Seasonal Musings 2018

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Seasonal Musings 2018

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Welcome to the 2018 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 remembered 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 seasonal investing methods (2011 or so), forum member Jahbulon was the de-facto expert on the method. Back then there wasn’t much information readily available on seasonal methods after he went quiet sometime in 2013 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.

For those that are interested in history, my other Seasonal Musings threads are here:
Original 2014 thread: http://tspcenter.com/forums/viewtopic.php?f=14&t=10382
2015 version:http://tspcenter.com/forums/viewtopic.php?f=14&t=11076
2016 version: http://tspcenter.com/forums/viewtopic.php?f=14&t=12089
2017 version: http://tspcenter.com/forums/viewtopic.php?f=14&t=13214

A note to those that followed the old threads: this year’s thread has had a number of revisions and updates throughout, some of it new to most followers of my threads. I’ve added roughly 2,500 words to this series of introductory posts, for a total word count of about 13,300 words. 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 book isn’t an effort to prove that “Seasonal Beats All” or that it’s impossible to beat the market using market timing or that buy-and-hold is for lazy folks. In fact, I fully approve of investors using a buy-and-hold strategy over doing nothing at all to prepare for retirement. My work is simply an effort to give more options to TSP investors in the U.S. Civil Service. With the arrival of the new Blended Retirement System for the U.S. Military, I believe that the methods and strategies I discuss in this thread will be of great value to an ever growing number of people. Regardless, I will consider the endeavor worthwhile if even a few benefit from my work. The data and trends I discuss in this thread are convincing enough to me that I’m following this Seasonal Strategy with my Fantasy and personal 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 http://www.tsp.gov of your own accord.

Let me be clear: beyond the price of admission you paid to get here, I’m not here to take your money. Nor am I a troll that gets some perverse thrill out of convincing you to use a flawed system and end up losing your nest egg. I’m not here advising you to make any IFTs in any capacity. Instead, I’m hoping I can shine some new light onto investing in the TSP for those just getting started or the seasoned investor alike.

I invite you to take a walk with me into a new dimension of investing. Let’s get this show on the road.

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, which is a buy-and-hold philosophy. These individuals feel 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: The American Mensa Guide to Casino Gambling shows that the best possible odds for games where you play against the House, instead of other players as you do in poker, is Craps. In card-type poker games like Texas Hold’em, you don’t really play the hand, you play the other players. The game is more psychological than mathematical in poker games, but not in Craps.

Craps is the long table where they throw the dice to the other end, which results in either a lot of cheering or a lot of groaning. My point is that it’s not about you playing against the other players at the table. It’s strictly a “You vs The House” game, and it’s all about the odds. The mathematical calculations show that the best odds, meaning the risk vs the payout, are just shy of 50/50 if you bet the Pass Line and take the maximum Pass Line “Odds” bet whenever you have the chance. All other bets available on the table are stacked against you, some very heavily, so the Pass Line is the best bet. Any other odds-based game in the casino is worse. Knowing that, if your goal is to have the best odds possible at a 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 like a saying 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 26 out of 30 times, or 87% of the time. Over that time, it has a Cumulative Annual Growth Rate (CAGR – aka: average rate of return) of 2.91%. In the last 20 years it has been positive 16 times (80%), with a CAGR of 2.89%. And in the last 10 years has been positive 8 times, with a CAGR of 2.31%. The last 5 years has been positive 4 of 5 times, and the CAGR has been 0.43%. 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 30 times (43%), with a CAGR of -1.57%. In the last 20 years it has been positive 9 times and the CAGR is also -1.23%. The last 10 years it has been positive 3 times with a CAGR of -1.78%. Finally, the last 5 years has seen only 1 positive return for a CAGR of -1.79%. The I Fund in August is a horrible bet! The odds of it being a negative month are staggering, and should send any investor running for cover at the thought.

My 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. The investor makes, at most, a single move at the end of each month in order to be in the correct Fund at the start of the new month. All moves are 100%, meaning that all of the money in your account goes into the new Fund for the upcoming month.

