Seasonal Musings 2015

[Aitrus]

Welcome to the 2015 edition of Seasonal Musings! I’ve decided to put together this lengthy thread because it seems like there’s a dearth of information for active movers and market timers here at TSP Center. However, there’s not much information readily available on more passive seasonal strategies since Jahbulon went quiet a while ago 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. The original Seasonal Musings thread from 2014 is here: viewtopic.php?f=14&t=10382

(A note to those that followed that old thread: this thread has had a few revisions and updates in the early “introduction” posts from the old one. 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. 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. That said, 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 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 “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 to determine our odds.

An example of how seasonal strategies work is like this: since 1988 the S fund has been positive in December 24 out of 27 times, or 89% of the time. Over that time, it has a Cumulative Annual Growth Rate (CAGR – aka: average rate of return) of 3.31%. In the last 20 years it has been positive 17 times (85%), with a CAGR of 3.21%. And in the last 10 years has been positive 8 times, with a CAGR of 2.49%. The last 5 years has been positive 4 of 5 times, and the CAGR has been 2.76%. Of those 3 negative Decembers since 1988, the returns were -4.32% (2002), -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, but if it ends up being a negative month then it’s likely to be minor, so his risk of being in the market during December is small for the gains he's likely to get. December is a good bet.

The seasonal strategy takes 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 fund managers 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 effect is often called the “Santa Clause Rally”.

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 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 (C Fund) has a historical 1988 – 2014 CAGR of 10.43% while the Wilshire 4500 (S Fund) has a CAGR of 11.7% for the same time period. If I can beat those benchmarks, then I will be winning over Buy and Hold.

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. It’s like technical analysis in that you can use technicals 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. This is a positive so long as you stick to the plan and don't let emotion in the way. 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.

- Simple: only 6 moves a year.

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 a positive for the F fund (0.62%), the S fund came back strong and had a return of 5.43%. This mistake on my part has 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 loss” 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 also 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 during certain times. 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 follow 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.

- 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 absolutely impact the F Fund, and to a smaller extent the G Fund.

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 fund (which TSP has back to 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 (I fund goes back to Jan 2001) 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 those 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 tracking. They are as follows:

- TSP Center’s default setting on the “TSP Seasonal Calculator” page.

- Jahbulon’s Basic Mix

- Jahbulon’s SMA Mix

- Boltman’s Mix

- Skiehawk’s EMA 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 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 Skiehawk’s EMA 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, and the Seasonal Mix overview posts.

[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”.

All the average figures I quote will use the Cumulative Annual Return Rate (CAGR), sometimes called the Compound Annual Return. 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. The straight average gain per year would be a 25% gain, but the real number is 0% because it takes into account the negative compounding factor. CAGR is the 0% figure, and it’s 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 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.

What is the “good month” standard? When I 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 a 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.

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 2.19%, or about 0.18% per month, while the F Fund has returned an annual CAGR of 4.73%, or about 0.39% per month, with PNRs ranging for 40% (Mar, Dec) to 100% (Feb, Apr, Oct). 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.
 

[Aitrus]

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. 2014’s return was 2.31% for the year, with 0.17% in Nov being the lowest month. 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. 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 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: 5.36%
Best monthly average: July at 0.46%
Worst monthly average: Feb at 0.4%
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: 4.72%
Best monthly average: July at 0.39%
Worst monthly average: Feb at 0.34%

Last 10 years:
Overall CAGR: 3.19%
Best monthly average: July at 0.29%
Worst monthly average: Feb at 0.24%

Last 5 years:
Overall CAGR: 2.19%
Best monthly average: Jan, Mar, Apr, May all have 0.2%
Worst monthly average: Sep at 0.17%
 

[Aitrus]

F Fund

This fund has its ups and downs, and 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 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: 6.66%
Pos/Neg Ratio (PNR): 24 of 27, or 89% years are positive
Lowest years: -2.97% (1994), -0.86% (1999) and -1.68% (2013)

