: -22.16% (1997: 11.01% vs 33.17%)

Beat S Fund 14 of 29 times (48%), for a higher gain of 132.57% since 1988.
Best yearly gain over S Fund: 37.53% (1998: 46.16% vs 8.63%)
Worst loss to S Fund: -15.25% (2012: 3.34% vs 18.59%)


Analysis: This mix is really good. It uses the I Fund in only one month of the year: April, which is hands-down the best month of the year for that Fund. This mix has a large following on TSPCenter.com, and for good reason.

Spin-offs:
None
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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Re: Seasonal Musings 2017

Post by Aitrus »

Boltman’s Mix

This Mix was suggested by Boltman and is originally found at viewtopic.php?f=14&t=6885. Please keep in mind that just because this Mix has his name on it doesn’t necessarily mean that he’s following it this year. He came up with it, so he gets credit for it. This Mix was the best performer for 2016. I will be posting about this Mix during my monthly updates.

Monthly Allocation:
Jan: F Fund
Feb: F Fund
Mar: S Fund
Apr: S Fund
May: S Fund
Jun: F Fund
Jul: I Fund
Aug: F Fund
Sep: F Fund
Oct: C Fund
Nov: S Fund
Dec: I Fund

Since 1988
Overall CAGR: 14.66%, PNR 83% (24 of 29)
Last 20 CAGR: 13.94%, PNR 80%
Last 10 CAGR: 13.95%, PNR 70%
Last 5 CAGR: 12.57%, PNR 60%

Best years: 50.68% (2003), 49.4% (2009), 40.01% (2010)
Worst years: -32.51% (1999), -15.4% (2008), -7.26% (1994)

Beat C Fund 15 of 29 times (52%), for a higher gain of 134.09% since 1988.
Best yearly gain over C Fund: 32.7% (2002: 10.66% vs -22.04%)
Worst loss to C Fund: -27.51% (1997: 5.66% vs 33.17%)

Beat S Fund 16 of 29 times (55%), for a higher gain of 88.6% since 1988.
Best yearly gain over S Fund: 31.57% (1990: 25.12% vs -6.45%)
Worst loss to S Fund: 20.05% (1997: 5.66% vs 25.71%)

Analysis: This mix has had some great years. It uses the I Fund, which can be a plus or a minus, depending on how you feel about that investment option. In the end, I feel that this one has good returns, and if you want to incorporate the I fund, then this one is worth looking at.

Spin-offs:
None
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 »

Sell in May and Go Away – G and C Mix

This mix follows the old adage “Sell in May and Go Away”, meaning that you get out of the market at the end of April then buy back in on 1 Oct. I have different variations of the Sell in May theme going, and this one is the best representation of buying in to the S&P 500, then getting out to cash at those “Go Away” times. I will post about this mix on a monthly basis.

Monthly Allocation:
Jan: C Fund
Feb: C Fund
Mar: C Fund
Apr: C Fund
May: G Fund
Jun: G Fund
Jul: G Fund
Aug: G Fund
Sep: G Fund
Oct: C Fund
Nov: C Fund
Dec: C Fund

Since 1988
Overall CAGR: 11.31%, PNR 90%
Last 20 CAGR: 11.4%, PNR 85%
Last 10 CAGR: 8.05%, PNR 90%
Last 5 CAGR: 12.38%, PNR 100%

Best years: 43.03% (1998), 28.82% (1991), 28.45% (1999)
Worst years: -24.63% (2008), -6.14% (2000), -0.21% (2005)

Beat C Fund 13 of 29 times (45%), for a higher gain of 17.74% since 1988.
Best yearly gain over C Fund: 26.28% (2002: 4.24% vs -22.04%)
Worst loss to C Fund: -21.8% (2009: 4.88% vs 26.68%)

Beat S Fund 11 of 29 times (38%), for a loss of -23.42% since 1988.
Best yearly gain over S Fund: 34.4% (1998: 43.03% vs 8.63%)
Worst loss to S Fund: -29.95% (2009: 4.88% vs 34.83%)

Analysis: This Mix is used as a benchmark, not as a recommended strategy to follow. We often hear in investing gurus say that “Sell in May doesn’t work!” Well, they’re kind of right – it doesn’t beat Buy and Hold very well, and they use that fact to sell their advice. The problem is that they never mention other seasonal methods which work much better, but that doesn’t help them sell anything, so they don’t mention it. This mix also shows us what happens when we blindly follow a specific system and aren’t open to making small adjustments when the data tells us to do so. What is interesting, however, is that there were 3 years in this mix that had all positive months. These were 1998, (CAGR 43.03%), 2006 (CAGR 15.13%), and 2013 (25.63%). There were also a few more years that had only one or two negative months. However, double digit years are less numerous than in other mixtures. One upside? Only two moves a year. There are numerous spin-offs of this idea, all trying to see if Sell in May is a good idea or not. Conclusion: it works (kind of, depending on which Funds you use), but there’s better methods to follow.