In addition, the strategy isn’t blindly followed without re-assessment as time goes on. The strategy is re-analyzed each month to decide if a particular month’s Fund needs to be changed due to how it seems to be performing at that particular time of year, 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 I use 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 – 2017 CAGR of 10.53%, and the Dow Jones Total Stock Market Completion Index (S Fund follows this) has a CAGR of 11.54% 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. The good news is that there are strategies I’ll talk about later that have an expected 30% failure rate worked in, yet still achieve a 16+% average, so there’s even more wiggle room for error.

To those experienced, perhaps skeptical, investors who may not be eager to rigidly follow the Seasonal Strategy, I believe knowing the basics of my system can be of use to you. I know of many people who use my system as just another indicator, a sort of barometer that shows what seasonal trends the market has to fight against or benefits from during certain periods of the year. They take this information and layer it in with all of their other indicators to come to an investment decision.

Depending on the way one uses the Seasonal Strategy, it can contain elements of both buy-and-hold methodology and technical chart analysis. 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 you stay the course by focusing on the long term goal. It’s like technical analysis in that you can use technical indicators to decide when the best time is to make your move. This can work if you’re not satisfied with just moving funds at the end of the month as per my program. Using technicals can give you +/- a few % each year due to moving a few days before or after the program’s normal move date. 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 happen.

- 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. In addition, you don’t base your moves on any fancy market indicators or some market guru’s opinion. You don’t use anything more than a simple statistical look at historical returns. KISS is the idea here, and as forum member TimboSlice is fond of reminding us: “People really need to stop overthinking this.”

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 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. Fear caused me to leave the system, not once but twice, and it cost me dearly. 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 our account is doing while acknowledging that we don’t know enough to play Market Timer with adequate skill 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 $1,200,000. This would represent a FERS employee that makes $52,000 a year contributing 5% of his pay and gets the 5% match for 30 years, and doesn’t get a pay raise the entire time. For the military readers, 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. That’s not counting the new Blended Retirement System’s matching funds that would be on top of the $100 per paycheck.

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, data for 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 of Fund / month matches. I freely offer a shortened version of this 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.

The purpose of this thread is invite discussion on this strategy, and to document the monthly progress of several seasonal TSP Fund mixes that I’ve seen. 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 members 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:

- Jahbulon’s Basic Mix
- gclapper’s M3 Mix
- TSP Center’s default setting on the “TSP Seasonal Calculator” page.
- 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
- A formula that's in F all year, and S in December

There are many 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 too many of them (21 at last count), and it would take just too much time to write about them all. I can give those stats to anybody who is interested. 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 in 2016, and it has the best historical performance out of all of them. 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 2021: viewtopic.php?f=14&t=18757
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 »

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”, “good month” and “PIP”.

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 and double your money to $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 minus 50, divided by two equals 25.

[(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 PNR, the more often a Fund has experienced positive returns.

Good Month
In the ideal system, we want to make sure that each month in the year has a Fund assigned to it that meets the “good month” standard. But what is this “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 would 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? 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 10% for the C Fund and around 11% for the S Fund. It’s not a static number, it’s up or down a little for each Fund depending on how far back you go, but 10-11% gives a good target to try to beat. So if I want to beat that mark, then I need to aim for it, which means 1% or more per month, or 12% per year, 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 Jul of 2007, 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 2.08%, or about 0.17% per month, while the F Fund has returned an annual CAGR of 2.50%, or about 0.21% per month, with PNRs ranging from 40% (Jun, Nov) 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.

PIP

There is a new feature for 2018. In addition to the CAGR and PNR, I will post the PIP for each Mix as I do my monthly updates. What is a PIP you ask? It stands for Personal Investment Performance. http://www.tsp.gov defines it as a number that shows how well you’ve done in the last 12 months, taking into account any money you’ve put into your account. TSP displays this number for your account at the bottom of your main account page, just below where you find your current account balance, and they update it at the beginning of every month.

The calculation that TSP uses is called the Modified Dietz Method, but I won’t be using it. I won’t be calculating the PIPs for the Mixes in the same way as the TSP does for your account because they have to take into account the paycheck contributions you put in every payday, and the Modified Dietz does this. However, the idea is the same, the calculation is just a bit different, and the result is a rolling “here’s how it did in the last 12 months” result.

For example, at the end of March 2018 I will list the PIP showing how well each Mix has done over the last 12 months. I’ll use all the returns from April 2017 – March 2018 for the calculation. This will give the reader a sense of how well the Mix has done recently.

