How Important is Std Dev for Daily Strategies?

[MakeMe$$$$]

I suppose the answer is "It Depends."

Consider this regarding Std Dev. The 3 items I'm listing are strategy #, Std Dev %, and Total % gain. I'm grouping the top 3 returns for each Std Dev band.

Statistics are from 2004 to today.

strategy #, Std Dev %, and Total % gain

Unfiltered
10339, 23.94, 7,523.28
12214, 22.76, 7,511.74
10321, 24.74, 7,504.51

Bonus...Mine
12767, 22.75, 7,127.08

Max 20% Std Dev
8497, 19.50, 6,762.20
12459, 18.39, 6,854.58
7474, 17.78, 6,671.71

Max 15% Std Dev
12523, 14.86, 6,276.62
12215, 14.22, 5,913.37
12365, 14.70, 5,771.73

Max 10% Std Dev
12466, 9.06, 1,848.11
12700, 7.92, 1,501.95
12699, 8.33, 1,492.27

If you had over 10 years left in your career, which of these would be your choice? Conversely, if you were within 5 years or retirement what would you choose? What if you are actually retired?

Obviously you can see that generally the higher the Std Dev, the higher the total returns. If you use tspcalc to look further down in each Std Dev band there are some exceptions within that band but for the most part the pattern I show is fairly constant.

Everyone's situation is different. I'm 4 years in to my CSRS retirement. I have a relatively small amount in TSP at about $36K. Between my CSRS, Social Security and my wife's state retirement it isn't a huge improvement to my standard of life but I wouldn't throw it away either.

My TSP is currently divided 50/50 between a strategy I get from Sector Surfer and my daily strategy 12767. I opted for a daily strategy with a couple less trades with a slightly lower return than the top performers.

[bamafamily]

Very nice Don....
I ran the Sharpe numbers against these and came up with the following:

Sharpe1.jpg

Also the comparison of everything in the pic.....I am still liking 12216 for the low Std Dev (volatility?) I might like to see what a "G" instead of "F" did to the numbers....
http://tspcalc.com/seasonal.php?ID=12216&years=04-17&benchmarks=12367-12466-7980-12666-12767

Bama

I suppose the answer is "It Depends."

Consider this regarding Std Dev. The 3 items I'm listing are strategy #, Std Dev %, and Total % gain. I'm grouping the top 3 returns for each Std Dev band.

Statistics are from 2004 to today.

strategy #, Std Dev %, and Total % gain

Unfiltered
10339, 23.94, 7,523.28
12214, 22.76, 7,511.74
10321, 24.74, 7,504.51

Bonus...Mine
12767, 22.75, 7,127.08

Max 20% Std Dev
8497, 19.50, 6,762.20
12459, 18.39, 6,854.58
7474, 17.78, 6,671.71

Max 15% Std Dev
12523, 14.86, 6,276.62
12215, 14.22, 5,913.37
12365, 14.70, 5,771.73

Max 10% Std Dev
12466, 9.06, 1,848.11
12700, 7.92, 1,501.95
12699, 8.33, 1,492.27

If you had over 10 years left in your career, which of these would be your choice? Conversely, if you were within 5 years or retirement what would you choose? What if you are actually retired?

Obviously you can see that generally the higher the Std Dev, the higher the total returns. If you use tspcalc to look further down in each Std Dev band there are some exceptions within that band but for the most part the pattern I show is fairly constant.

Everyone's situation is different. I'm 4 years in to my CSRS retirement. I have a relatively small amount in TSP at about $36K. Between my CSRS, Social Security and my wife's state retirement it isn't a huge improvement to my standard of life but I wouldn't throw it away either.

My TSP is currently divided 50/50 between a strategy I get from Sector Surfer and my daily strategy 12767. I opted for a daily strategy with a couple less trades with a slightly lower return than the top performers.

[fordest]

Very nice Don....

Also the comparison of everything in the pic.....I am still liking 12216 for the low Std Dev (volatility?) I might like to see what a "G" instead of "F" did to the numbers....
http://tspcalc.com/seasonal.php?ID=12216&years=04-17&benchmarks=12367-12466-7980-12666-12767

Bama

Like this?

http://tspcalc.com/seasonal.php?ID=14259&years=04-17&benchmarks=12367-12466-7980-12666-12767

[bamafamily]

Very nice! Thanks Fordest!
Average Excess Return = 27.74% (vs. 30.09%)
Std Dev = 10.91% (vs 11.63%)
Sharpe = 2.54 (vs. 2.59)
Enough to take over 2nd place....(from what I have calculated thus far)
(I have yet to actually execute a strategy on tspcalc.com...I am just analyzing all the great work everyone else has done....nice job to all...and especially to mjedlin....!!

http://tspcalc.com/seasonal.php?ID=12216&years=04-17&benchmarks=14259

Like this?

http://tspcalc.com/seasonal.php?ID=14259&years=04-17&benchmarks=12367-12466-7980-12666-12767

[evilanne]

Hey Bama...you have to try it! I think you will like it

[bamafamily]

Hey Bama...you have to try it! I think you will like it

I think I have convinced myself to do it...At least with 50% of my TSP if not all....
I have been running numbers and I cant find a reason not to...(except for only having 13 annual data points to compare)
I sort of wish I could get more data points before 2004....
I could use either Mutual Fund components or ETF's that go back another 15 years and closely correlate to the TSP....(except for G...but I am sure I could get close...)
It would be just a lot of work to do manually and currently that is one thing I am lacking....Time......

As for the IFT coming up on Monday....I am currently out of IFT's and sitting at 50F/25S/25I.
Since it looks like most of the strategies are going to "I" for 3 days, I need to come up with a plan. Since 12216 goes to "F" after 3 days, I might just go 50F/25G/25I for 3 days and then 50F/50G after that and then finally all "G" on the last day of the month... That would get me back in sync....

I guess I have until 11am CDT on Monday, huh?? lol
Bama

[12squared]

I suppose the answer is "It Depends."
Obviously you can see that generally the higher the Std Dev, the higher the total returns. If you use tspcalc to look further down in each Std Dev band there are some exceptions within that band but for the most part the pattern I show is fairly constant.

The trade-off between risk and reward is not apparent without also looking at the means. Using Mean/StdDev (or Sharpe ratio if you want to get more complicated) as a measure of risk, it appears from the attached graph that there is a sweet spot for means in the low 30s.

Risk vs Reward.png