Attn: Sigma Hunters
Moderator: Aitrus
- bamafamily
- Posts: 155
- Joined: Wed Aug 23, 2017 1:18 pm
Re: Attn: Sigma Hunters
I have been away for a little while..I decided to go Sigma hunting
I was looking for the lowest sigma as my ulcer % needs to stay very low....
IMHO I don't think the "F" fund is all that it once was so my other requirement was to replace all the "F" fund trades with "G" fund trades....(so my "F"=0)
My new guideline strategy (17842):
CAGR: 28.33
Std Dev: 2.45
Sigma: 11.56
CSI - 55.2%
I was looking for the lowest sigma as my ulcer % needs to stay very low....
IMHO I don't think the "F" fund is all that it once was so my other requirement was to replace all the "F" fund trades with "G" fund trades....(so my "F"=0)
My new guideline strategy (17842):
CAGR: 28.33
Std Dev: 2.45
Sigma: 11.56
CSI - 55.2%
Bama
- alphaalpha
- Posts: 37
- Joined: Thu Oct 02, 2008 2:04 pm
Re: Attn: Sigma Hunters
So what is the highest sigma strategy that does not use F? Or no F and no I? ( mainly no F)
- bamafamily
- Posts: 155
- Joined: Wed Aug 23, 2017 1:18 pm
Re: Attn: Sigma Hunters
The one in my signature line is not too shabby.alphaalpha wrote:So what is the highest sigma strategy that does not use F? Or no F and no I? ( mainly no F)
It does have “I” in it but it has no F.
Bama
Re: Attn: Sigma Hunters
The best I've found with no F and no I is 19656alphaalpha wrote:So what is the highest sigma strategy that does not use F? Or no F and no I? ( mainly no F)
29.01 Average (2004 - 2016)
4.64σ
Re: Attn: Sigma Hunters
http://tspcalc.com/seasonal.php?ID=1998 ... tby=stddev
19983
Mean 27.59
Std Dev: 1.90 (sigma =14.52)
CAGR: 27.57
G F C S I Total Compound Return: 2,924.84
43 2 16 34 4 Time In Stocks (C,S,I): 54.80
19983
Mean 27.59
Std Dev: 1.90 (sigma =14.52)
CAGR: 27.57
G F C S I Total Compound Return: 2,924.84
43 2 16 34 4 Time In Stocks (C,S,I): 54.80
Re: Attn: Sigma Hunters
Questioning the hunt for super high sigma. Would you not rather have a strategy with a mean of 32 and a std dev of 5 or 6? It would have a much higher upside and the down side would be just as high, if not higher than the means of all the super high sigma strats. It seems like a win/win. Same floor but way more potential. As I'm typing this, I have a feeling that I'm not thinking about it right. Is my thinking wrong?
Re: Attn: Sigma Hunters
Personal choice I guess. Lower SD, higher sigma is a smoother ride I guess. I can't decide. I just like sorting and looking at the choices.
Re: Attn: Sigma Hunters
Current best SD strats for the mean...
35/12+
34/10+
33/~8
32/5.25
31/~4
30/2.85
29/2.52
28/2.19
27/1.9
These are with no fund restrictions or filters. The 27/1.9 is very low F and I BTW.
Oddly, there are really no results like this for means of 26 and below.
Is ~25% 10 out of 10 years better than say
~25% 8 of 10 years with one year at ~20% and one year ~30%
35/12+
34/10+
33/~8
32/5.25
31/~4
30/2.85
29/2.52
28/2.19
27/1.9
These are with no fund restrictions or filters. The 27/1.9 is very low F and I BTW.
Oddly, there are really no results like this for means of 26 and below.
Is ~25% 10 out of 10 years better than say
~25% 8 of 10 years with one year at ~20% and one year ~30%
- bamafamily
- Posts: 155
- Joined: Wed Aug 23, 2017 1:18 pm
Re: Attn: Sigma Hunters
Agreed....you have to draw the line somewhere....
Is 33/7 better than 30/4 or than 27/2...
I guess it all depends on your level of comfort with possible swings in the market....
Me personally, I think a lower std Deviation shows more robustness across different types of market situations....60% 1 year followed by a 15% year tells me that the strategy was super tuned for the first year but did not fare near as well in the second year.....
given the short timeframe I have until retirement, I want the lowest std Dev which has the better chance of returning the ~~same average amount over the next 4-6 years....(I don't need a 2% year from some wild strategy that Swings a lot and then have to wait 3 years for the 60% return....I just don't have that amount of time to deal with that...)