The reason I’m doing this is because in the past the only time I listed how well a Mix had done was at the beginning and the end of the year. Giving a monthly update listing only how much the Mixes had returned thus far this year wasn’t painting a complete picture. For example, by the end of Feb 2017, Jahbulon’s Basic Mix had returned 2.45% for month and was at 2.69% for the year. At that point, however, Jahbulon’s Basic Mix had a PIP of 22.45%. I believe that listing PIPs on a monthly basis will help alleviate doubt or questions for those that like their data more up-to-date.

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. On the whole, 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 those definitions 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 2021: viewtopic.php?f=14&t=18757
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 »

The G Fund

The TSP.gov archive has monthly returns for the G Fund going back to when it was first created in 1988. The G Fund is something that has no likeness in the rest of the investment industry. The G Fund is invested in a type of government security. It’s a very a short term bond that is issued to only the TSP. The G Fund is guaranteed to never lose money as long as the U.S. Government is operating, or until Congress decides to change the laws that govern the TSP.

This sounds like a good deal, until you realize that the amount it has returned for the last decade is less than inflation. Your money loses value just by sitting in the G Fund. Remember your grandpappy’s stories about how candy was a penny and a comic book was a nickel? Notice now prices aren’t anywhere near that? Same concept. While the dollar amount you have invested in the G Fund doesn’t go down, your dollars buy less and less as time goes on. If you have two, three or four decades until you hit retirement, that’s a lot of time that will pass for your money to lose value.

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. 2017’s return was 2.31% for the year, with 0.17% in Sep 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 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:
CAGR: 5.01%
Best monthly average: May and Jul at 0.43%
Worst monthly average: Feb and Nov 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: 3.75%
Best monthly average: July at 0.33%
Worst monthly average: Nov at 0.28%

Last 10 years:
Overall CAGR: 2.39%
Best monthly average: Jan, Mar, May and Jul at 0.21%
Worst monthly average: Feb at 0.18%

Last 5 years:
Overall CAGR: 2.08%
Best monthly average: Dec at 0.19%
Worst monthly average: Feb at 0.15%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

Post by Aitrus »

The F Fund

The F Fund tracks the Barclay’s Aggregate U.S. Bond index. It’s a broad index which includes the U.S. Government, mortgage-backed, corporate and foreign government bonds that are issued in the U.S. sectors of the bond market. Municipal bonds, such as those found in cities, counties and U.S. territories are not included. This means that when Puerto Rico defaulted on its obligations in 2016 and failed to pay returns on bonds, or when Detroit declared bankruptcy in 2013, the F Fund was not affected.

This Fund has its ups and downs, and definitely has a least favorite time of year (March). Its positives outweigh its negatives, and in the long run has better returns than the G Fund. The recent actions by the Federal Reserve make the future of the F Fund uncertain at best. As 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. It’s still a market, however, so how investors feel about bond values will outweigh the interest rates, but it’s an uphill battle.

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: 6.24%
Pos/Neg Ratio (PNR): 27 of 30, 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 0.65%, PNR 80% (24 of 30), lowest return was -1.38% (1990), highest return was 2.13% (2015)
Feb: CAGR 0.32%, PNR 73% (22 of 30), low was -1.74% (1999), best was 2.38% (1995)
Mar: CAGR -0.03%, PNR 57% (17 of 30), low was -2.45% (1994), best was 1.38% (2009)
Apr: CAGR 0.43%, PNR 67% (20 of 30), low was -2.54% (2004), best was 2.05% (1989)
May: CAGR 0.60%, PNR 63% (19 of 30), low was -1.78% (2013), best was 3.84% (1995)
Jun: CAGR 0.61%, PNR 67% (20 of 30), low was -1.53% (2013), best was 3.19% (1989)
Jul: CAGR 0.75%, PNR 77% (23 of 30), low was -2.51% (2003), best was 2.69% (1997)
Aug: CAGR 0.67%, PNR 70% (21 of 30), low was -1.48% (1989), best was 2.12% (1991)
Sep: CAGR 0.70%, PNR 80% (24 of 30), low was -1.47% (1994), best was 2.68% (2003)
Oct: CAGR 0.44%, PNR 73% (22 of 30), low was -2.4% (2009), best was 2.45% (1989)
Nov: CAGR 0.36%, PNR 60% (18 of 30), low was -2.35% (2016), best was 3.3% (2008)
Dec: CAGR 0.56%, PNR 70% (21 of 30), low was -1.55%, best was 3.73% (2008)

