Seasonal Musings 2018

General TSP Discussion.

Moderator: Aitrus

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Aitrus
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Re: Seasonal Musings 2018

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 10.67%, PNR 80% (24 of 30)
Last 20 years: CAGR 6.68%, PNR 75%
Last 10 years: CAGR 8.49%, PNR 80%
Last 5 years: CAGR 12.41%, PNR 100%

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 14.37%, PNR 87% (26 of 30)
Last 20 years: CAGR 13.27%, PNR 85%
Last 10 years: CAGR 13.47%, PNR 80%
Last 5 years: CAGR 16.08%, PNR 100%

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 14.31%, PNR 90% (27 of 30)
Last 20 years: CAGR 12.90%, PNR 90%
Last 10 years: CAGR 13.91%, PNR 90%
Last 5 years: CAGR 13.12%, PNR 100%

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 13.32%, PNR 87% (26 of 30)
Last 20 years: CAGR 13.01%, PNR 90%
Last 10 years: CAGR 12.73%, PNR 80%
Last 5 years: CAGR 10.68%, PNR 80%
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 2018

Post by Aitrus »

Final thoughts to start off 2018

And that’s the system folks! It’s a simple concept, but there’s a TON of data there to sift through. Feel free to ask questions in this thread if there’s something you don’t understand or want clarification on. In the end I think this is a good system to follow. Remember my criteria for a good system:

1. Has positive annual returns at least 80% of the time.
2. Has consistent annual returns of at least 12% CAGR.
3. Makes sense and follows the data.

A lot of these Mixes meet those criteria, and following any of them would not be a bad thing in my opinion. All have data to back up their choices, and all beat buy-and-hold for those that can stomach the rough times. Some are more popular than others. The most popular ones are (in order of preference as far as I can tell) gclapper’s Mix, tmj100’s Mix, Jahbulon’s Mix and Boltman’s Mix.

In the end, this project is all about making money and having a secure retirement. If this thread helps even a few people reach that goal (myself included), then I will have considered it time well spent. I don’t get anything from doing this, other than to have other minds assess the work and point out improvements. I’m absolutely in this for the money, but I don’t get a cent for doing it. It’s kind of funny how it works out that way.

I don’t have much more to say, so I’ll leave you with this gem from one of the forum members:

“The Seasonal Strategy has its faults as do most systems. The one thing I like about the Seasonal Strategy, however, is the statistics based approach. Will it keep you from losing money? Nope...What it does give you, however, is your best chance at picking the right fund to be in at the right time based on your level of risk tolerance. You can never be 100% correct 100% of the time. But you can give yourself the best chance by using the statistics involved...you might lose some but you stand a good chance of gaining a lot more than you lose. Cheers and best of luck to you! Choose your strategy wisely!” – Chulke
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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evilanne
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Re: Seasonal Musings 2018

Post by evilanne »

Thank You Aitrus! Don't forget to update your signature block!

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mjedlin66
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Re: Seasonal Musings 2018

Post by mjedlin66 »

Aitrus, member of the year 2018!
Owner/creator of TSPcalc.com - "Know your numbers"

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cswift01
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Re: Seasonal Musings 2018

Post by cswift01 »

Thanks. I always enjoy reading your perspective.

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Ofsthun01
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Re: Seasonal Musings 2018

Post by Ofsthun01 »

Always good stuff!
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Bernpaud
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Re: Seasonal Musings 2018

Post by Bernpaud »

Thank you Sir!
Seasonals? Charts? Momentum?, The Hot Hand? 1% mo. and flee to G?...choices, choices

iraqvetx70
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Re: Seasonal Musings 2018

Post by iraqvetx70 »

Your annual musings are easily digested and greatly appreciated...again. '16, '17 and now '18 musing threads are exactly what I show to all my colleagues with an interest in tweaking the TSP through seasonal strategies, vice buy and hold.

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dougellen1
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Re: Seasonal Musings 2018

Post by dougellen1 »

Thanks Aitrus. Great post...as usual. Let's all make some serious money going forward!!!!

gunner22
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Re: Seasonal Musings 2018

Post by gunner22 »

Thanks Aitrus - very informative, we appreciate your generosity, you have put in a great effort.

Ericdelee
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Joined: Thu May 30, 2013 7:09 pm

Re: Seasonal Musings 2018

Post by Ericdelee »

Hello... I think this is my first post here.
Aitrus; great writeup. I’ll be following these posts closely. Is there any chance you can share with us you Annual gains in TSP for the past five years or so?