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 0.58%, PNR of 78% (21 of 27), lowest return was -1.38% (1990), highest return was 1.98% (1995)
Feb: CAGR of 0.34%, PNR of 74% (20 of 27), low was -1.74% (1999), best was 2.38% (1995)
Mar: CAGR of -0.08%, PNR of 44% (12 of 27), low was -2.45% (1994), best was 1.38% (2009)
Apr: CAGR of 0.45%, PNR of 59% (16 of 27), low was -2.54% (2004), best was 2.05% (1989)
May: CAGR of 0.64%, PNR of 67% (18 of 27), low was -1.78% (2013), best was 3.84% (1995)
Jun: CAGR of 0.66%, PNR of 70% (19 of 27), low was -1.53% (2013), best was 3.19% (1989)
Jul: CAGR of 0.77%, PNR of 70% (19 of 27), low was -2.51% (2003), best was 2.69% (1997)
Aug: CAGR of 0.72%, PNR of 74% (20 of 27), low was -1.48% (1989), best was 2.12% (1991)
Sep: CAGR of 0.77%, PNR of 82% (23 of 27), low was -1.47% (1994), best was 2.68% (2003)
Oct: CAGR of 0.51%, PNR of 74% (20 of 27), low was -2.4% (2009), best was 2.45% (1989)
Nov: CAGR of 0.5%, PNR of 67% (18 of 27), low was 1.37% (2001), best was 3.3% (2008)
Dec: CAGR of 0.61%, PNR of 70% (19 of 27), low was -1.55%, best was 3.73% (2008)

Last 20 years:
Overall CAGR: 6.3%
PNR: 90% (19 of 20)
Good months:
Jan: CAGR 0.65%, PNR 85%
Apr: CAGR 0.5%, PNR 70%
Aug: CAGR 0.85%, PNR 75%
Sep: CAGR 0.79%, PNR 85%
Worst months:
Mar: CAGR 0%, PNR 55%

Last 10 years:
Overall CAGR: 4.89%
PNR: 90%
Good months:
Jan: CAGR 0.51%, PNR 80%
Apr: CAGR 0.74%, PNR 80%
Aug: CAGR 0.92%, PNR 90%
Nov: CAGR 0.79%, PNR 70%
Worst months:
Mar: CAGR -0.05%, PNR 50%
Dec: CAGR 0.22%, PNR 50%

Last 5 years:
Overall CAGR: 4.73%
Best Months:
Jan: CAGR 0.71%, PNR 80%
Apr: CAGR 1.08%, PNR 100%
Jul: CAGR 0.79%, PNR 80%
Aug: CAGR 0.69%, PNR 80%
Oct: CAGR 0.5%, PNR 100%
Worst months:
Mar: CAGR -0.15%, PNR 40%
Jun: -0.02%, PNR 60%
Nov: CAGR 0%, PNR 60%
Dec: CAGR -0.11%, PNR 40%

[Aitrus]

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 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: 10.43%
PNR: 81.5% (22 of 27)
Best years: 37.39% (1995), 33.17% (1997), 32.45% (2013), 31.02% (1989)
Lowest years: -37% (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 0.41%, PNR 59% PNR (16 of 27), low was -8.41% (2009), best was 7.14% (1989)
Feb: CAGR 0.3%, PNR 63% (17 of 27), low was -10.64% (2009), best was 7.2% (1998)
Mar: CAGR 1.41%, PNR 70% (19 of 27), low was -6.33% (2001), best was 9.74% (2000)
Apr: CAGR 1.83%, PNR 74% (20 of 27), low was -6.06% (2002), best was 9.58% (2009)
May: CAGR 1.31%, PNR 70% (19 of 27), low was -7.99% (2010), best was 9.44% (1990)
Jun: CAGR -0.22%, PNR 56% (15 of 27), low was -8.41% (2008), best was 5.54% (1999)
Jul: CAGR 0.98%, PNR 48% (13 of 27), low was -7.7% (2002), best was 8.83% (1989)
Aug: CAGR -0.65%, PNR 59% (16 of 27), low was -14.47% (1998), best was 6.19% (2000)
Sep: CAGR -0.2%, PNR 52% (14 of 27), low was -10.87% (2002), best was 8.92% (2010)
Oct: CAGR 1.4%, PNR 67% (18 of 27), low was -16.83% (2008), best was 10.93% (2011)
Nov: CAGR 1.53%, PNR 70% (19 of 27), low was -7.87% (2000), best was 7.62% (2001)
Dec: CAGR 1.97%, PNR 85% (23 of 27), low was -5.85% (2002), best was 11.41% (1991)