Last 20 years:
Overall CAGR: 5.13%
PNR: 90% (18 of 20)
Good months:
Jan: CAGR 0.7%, PNR 85%
Jul: CAGR 0.56%, PNR 75%
Aug: CAGR 0.88%, PNR 75%
Sep: CAGR 0.59%, PNR 75%
Worst month:
Mar: CAGR 0.13%, PNR 60%

Last 10 years:
Overall CAGR: 4.27%
PNR: 90%
Good months:
Jan: CAGR 0.83%, PNR 80%
Apr: CAGR 0.66%, PNR 80%
Jul: CAGR 0.74%, PNR 80%
Aug: CAGR 0.61%, PNR 70%
Worst months:
Jun: CAGR 0.10%, PNR 50%
Oct: CAGR -0.01%, PNR 80%

Last 5 years:
Overall CAGR: 2.50%
PNR: 80%
Best Months:
Jan: CAGR 0.97%, PNR 80%
Apr: CAGR 0.57%, PNR 80%
Worst months:
Jun: CAGR -0.16%, PNR 40%
Nov: CAGR -0.47%, PNR 20%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

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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: 10.53%
PNR: 83% (25 of 30)
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 0.16%, PNR 57% (17 of 30), low was -8.41% (2009), best was 7.14% (1989)
Feb: CAGR 0.58%, PNR 63% (19 of 30), low was -10.64% (2009), best was 7.2% (1998)
Mar: CAGR 1.38%, PNR 70% (21 of 30), low was -6.33% (2001), best was 9.74% (2000)
Apr: CAGR 1.72%, PNR 77% (23 of 30), low was -6.06% (2002), best was 9.58% (2009)
May: CAGR 1.33%, PNR 73% (22 of 30), low was -7.99% (2010), best was 9.44% (1990)
Jun: CAGR -0.23%, PNR 57% (17 of 30), low was -8.41% (2008), best was 5.54% (1999)
Jul: CAGR 1.14%, PNR 53% (16 of 30), low was -7.7% (2002), best was 8.83% (1989)
Aug: CAGR -0.78%, PNR 60% (18 of 30), low was -14.47% (1998), best was 6.19% (2000)
Sep: CAGR -0.19%, PNR 53% (16 of 30), low was -10.87% (2002), best was 8.92% (2010)
Oct: CAGR 1.55%, PNR 67% (20 of 30), low was -16.83% (2008), best was 10.93% (2011)
Nov: CAGR 1.61%, PNR 73% (22 of 30), low was -7.87% (2000), best was 7.62% (2001)
Dec: CAGR 1.82%, PNR 83% (25 of 30), low was -5.85% (2002), best was 11.41% (1991)

Last 20 years:
Overall CAGR: 7.20%
PNR: 80% (16 of 20)
Good Months:
Mar: CAGR 2.13%, PNR 70%
Apr: CAGR 1.82%, PNR 75%
Oct: CAGR 2.09%, PNR 70%
Nov: CAGR 1.53%, PNR 80%
Dec: CAGR 1.56%, PNR 80%
Worst Months:
Jan: CAGR -0.68%, PNR 50%
Feb: CAGR 0.09%, PNR 55%
Jun: CAGR -0.42%, PNR 60%
Aug: CAGR -0.90%, PNR 60%
Sep: CAGR -0.78%, PNR 55%

Last 10 years:
Overall CAGR: 8.55%
PNR: 90%
Good months:
Feb: CAGR 1.13%, PNR 70%
Mar: CAGR 2.71%, PNR 80%
Apr: CAGR 2.31%, PNR 90%
Jul: CAGR 2.42%, PNR 70%
Nov: CAGR 1.15%, PNR 80%
Dec: CAGR 1.53%, PNR 80%
Worst Months:
Jan: CAGR -1.64%, PNR 40%
Jun: CAGR -1.19%, PNR 50%
Aug: CAGR -0.77%, PNR 60%
Sep: CAGR -0.07%, PNR 60%