My 2 cents....
Is 33/7 better than 30/4 or than 27/2...
I guess it all depends on your level of comfort with possible swings in the market....
Me personally, I think a lower std Deviation shows more robustness across different types of market situations....60% 1 year followed by a 15% year tells me that the strategy was super tuned for the first year but did not fare near as well in the second year.....
given the short timeframe I have until retirement, I want the lowest std Dev which has the better chance of returning the ~~same average amount over the next 4-6 years....(I don't need a 2% year from some wild strategy that Swings a lot and then have to wait 3 years for the 60% return....I just don't have that amount of time to deal with that...)
My 2 cents....
onerepmax wrote:Personal choice I guess. Lower SD, higher sigma is a smoother ride I guess. I can't decide. I just like sorting and looking at the choices.
Bama
Re: Attn: Sigma Hunters
Same, but then I say I have high tolerance for risk...
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- Posts: 353
- Joined: Mon Jul 02, 2012 1:38 pm
Re: Attn: Sigma Hunters
You are right to question this but you need to determine which strategy fits your risk tolerance.Jones44 wrote:Questioning the hunt for super high sigma. Would you not rather have a strategy with a mean of 32 and a std dev of 5 or 6? It would have a much higher upside and the down side would be just as high, if not higher than the means of all the super high sigma strats. It seems like a win/win. Same floor but way more potential. As I'm typing this, I have a feeling that I'm not thinking about it right. Is my thinking wrong?
High sigma strategies give up maximum return for safety (and will under perform a straight C fund buy&hold strategy during the "good" years).
The strategies with the highest returns generally greatly out perform the stock market (C fund B&H) during the good years as well as the bad years but can have returns as low as 14.91% for #16870.
2007 C fund = +5.55% #16870 = +14.91%
2008 C fund = -36.99% #16870 = +93.86%
2009 C fund = +26.67% #16870 = +110.0%
2015 C fund = +1.46% #16870 = +15.97%
The high sigma strategies will beat the returns of the high mean strategies on some years but will never give the possibility of a 110% return.
Even middle of the road strategies like #7980 have 78% years with very few years under 25%.
So, pick what's best for you:
buy & hold C fund (11% average over last 25 years--better than 80% of mutual funds)
extreme safety (with a very, very good return approx 25%)
maximum return (with better than average lows and astronomical highs)
middle ground (best of all?)
All of them are better than the 5-7% that the financial advisers say you'll get.
Last edited by mindofmush on Wed Dec 13, 2017 3:11 pm, edited 1 time in total.
mo meng, mo ching (which loosely means: no money, no life)
Re: Attn: Sigma Hunters
I included all complete years in my search (2017 excluded).
I calculated the theoretical dollar amounts using the TSP’s “How Much Will My Savings Grow?” calculator.
StdDev no greater than 2% = 20094
Mean: 28.04
StdDev: 1.97
Sigma: 14.23σ
TSPHMWMSG: $5,756,502.25
StdDev no greater than 3% = 17619
Mean: 30.34
StdDev: 2.98
Sigma: 10.18σ
TSPHMWMSG: $7,797,972.89
StdDev no greater than 4% = 19627
Mean: 31.69
StdDev: 3.98
Sigma: 7.96σ
TSPHMWMSG: $9,312,532.71
StdDev no greater than 5% = 17835
Mean: 32.23
StdDev: 4.82
Sigma: 6.68σ
TSPHMWMSG: $9,996,120.39
StdDev no greater than 6% = 19046
Mean: 32.71
StdDev: 5.34
Sigma: 6.12σ
TSPHMWMSG: $10,644,888.30
StdDev no greater than 7% drops below “Six Sigma” so is excluded.
I calculated the theoretical dollar amounts using the TSP’s “How Much Will My Savings Grow?” calculator.
StdDev no greater than 2% = 20094
Mean: 28.04
StdDev: 1.97
Sigma: 14.23σ
TSPHMWMSG: $5,756,502.25
StdDev no greater than 3% = 17619
Mean: 30.34
StdDev: 2.98
Sigma: 10.18σ
TSPHMWMSG: $7,797,972.89
StdDev no greater than 4% = 19627
Mean: 31.69
StdDev: 3.98
Sigma: 7.96σ
TSPHMWMSG: $9,312,532.71
StdDev no greater than 5% = 17835
Mean: 32.23
StdDev: 4.82
Sigma: 6.68σ
TSPHMWMSG: $9,996,120.39
StdDev no greater than 6% = 19046
Mean: 32.71
StdDev: 5.34
Sigma: 6.12σ
TSPHMWMSG: $10,644,888.30
StdDev no greater than 7% drops below “Six Sigma” so is excluded.