Last 20 years:
Overall CAGR: 9.2%
PNR: 80% (16 of 20)
Good Months:
Mar: CAGR 1.85%, PNR 75%
Apr: CAGR 2.22%, PNR 75%
Nov: CAGR 1.99%, PNR 80%
Dec: CAGR 1.57%, PNR 80%
Worst Months:
Feb: CAGR -0.1%, PNR 60%
Jun: CAGR -0.2%, PNR 65%
Aug: CAGR -0.79%, PNR 60%
Sep: CAGR -0.02%, PNR 60%

Last 10 years:
Overall CAGR: 7.72%
PNR: 90%
Good months:
Mar: CAGR 2.26%, PNR 80%
Apr: CAGR 2.45%, PNR 80%
Dec: CAGR 1.46%, PNR 80%
Worst Months:
Jan: CAGR -0.86%, PNR 50%
May: CAGR -0.06%, PNR 60%
Jun: CAGR -1.23%, PNR 50%

Last 5 years:
Overall CAGR: 15.5%
PNR: 100%
Good Months:
Feb: CAGR 3.36%, PNR 100%
Mar: CAGR 2.77%, PNR 100%
Apr: CAGR 1.31%, PNR 80%
Oct: CAGR 3.9%, PNR 80%
Nov: CAGR 1.21%, PNR 80%
Dec: CAGR 2.16%, PNR 80%
Worst Months:
May: CAGR -2.18%, PNR 40%
Jun: CAGR -0.46%, PNR 40%
Aug: CAGR -1.39%, PNR 40%
 

[Aitrus]

S Fund

This tracks the Wilshire 4500 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, etc). TSP has information for the S fund going back to 2001. I went to the Wilshire website to find the information that goes back to 1988 for my purposes.

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%.

Since 1988:
Overall CAGR: 11.7%
PNR: 74% (20 of 27)
Lowest years: -38.32 (2008), -18.14% (2002), -15.78% (2000), -9.03% (2001), -6.45% (1990), -3.4% (2012), -2.66% (1994)
Best years: 43.47% (1991), 42.91% (2003), 42.39% (1999), 38.36% (2013)

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 0.95%, PNR 63% (17 of 27), low was -8.53% (1990), best was 7.59% (2012)
Feb: CAGR 1.05%, PNR 59% (16 of 27), low was -12.15% (2001), best was 15.55% (2000)
Mar: CAGR 1.22%, PNR 70% (19 of 27), low was -9.18% (2001), best was 8.64% (2009)
Apr: CAGR 1.63%, PNR 70% (19 of 27), low was -12.03% (2000), best was 15% (2009)
May: CAGR 1.14%, PNR 63% (17 of 27), low was -7.38% (2000), best was 9.95% (1997)
Jun: CAGR 0.35%, PNR 59% (16 of 27), low was -7.63% (2008), best was 12.01% (2000)
Jul: CAGR -0.01%, PNR 44% (12 of 27), low was -9.93% (2002), best was 8.66% (2009)
Aug: CAGR 0.04%, PNR 63% (17 of 27), low was -19.38% (1998), best was 11.16% (2000)
Sep: CAGR -0.01%, PNR 63% (17 of 27), low was -12.5% (2001), best was 11.47% (2010)
Oct: CAGR 0.34%, PNR 59% (16 of 27), low was -20.99% (2009), best was 14.09% (2011)
Nov: CAGR 1.16%, PNR 70% (19 of 27), low was -17.03% (2000), best was 8.44% (1999)
Dec: CAGR 3.31%, PNR 89% (24 of 27), low was -4.32% (2002), best was 13.78% (1999)

Last 20 years:
Overall CAGR: 10.91%
PNR: 75%
Good Months:
Mar: CAGR 1.38%, PNR 70%
Apr: CAGR 1.94%, PNR 70%
Nov: CAGR 1.51%, PNR 80%
Dec: CAGR 3.21%, PNR 85%
Worst Month:
Jul: CAGR -0.64%, PNR 35%