Last 5 years:
Overall CAGR: 15.85%
PNR: 100%
Good Months:
Feb: CAGR 3.09%, PNR 80%
Mar: CAGR 1.95%, PNR 80%
Apr: CAGR 1.01%, PNR 100%
May: CAGR 1.84%, PNR 100%
Jul: CAGR 2.29%, PNR 80%
Oct: CAGR 3.15%, PNR 80%
Nov: CAGR 2.56%, PNR 100%
Worst Months:
Jan: CAGR -0.94%, PNR 40%
Jun: CAGR -0.07%, PNR 60%
Aug: CAGR -0.95%, PNR 60%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

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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 4,000 stocks in the market covered. There’s a few more, but they’re all smaller than the top 4,000 and really aren’t worth trading in something like the TSP. Companies not included would be small mom and pop businesses, risky penny stocks, companies with a total value of less than $1 million, etc.

TSP has information for the S Fund going back to 2001. In the beginning when the S Fund came online the TSP based it on the Wilshire 4500, which is 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: 11.54%
PNR: 73% (22 of 30)
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 0.56%, PNR 60% (18 of 30), low was -8.72% (2016), best was 7.59% (2012)
Feb: CAGR 1.24%, PNR 63% (19 of 30), low was -12.15% (2001), best was 15.55% (2000)
Mar: CAGR 1.40%, PNR 70% (21 of 30), low was -9.18% (2001), best was 8.64% (2009)
Apr: CAGR 1.51%, PNR 70% (21 of 30), low was -12.03% (2000), best was 15% (2009)
May: CAGR 1.12%, PNR 63% (19 of 30), low was -7.38% (2000), best was 9.95% (1997)
Jun: CAGR 0.37%, PNR 57% (17 of 30), low was -7.63% (2008), best was 12.01% (2000)
Jul: CAGR 0.20%, PNR 47% (14 of 30), low was -9.93% (2002), best was 8.66% (2009)
Aug: CAGR -0.15%, PNR 60% (18 of 30), low was -19.38% (1998), best was 11.16% (2000)
Sep: CAGR 0.00%, PNR 63% (19 of 30), low was -12.5% (2001), best was 11.47% (2010)
Oct: CAGR 0.40%, PNR 60% (18 of 30), low was -20.99% (2009), best was 14.09% (2011)
Nov: CAGR 1.46%, PNR 73% (22 of 30), low was -17.03% (2000), best was 8.44% (1999)
Dec: CAGR 2.91%, PNR 87% (26 of 30), low was -4.32% (2002), best was 13.78% (1999)

Last 20 years:
Overall CAGR: 8.78%
PNR: 70%
Good Months:
Mar: CAGR 1.93%, PNR 70%
Oct: CAGR 1.09%, PNR 70%
Nov: CAGR 1.71%, PNR 80%
Dec: CAGR 2.89%, PNR 80%
Worst Months:
Jan: CAGR -0.18%, PNR 45%
Jul: CAGR -0.56%, PNR 35%
Aug: CAGR -0.69%, PNR 55%
Sep: CAGR -0.69%, PNR 55%

Last 10 years:
Overall CAGR: 9.37%
PNR: 70%
Good months:
Feb: CAGR 1.54%, PNR 80%
Mar: CAGR 3.17%, PNR 70%
Apr: CAGR 2.59%, PNR 70%
Nov: CAGR 1.20%, PNR 70%
Dec: CAGR 2.31%, PNR 80%
Worst Months:
Jan: CAGR -1.29%, PNR 40%
May: CAGR -0.06%, PNR 60%
Jun: CAGR -0.87%, PNR 40%
Aug: CAGR -0.83%, PNR 50%
Sep: CAGR -0.25%, PNR 60%
Oct: CAGR -0.31%, PNR 60%

Last 5 years:
Overall CAGR: 14.77%
PNR: 80%
Best Months:
Feb: CAGR 3.06%, PNR 100%
May: CAGR 1.42%, PNR 80%
Oct: CAGR 1.99%%, PNR 80%
Nov: CAGR 3.26%, PNR 100%
Worst Months:
Jan: CAGR -0.81%, PNR 40%
Apr: CAGR -0.10%, PNR 60%
Aug: CAGR -0.70%, PNR 40%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

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The I Fund

The TSP.gov archive has prices for the I Fund going back to 2001, and I went online to find data going back to 1988 to flesh out my spreadsheet. The ticker is EFA.