Re: Attn: Sigma Hunters
Further analysis:
Going from 20094 (2%) to 17619 (3%) there is a 35.46% increase in theoretical savings with a 39.78% decrease in Sigma.
Going from 17619 (3%) to 19627 (4%) there is a 19.42% increase in theoretical savings with a 27.88% decrease in Sigma.
Going from 19627 (4%) to 17835 (5%) there is a 7.34% increase in theoretical savings with a 19.16% decrease in Sigma.
Going from 17835 (5%) to 19046 (6%) there is a 6.49% increase in theoretical savings with a 9.15% decrease in Sigma.
Going from NGT* 2% to 3% appears to have a roughly equal trade off between increase in theoretical savings to loss of Sigma (11.48% difference between savings to Sigma).
Going from NGT 3% to 4% has a still respectable increase in theoretical savings but a larger loss of Sigma (35.77 difference between savings to Sigma).
Going from NGT 4% to 5% has a small increase in theoretical savings especially when compared to the big drop in Sigma (89.20% difference between savings to Sigma).
Going from NGT 5% to 6% has a small increase in theoretical savings and roughly equal loss of Sigma (34.01% difference between savings to Sigma).
*No greater than
Going from 20094 (2%) to 17619 (3%) there is a 35.46% increase in theoretical savings with a 39.78% decrease in Sigma.
Going from 17619 (3%) to 19627 (4%) there is a 19.42% increase in theoretical savings with a 27.88% decrease in Sigma.
Going from 19627 (4%) to 17835 (5%) there is a 7.34% increase in theoretical savings with a 19.16% decrease in Sigma.
Going from 17835 (5%) to 19046 (6%) there is a 6.49% increase in theoretical savings with a 9.15% decrease in Sigma.
Going from NGT* 2% to 3% appears to have a roughly equal trade off between increase in theoretical savings to loss of Sigma (11.48% difference between savings to Sigma).
Going from NGT 3% to 4% has a still respectable increase in theoretical savings but a larger loss of Sigma (35.77 difference between savings to Sigma).
Going from NGT 4% to 5% has a small increase in theoretical savings especially when compared to the big drop in Sigma (89.20% difference between savings to Sigma).
Going from NGT 5% to 6% has a small increase in theoretical savings and roughly equal loss of Sigma (34.01% difference between savings to Sigma).
*No greater than
- bamafamily
- Posts: 155
- Joined: Wed Aug 23, 2017 1:18 pm
Re: Attn: Sigma Hunters
Nice calculations Rothwell...I assume you mean increase in Sigma?? (as in it gets worse???) tomato, tomaato...I know)Rothwell wrote:Further analysis:
Going from 20094 (2%) to 17619 (3%) there is a 35.46% increase in theoretical savings with a 39.78% decrease in Sigma.......
Bama
Re: Attn: Sigma Hunters
Yes, the Sigma gets worse as the StdDev goes up.
My thoughts are these:
If playing it safe is your primary concern then the leader in not greater than 2% (20094) has an amazingly high mean to low StdDev, but swinging up to 3% (17619) will perform even better over time with a still really good mean to StdDev.
However, my money is on 4% (19627). The significant increase in theoretical savings when compared to 3% or 2% is worth the risk. 19627's worse year was 2007 with 24.60% return and is an outlier.
The loss of Sigma to the low increase in theoretical savings doesn't make 5% (17835) or 6% (19046) that attractive, unless perhaps someone has a short window of time to retirement...
My thoughts are these:
If playing it safe is your primary concern then the leader in not greater than 2% (20094) has an amazingly high mean to low StdDev, but swinging up to 3% (17619) will perform even better over time with a still really good mean to StdDev.
However, my money is on 4% (19627). The significant increase in theoretical savings when compared to 3% or 2% is worth the risk. 19627's worse year was 2007 with 24.60% return and is an outlier.
The loss of Sigma to the low increase in theoretical savings doesn't make 5% (17835) or 6% (19046) that attractive, unless perhaps someone has a short window of time to retirement...
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