Spin-offs:
Aitrus’ Homebrew V2 (uses S and F in Sell in May pattern)
Since 1988: CAGR 13.6%, PNR 83% (24 of 29)
Last 20 years: CAGR 12.58%
Last 10 years: CAGR 10.8%
Last 5 years: CAGR 12.91%

Aitrus’ Homebrew V3
(uses S and G in Sell in May pattern)
Since 1988: CAGR 12.17%, PNR 83% (24 of 29)
Last 20 years: CAGR 11.29%
Last 10 years: CAGR 9.91%
Last 5 years: CAGR 12.92%

Aitrus’ Homebrew V4 (uses C and F in Sell in May pattern)
Since 1988: CAGR 12.73%, PNR 86% (25 of 29)
Last 20 years: CAGR 12.34%
Last 10 years: CAGR 8.94%
Last 5 years: CAGR 12.41%
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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Joined: Mon Aug 06, 2012 5:03 pm

Re: Seasonal Musings 2017

Post by Aitrus »

G All Year / S in Dec

I came up with this during Thanksgiving Week 2014 after having a conversation with my father, a retired CSRS employee who’s got his pension, but not much else to his name. This one does just what it says. The idea is to keep your money safe all year, but take advantage of December’s Santa Rally to keep ahead of inflation. I will post about this Mix on a monthly basis.

Monthly Allocation:
Jan: G Fund
Feb: G Fund
Mar: G Fund
Apr: G Fund
May: G Fund
Jun: G Fund
Jul: G Fund
Aug: G Fund
Sep: G Fund
Oct: G Fund
Nov: G Fund
Dec: S Fund

Since 1988
Overall CAGR: 7.91%, PNR 97% (28 of 29)
Last 20 CAGR: 6.73%
Last 10 CAGR: 4.7%
Last 5 CAGR: 2.63%

Best years: 19.95% (1999), 18.12% (1990), 14.21% (1998)
Worst years: -2.11% (2015), 0.07% (2002), 2.26% (2011)

Beats G Fund 25 of 29 times (89%), for a higher gain of 80.73% since 1988.
Best yearly gain over G Fund: 13.96% (1999: 19.95% vs 5.99%)
Worst yearly loss to G Fund: -4.92% (2002: 0.07% vs 4.99%)

Analysis: This strategy isn’t designed to beat Buy and Hold over stocks, it’s designed to beat Inflation and preserve value. If you compare the results against the G Fund, you’ll see that it’s pretty solid against just leaving your money in G. The next safest thing in the TSP other than the G Fund is the S Fund in December, which has a only 4 negative years on record. For a very small amount of risk you jump your returns by a relatively massive amount. Obviously the returns tended to be better on average in the early years of the G Fund, but what the G Fund does in a year these days is about what the S Fund does all by itself in December. There is a spin-off that uses the F Fund instead, and it performs better than this one. However, the goal with this Mix is to give a retiree a sense that he/she can preserve purchasing power with very little risk. The F Fund isn’t very risky, but it might be more risky than many retirees feel comfortable with, so I show this Mix instead.

Spin-offs:
F All Year, S in Dec (does just what the title says)
Since 1988: CAGR 8.9%, PNR 93% (27 of 29)
Last 20 years: CAGR 8.12%
Last 10 years: CAGR 6.73%
Last 5 years: CAGR 3.62%
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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Joined: Mon Aug 06, 2012 5:03 pm

Re: Seasonal Musings 2017

Post by Aitrus »

Other Mixes I’m tracking behind the scenes and won’t be positing about until the end of the year:

Skiehawk’s EMA Mix

This Mix uses a technical indicator as a stop-loss mechanism, similar to Jahbulon’s SMA Mix. I won’t be posting about this except for the End-of-Year Round-up.

Jan: C Fund
Feb: C Fund
Mar: C Fund
Apr: C Fund
May: C Fund
Jun: C Fund
Jul: C Fund
Aug: F Fund
Sep: C Fund
Oct: C Fund
Nov: C Fund
Dec: C Fund

Since 1988: CAGR 10.36%, PNR 79% (23 of 289)
Last 20 years: CAGR 7.77%
Last 10 years: CAGR 7.01%
Last 5 years: CAGR 11.67%

Skiehawk’s Basic Mix (same months as above, but doesn’t use the technical indicator at all)
Since 1988: CAGR 10.67%, PNR 76% (22 of 29)
Last 20 years: CAGR 8.21%
Last 10 years: CAGR 7.88%
Last 5 years: CAGR 13.49%

C&F
This Mix uses only the C and F Funds when choosing the best fund for the month.

Jan: F Fund
Feb: F Fund
Mar: C Fund
Apr: C Fund
May: C Fund
Jun: F Fund
Jul: C Fund
Aug: F Fund
Sep: F Fund
Oct: C Fund
Nov: C Fund
Dec: C Fund

Since 1988: CAGR 14.42%, PNR 86% (25 of 29)
Last 20 years: CAGR 13.72%
Last 10 years: CAGR 12.72%
Last 5 years: CAGR 12.96%

S&F
This Mix uses only the S and F Funds when choosing the best fund for the month.

Jan: F Fund
Feb: S Fund
Mar: S Fund
Apr: S Fund
May: S Fund
Jun: F Fund
Jul: F Fund
Aug: F Fund
Sep: F Fund
Oct: F Fund
Nov: S Fund
Dec: S Fund

Since 1988: CAGR 14.55%, PNR 90% (26 of 29)
Last 20 years: CAGR 13.11%
Last 10 years: CAGR 13.65%
Last 5 years: 12.69%

I&F
This Mix uses only the I and F Funds when choosing the best fund for the month.

Jan: F Fund
Feb: F Fund
Mar: I Fund
Apr: I Fund
May: F Fund
Jun: F Fund
Jul: I Fund
Aug: F Fund
Sep: F Fund
Oct: I Fund
Nov: F Fund
Dec: I Fund

Since 1988: CAGR 13.29%, PNR 86% (25 of 29)
Last 20 years: CAGR 12.17%
Last 10 years: CAGR 12.39%
Last 5 years: CAGR 9.04%
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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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".