I’m hoping to see some “real” numbers as applied through the patterns you’ve used?
I’ve been working on retirement “projections” for a while now on my spreadsheet and aim for “6%” gains each year as an average. But I’ve been averaging 10-17%. Just curious if I can keep it up! Thanks and once again; great posts!

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Aitrus
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Re: Seasonal Musings 2018

Post by Aitrus »

For February 2018
Last chance to move: Wednesday, 31 January before noon EST

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

G Fund

Since 1988: 0.38%
Last 20 years: 0.29%
Last 10 years: 0.18%
Last 5 years: 0.15%

February is arguably the worst month of the year for the G Fund. The 2017 return was 0.18%.

F Fund – A “good” month is a CAGR of 0.5% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.32%, PNR 73%
Last 20 years: CAGR 0.35%, PNR 75%
Last 10 years: CAGR 0.21%, PNR 80%
Last 5 years: CAGR 0.32%, PNR 80%

February isn’t exactly the best month for the F Fund. The PNRs aren’t bad, but the CAGRs don’t fit into the “good” standard.

The best years were 1995 (2.38%), 1993 (1.73%) and 2007 (1.53%). The worst years were 1996 (-1.75%), 1999 (-1.74%) and 1994 (-1.72%).

C Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.58%, PNR 63%
Last 20 years: CAGR 0.09%, PNR 55%
Last 10 years: CAGR 1.13%, PNR 70%
Last 5 years: CAGR 3.09%, PNR 80%

The C Fund does ok in February. In particular, the last 8 years have been nice, with 2016 having the only loss during that time, returning -0.12%, which is easily within a single day’s trading.

The best years were 1998 (7.20%), 1991 (7.07%) and 2015 (5.75%). The worst years were 2009 (-10.64%), 2001 (-9.12%) and 2008 (-3.28%).

S Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.24%, PNR 63%
Last 20 years: CAGR 0.80%, PNR 60%
Last 10 years: CAGR 1.54%, PNR 80%
Last 5 years: CAGR 3.06%, PNR 100%

The S Fund has had a run of 8 straight positive Feb returns since 2010. Long term, the S Fund does ok in February.

The best years were 2000 (15.55%), 1991 (9.10%) and 1998 (7.65%). The worst years were 2001 (-12.15%), 2009 (-10.22%) and 1999 (-5.44%).

I Fund - A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.60%, PNR 60%
Last 20 years: CAGR 0.44%, PNR 60%
Last 10 years: CAGR 0.57%, PNR 60%
Last 5 years: CAGR 1.78%, PNR 60%

The I Fund’s February profile doesn’t meet the “good month”, but it isn’t bad either. It’s a so-so month.

The best years were 1991 (10.56%), 1988 (6.56%), and 1998 (6.29%). The worst years were 2009 (-10.23%), 2001 (-7.5%), and 1990 (-7.09%).

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 February 2018.


Jahbulon’s Basic Seasonal Mix: Move to the S Fund.
gclapper’s M3 Mix: Move to the S Fund
TSPCenter.com’s Seasonal Mix: Move to the G Fund.
tmj100’s Mix: Remain in the C Fund.
Boltman’s Mix: Remain in the F 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

Ericdelee
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Re: Seasonal Musings 2018

Post by Ericdelee »

Thank you, Aitrus.

OkieTSPer
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Re: Seasonal Musings 2018

Post by OkieTSPer »

Thanks Aitrus. Your Seasonal Musings gave me focus for my TSP investing and account management. Thanks again.

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Aitrus
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Re: Seasonal Musings 2018

Post by Aitrus »

Hey, everybody. I apologize that it took me longer than usual to get this posted. I used to be able to go in to work early, do the calculations and type the update during breaks or over lunch, then post it from my machine when it was done and get on with my day. Now, however, with the site being blocked on DoD servers, I have to wait until I have free time at home to get the updates calculated and posted. Please bear with me while I get used to this new schedule.

Rest assured that even if it takes me a little longer to do the post-month results, I will absolutely get the upcoming month post done before the last trading day of the month. I don't know for sure how many people rely on the analysis I present, but I don't want to let any of them down.

Ok, back to your regularly scheduled thread posting.