Last 10 years:
Overall CAGR: 9.44%
PNR: 80%
Good months:
Mar: CAGR 2.55%, PNR 70%
Apr: PNR 2.35%, PNR 70%
Dec: CAGR 2.49%, PNR 80%
Worst Months:
Jun: CAGR -0.79%, PNR 50%
Aug: CAGR -0.02%, PNR 50%
Oct: CAGR -0.08%, PNR 60%

Last 5 years:
Overall CAGR: 17.14%
PNR: 80%
Best Months:
Feb: CAGR 3.95%, PNR 100%
Mar: CAGR 3.11%, PNR 80%
Oct: CAGR 4.74%, PNR 80%
Nov: CAGR 1.56%, PNR 80%
Dec: CAGR 2.76%, PNR 80%
Worst Months:
May: CAGR -2.38%, PNR 40%
Jun: CAGR -0.59%, PNR 40%
Aug: CAGR -1.72%, PNR 40%

[Aitrus]

I Fund

This fund’s information on tsp.gov goes back to only 2001, so that’s 14 years of data to work with. It’s only used in one seasonal formulation that I’m tracking: Boltman’s Mix. 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 collapse in 1998 – 2002 or the EU’s confiscation of 10% of assets in Cyprus banks in 2013, for example. One of my first projects for 2015 is to expand my data set for this fund back to 1988. This will give us a better comparison as to how this Fund performs against the other Funds.

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%.

Since 2001:
Overall CAGR: 3.86%
PNR: 64% (9 of 14)
Best years: 37.92% (2003), 30.04% (2009), 22.13% (2013)
Worst years: -42.43% (2008), -21.94% (2001), -15.96% (2002)

Monthly profile since 2001: Consider a “good” S Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Jan: CAGR -1.58%, PNR 43% (6 of 14), low was -11.93% (2009), best was 6.14% (2006)
Feb: CAGR -0.13%, PNR 57% (8 of 14), low was -10.23% (2009), best was 5.58% (2014)
Mar: CAGR 0.87%, PNR 64% (9 of 14), low was -6.67% (2001), best was 7.2% (2009)
Apr: CAGR 3.28%, PNR 71% (10 of 14), low was -2.35% (2010), best was 12.13% (2009)
May: CAGR -0.95%, PNR 50% (7 of 14), low was -11.4% (2012), best was 13.41% (2009)
Jun: CAGR -0.6%, PNR 50% (7 of 14), low was -8.15% (2008), best was 7.08% (2012)
Jul: CAGR 0.41%, PNR 50% (7 of 14), low was -9.99% (2002), best was 10.78% (2010)
Aug: CAGR -0.35%, PNR 43% (6 of 13), low was -9.03% (2011), best was 4.87% (2009)
Sep: CAGR -0.91%, PNR 64% (9 of 14), low was -12.31% (2008), best was 9.81% (2010)
Oct: CAGR 0.96%, PNR 71% (10 of 14), low was -20.59% (2008), best was 9.48% (2011)
Nov: CAGR 0.71%, PNR 71% (10 of 14), low was -6.72% (2008), best was 6.16% (2004)
Dec: CAGR 2.16%, PNR 71% (10 of 14), low was -4.13% (2014), best was 8.12% (2010)

Last 10 years:
Overall CAGR: 4.58%
PNR: 70%
Best Months:
Mar: CAGR 1.48%, PNR 70%
Apr: CAGR 3.17%, PNR 70%
Dec: CAGR 2.13%, PNR 70%
Worst Months:
Jan: CAGR -1.36%, PNR 50%
May: CAGR -1.64%, PNR 20%
Jun: CAGR -0.54%, PNR 50%
Aug: CAGR -0.52%, PNR 50%
Oct: CAGR -0.41%, PNR 60%
Nov: CAGR -0.61%, PNR 60%