Seasonal Strategy Results for January 2018

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: 0.20%, 0.20% Year to Date (YTD), PNR remains 100%
Jan Total CAGR = 0.41%
Jan 20 year CAGR = 0.30%
Jan 10 year CAGR = 0.20%
Jan 5 year CAGR = 0.20%

This was a pretty good month for the G Fund. 2017’s return was 0.20%.

F Fund:
-1.14%, -1.14% YTD
Jan Total CAGR = 0.60%, PNR 77%
Jan 20 year CAGR = 0.57%, PNR 80%
Jan 10 year CAGR = 0.54%, PNR 70%
Jan 5 year CAGR = 0.85%, PNR 80%

January is normally a good time of year for the F Fund, but this year saw the third worst F Fund return for Jan on record. 2017’s return was 0.23%.

C Fund: 5.72%, 5.72% YTD
Jan Total CAGR = 0.34%, PNR 58%
Jan 20 year CAGR = -0.46%, PNR 50%
Jan 10 year CAGR = -0.48%, PNR 50%
Jan 5 year CAGR = -0.83%, PNR 40%

This year the C Fund started off with a massive bang and posted its third largest January return. This return was far outside the range of normal expectation for this time of year, and we shouldn’t expect to see this kind of activity on a regular basis. This positive Jan return extends a continual streak of positive monthly returns that started way back in Nov 2016. That’s 15 straight months of positive gains, folks. 2017’s return was 1.90%.

S Fund: 3.34%, 3.34% YTD
Jan Total CAGR = 0.64%, PNR 61%
Jan 20 year CAGR = 0.06%, PNR 50%
Jan 10 year CAGR = -0.32%, PNR 50%
Jan 5 year CAGR = -1.49%, PNR 40%

The S Fund had a good January. Not as impressive as the C Fund, but still pretty respectably above the historical norms. 2017’s return was 2.16%.

I Fund: 5.00%, 5.00% YTD
Jan Total CAGR = -0.69%, PNR 48%
Jan 20 year CAGR = -1.30%, PNR 45%
Jan 10 year CAGR = -0.70%, PNR 60%
Jan 5 year CAGR = -0.20%, PNR 60%

The I Fund kicked off 2018 in a good way as well. This year’s return was far above average, and is the fourth best on record for January. 2017’s return was 2.89%

Currently Tracked Seasonal Strategies
Jahbulon's Basic Mix: F Fund in Jan (-1.14%), -1.14% YTD, PIP 12.73%
gclapper’s M3 Mix: F Fund in Jan (-1.14%), -1.14% YTD, PIP 15.43%
TSPCenter.com's Default Setting: F Fund in Jan (-1.14%), -1.14% YTD, PIP 6.08%
tjm100’s Mix: F Fund in Jan (-1.14%), -1.14% YTD, PIP 15.78%
Boltman's Mix: F Fund in Jan (-1.14%), -1.14% YTD, PIP 10.27%
Sell in May and Go Away: C Fund in Jan (5.72%), 5.72% YTD, PIP 19.67%
G all year, S in Dec Mix: G Fund in Feb (0.20%), 0.58% YTD

Jan 2018 started out well for stocks, but not so for bonds. It’s one of those times when the expected 30% failure rate worked into the system is raising its ugly head. All of the main Mixes took a hit this month due to being in the F Fund.

In addition to my normal updates, you’ll notice that I’m adding monthly PIP results to the Mixes. This is an effort to show a sense of how the strategy has worked in the last 12 months, and hopefully help calm the emotions and jitters that a lot of folks are feeling right about now.

I’ll shortly be doing a post specifically addressing the PIP history for each Mix. It’s pretty enlightening, I 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

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Fund Prices2024-03-27

FundPriceDayYTD
G $18.14 0.01% 1.00%
F $19.09 0.26% -0.68%
C $82.11 0.87% 10.42%
S $82.19 1.48% 6.61%
I $42.68 0.56% 6.21%
L2065 $16.38 0.84% 8.36%
L2060 $16.38 0.84% 8.36%
L2055 $16.39 0.84% 8.36%
L2050 $32.73 0.71% 6.94%
L2045 $14.91 0.67% 6.56%
L2040 $54.37 0.63% 6.20%
L2035 $14.34 0.58% 5.77%
L2030 $47.66 0.53% 5.35%
L2025 $13.14 0.31% 3.40%
Linc $25.60 0.24% 2.79%

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".