Last 5 years:
Overall CAGR: 5.5%
PNR 80%
Best months:
Feb: CAGR 2.59%, PNR 80%
Oct: CAGR 3.29%, PNR 80%
Worst months:
May: CAGR -5.52%, PNR 20%
Aug: CAGR -2.15%, PNR 40%
Nov: CAGR -0.76%, PNR 60%
 

[Aitrus]

TSPCenter.com’s Seasonal Mix

This is the mix that appears when you go to TSP Center’s Seasonal Calculator page. 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: 14.6%
Last 20 CAGR: 14.8%
Last 10 CAGR: 10.95%
Last 5 CAGR: 9.31%

Overall PNR: 96% (26 of 27)
Best Years: 48.13% (2009), 27.7% (1998), 26.1% (2001)
Worst Years: -2.06% (1994), 1.82% (2008), 2.54% (2012)

Beat C Fund 12 of 27 times (44%), for a higher gain of 83.89% 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 13 of 27 times (48%), for a higher gain of 38.33% 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 one negative year in 1994, 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.

[Aitrus]

Jahbulon’s Basic Seasonal Mix

This is the formula I follow.

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. The 9-month SMA version will covered in the next post. The Basic Seasonal mix is the one I follow with my own accounts, and it’s been kept in its original unmodified version.

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. 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.

Monthly Allocation:
Jan: S 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: 17.02%
Last 20 CAGR: 16.04%
Last 10 CAGR: 12.38%
Last 5 CAGR: 20.37%

Overall PNR: 93% (25 of 27)
Best years: 44.3% (1991), 42.99% (1998), 34.94% (2013)
Worst years: -22.52% (2008), -2.2% (2002), 1.08% (1994)

Beat C Fund 18 of 27 times (67%), for a higher gain of 159.01% since 1988.
Best yearly gain over C Fund: 28.32% (2000: 19.18% vs -9.14%)
Worst loss to C Fund: -9.24% (1997: 23.93% vs 33.17%)

Beat S Fund 14 of 27 times (52%), for a higher gain of 113.45% since 1988.
Best yearly gain over S Fund: 34.96% (2000: 19.18% vs -15.78%)
Worst loss to S Fund: -20.34% (1999: 22.05% vs 42.39%)

Analysis: This mixture might have taken a big hit in 2008, but it more than made up for that with double digit returns every year since then: 27.08%, 24.66%, 19%, 11.27%, 34.94% and 13.47% for 2009 – 2014 respectively. 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 5 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.

[Aitrus]

Jahbulon’s 9-month SMA Mix

This is a mix that uses the same monthly Fund allocation as Jahbulon’s Basic Mix, but it adds a 9-month Simple Moving Average (SMA) as a stop-loss trigger. A stop-loss trigger is something that active Market Timers tend to use. The purpose of a stop-loss is to set a sell point to limit your losses in case a trade doesn’t go your way, and is considered essential to most day / trend trader’s trading methods. In a way, the idea is to win by not losing much on the losses, and to get as much as possible on the gains. This Seasonal Mix uses a technical indicator called a 9-month SMA as a stop-loss mechanism.

The 9-month SMA, also called a 200-day Moving Average on the stockcharts.com website default settings, is a trailing indicator. It takes the closing prices from the previous 200 trading days and runs a straight unweighted average, then plots the daily results as a line.
The rules for using this indicator are as follows:

1 – On the last trading day of the month (the day to make any moves) check the previous day’s closing price. If the price is at least 1% or more above the 9-month SMA, then it’s ok to move into the fund in question for the next month. If the price is below that mark, then the move is to the G Fund for the entire month.

2 – During the month monitor the price vs. the SMA. If the price closes below the SMA, then be prepared to move. If the price confirms the move by closing below the SMA the next day, then a move to the G Fund is triggered for the following trading day. Remain in the G Fund for the remainder of the month.

Example 1: 15 Jan the price closes below the SMA. 16 Jan the price rises back above the SMA, and each day after that the price is above the SMA. No move is triggered.

Example 2: 15 Jan the price closes below the SMA. 16 Jan the price closes below the SMA again, and a move is triggered. 17 Jan the move takes place, regardless of where the price is.

Example 3: it is 31 Jan, and it’s time to decide if it’s ok to move or not. Check the fund for Feb and see if the closing price on 30 Jan was 1% or more above the SMA or not. If it is, then initiate a move into the fund. If the price is below that point, then go to the G Fund (or remain there if already present).

Monthly Allocation:
Jan: S 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: 13.4%
Last 20 CAGR: 12.8%
Last 10 CAGR: 10.55%
Last 5 CAGR: 12.35%

Overall PNR: 96% (26 of 27)
Best years: 37.24% (1991), 37.04% (2013), 29.09% (1989)
Worst years: -1.66% (1994), 0.55% (2005), 2.09% (2014)

Beat C Fund 13 of 27 times (48%), for a higher gain of 50.97% since 1988.
Best yearly gain over C Fund: 40.45% (2008: 3.45% vs -37%)
Worst loss to C Fund: -15.68% (2003: 12.84% vs 28.52%)

Beat S Fund 12 of 27 times (44%), for a higher gain of 5.41% since 1988.
Best yearly gain over S Fund: 41.77% (2008: 3.45% vs -38.32%)
Worst loss to S Fund: -30.07% (2003: 12.84% vs 42.91%)

Analysis: The theory of the 9-month SMA sounds like a good idea, but in practice it doesn’t work as well as you might think. In my hand-crunched numbers back to 1988, the theory works about 20% of the time to protect one against losses, but then it caused the investor to miss the following upside. For the other 80% of the time it signaled a move out at or near the bottom of the current drop in prices. . It also tends to keep the investor out of the market if there’s a big drop, then a long rally afterward. This is because the 9-month SMA is a very slow moving line, and once it gets going in a downward heading it takes a lot of upward movement before the price gets above the line again. All that upward movement tends to be missed by somebody following this indicator. And sometimes the rally happens in the middle of the month, but the investor is already out of the market because at the turn of the month, which is moving time, the price was still below the SMA. Even if the price was moving upward, but still below the SMA, the investor following the rules would have to stay out for the month.

With all that said, this mixture does have a history of averaging double digit returns over all the time periods we look at, plus it does provide some measure of protection for an investor. However, that protection comes at a high cost of lost gains that otherwise would have been claimed. It’s a judgment call as to how much risk / reward the investor wants to accept. For somebody who likes Jahbulon’s Basic Mix but wants a safety feature built in, this strategy is available to them, which is why I still track it’s progress.

In the beginning I followed this strategy, but now I do not because it sacrifices too much for the margin of safety for my taste. I follow Jahbulon’s Basic Mix and will ride the ups and downs as they come.
 

[Aitrus]

Boltman’s Mix

This is originally found at viewtopic.php?f=14&t=6885.

This mix is the only one I’m tracking that uses the I Fund, and so goes back to only 2001. I am working to flesh out my I Fund history, and when I do a post with the new stats.

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 2001
Overall CAGR: 14.64%
Last 10 CAGR: 12.06%
Last 5 CAGR: 13.53%

Overall PNR: 79% (11 of 14)
Best years: 50.68% (2003), 49.4% (2009), 40.01% (2010)
Worst years: -15.4% (2008), -2.44% (2014), -0.26% (2012)

Beat C Fund 9 of 14 times (64%), for a higher gain of 40.31% since 2001.
Best yearly gain over C Fund: 32.7% (2002: 10.66% vs -22.04%)
Worst loss to C Fund: -16.32% (2012: -0.26% vs 16.06%)

Beat S Fund 8 of 14 times (57%), for a higher gain of 72.96% since 2001.
Best yearly gain over S Fund: 28.8% (2002: 10.66% vs –18.14%)
Worst loss to S Fund: -18.85% (2012: -0.26% vs 18.59%)

Analysis: This mix has had some great years and only 4 years that weren’t double digit returns (including all three negative years). The downside is that there’s only 14 years of history to this one. And 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.

[Aitrus]

Skiehawk’s EMA Mix

This is a mix suggested by Skiehawk in Oct 2014 in the original Seasonal Musings thread. This formula uses a 9-month EMA Stop Loss Trigger just like Jahbulon’s SMA Mix does. This is slightly different from the 9-month SMA that Jahbulon's SMA Mix uses, but follows the same general principle. "SMA" stands for "Simple Moving Average". "EMA" stands for "Exponential Moving Average". The difference is that SMA gives each day equal weight. Since there's about 200 trading days, each day is given 1/200th weight in the formula. On the other hand, EMA is a weighted average. The formula gives more weight to more recent results. This means that yesterday's results count more toward the total than the result of 199 days ago. The shorter the timeframe, the heavier the weight given to recent results. A timeframe of 50 days gives more weight to yesterday than a timeframe of 200 days does. The weighting for longer timeframes is more even and closer to a SMA, but it's still a difference.

Thus far I've crunched the numbers using raw returns without the EMA trigger. This project is on my “To Do List for TSP in 2015”. As I go back through the years I'll adjust the figures accordingly. In the meantime, I’ll post the results for this mix for curiosity’s sake, and so that we can have a record of before and after results.

Monthly Allocation:
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: F Fund
Nov: C Fund
Dec: C Fund

Since 1988
Overall CAGR: 11.02%
Last 20 CAGR: 10.42%
Last 10 CAGR: 8.71%
Last 5 CAGR: 14.35%

Overall PNR: 78% (21 of 27)
Best years: 46.83% (1997), 40.97% (1995), 40.37% (1998)
Worst years: -28% (2002), -26.46% (2008), 12.26% (2000)

Beat C Fund 12 of 27 times (44%), for a higher gain of 16.46% since 1988.
Best yearly gain over C Fund: 13.66% (1997: 46.83% vs 33.17%)
Worst loss to C Fund: -11.01% (2003: 17.51% vs 28.52%)

Beat S Fund 11 of 27 times (41%), for a lower gain of -29.1% since 1988.
Best yearly gain over S Fund: 31.74% (1998: 40.37% vs -8.63%)
Worst loss to S Fund: -25.4% (2003: 17.51% vs 42.91%)

Analysis: It’s too early yet to say if this mix will be a good one or not. Originally, when Skie first told me about this mix I was optimistic. As we see from the addition of the 9-month SMA to Jahbulon’s Mixes, however, the resulting CAGR is much lower. On the other hand, Jahbulon’s Mixes are bouncing around in multiple Funds, whereas this one is in C most of the year and in F for the other times. We’ll see how this one plays out.

[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.

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: 11.54%
Last 20 CAGR: 11.77%
Last 10 CAGR: 7.86%
Last 5 CAGR: 17.75%

Overall PNR: 67% (18 of 27)
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 12 of 27 times (44%), for a higher gain of 9.06% 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 10 of 27 times (37%), for a lower gain of -36.5% 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 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.

[Aitrus]

Aitrus’ Homebrew version 6: 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 not much more than his pension to his name. This one does just what it says. The idea is to keep your money safe all year, but take advantage of the Santa Rally to keep ahead of inflation.

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: 8.36%
Last 20 CAGR: 7.43%
Last 10 CAGR: 5.5%
Last 5 CAGR: 4.83%

Overall PNR: 100% (27 of 27)
Best years: 19.95% (1999), 18.12% (1990), 14.21% (1998)
Worst years: 0.07% (2002), 2.26% (2011), 3.14% (2014)

Beats G Fund 24 of 27 times (89%), for a higher gain of 87.76% 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%)

Beat C Fund 8 of 27 times (30%), for a lower gain of -95.26% since 1988.
Best yearly gain over C Fund: 45.33% (2008: 8.33% vs -37%)
Worst loss to C Fund: -29.55% (1995: 7.84% vs 37.39%)

Beat S Fund 8 of 27 times (30%), for a lower gain of -140.82% since 1988.
Best yearly gain over S Fund: 46.65% (2008: 8.33% vs -38.32%)
Worst loss to S Fund: -37.17% (2003: 7.84% vs 42.91%)

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. 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.

One other curious note: this is the only Seasonal Strategy I’m tracking that has a 100% PNR. That means that it’s had a positive return each and every year since TSP started in 1988. It came reaaaaaly close in 2002 with a 0.07% return, but I’ll still count that as a win.

[rothnroll]

So, are you going to use Jahbulon’s Basic Seasonal Mix this year?