The I Fund tracks the iShares MSCI EAFE (Europe, Australasia, Far East) index. Basically, it’s a list of major non-US companies, mostly focusing on Europe (64.5%), Japan (23.4%) and Australia (6.8%), with the remaining 5.3% spread around the Pacific rim in places like Hong Kong or Singapore. Companies you might recognize on this index are BP (British Petroleum), Toyota (Japan), Bayer (Germany), Novo Nordisk (Denmark), Nestle (Switzerland), and Commonwealth Bank of Australia. Think of it like a S&P 500 of non-US companies. Large changes to the I Fund’s value can change due to strength or weakness of the U.S. dollar in comparison to foreign money. In general, the stronger the dollar, the weaker the I Fund.

I tend to shy away from this Fund because of its uncertainty, mostly due to Europe’s ongoing Euro fiasco. Foreign markets seem to me to be subject more to failure and government takeover than America’s. It’s likely that China continually manipulates its country’s economy in multiple ways. Argentina’s economy collapsed in 1998 and they still haven’t fully recovered yet at the time of this writing. The European Union (EU) confiscated bank account assets held by non-citizens in Cyprus banks in 2013. Finally, Venezuela’s current economic collapse due to its failed socialist government has placed its control of 20% of the world’s oil reserves in jeopardy. Although there are no companies from China, Argentina and Venezuela in the I Fund, these are all just a few examples of how unstable I view foreign markets to be.

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. Of the seasonal strategies I’ll talk about in a bit, some will use the I Fund and some don’t. It’s possible to have good returns with or without the I Fund. I don’t trust it, so I don’t use it, but that’s me and my risk tolerance. Yours may vary. If I had to pick a single month in which to use the I Fund, it would be April, hands down.

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: 5.38%
PNR: 70% (21 of 30)
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 -0.87%, PNR 47% (14 of 30), low was -11.93% (2009), best was 8.33% (1994)
Feb: CAGR 0.60%, PNR 60% (18 of 30), low was -10.23% (2009), best was 10.56% (1991)
Mar: CAGR 1.14%, PNR 67% (20 of 30), low was -10.54% (1990), best was 8.56% (1993)
Apr: CAGR 2.52%, PNR 80% (24 of 30), low was -5.36% (2000), best was 12.13% (2009)
May: CAGR -0.18%, PNR 47% (14 of 30), low was -11.4% (2012), best was 13.41% (2009)
Jun: CAGR -0.72%, PNR 43% (13 of 30), low was -8.15% (2008), best was 7.08% (2012)
Jul: CAGR 1.39%, PNR 67% (20 of 30), low was -9.99% (2002), best was 12.45% (1989)
Aug: CAGR -1.57%, PNR 43% (13 of 30), low was -12.51% (1998), best was 6.09% (1992)
Sep: CAGR -0.71%, PNR 60% (18 of 30), low was -14.08% (1990), best was 9.81% (2010)
Oct: CAGR 1.29%, PNR 63% (19 of 30), low was -20.59% (2008), best was 15.4% (1990)
Nov: CAGR 0.11%, PNR 60% (18 of 30), low was -8.86% (1993), best was 6.16% (2004)
Dec: CAGR 2.35%, PNR 80% (24 of 30), low was -4.13% (2014), best was 8.88% (1999)

Last 20 years:
Overall CAGR: 5.13%
PNR: 65%
Best months:
Mar: CAGR 1.53%, PNR 70%
Apr: CAGR 2.67%, PNR 75%
Oct: CAGR 1.54%, PNR 70%
Dec: CAGR 2.46%, PNR 75%
Worst Months:
Jan: CAGR -1.33%, PNR 45%
May: CAGR -0.91%, PNR 45%
Jun: CAGR -0.33%, PNR 50%
Aug: CAGR -1.23%, PNR 45%
Sep: CAGR -1.08%, PNR 60%

Last 10 years:
Overall CAGR: 2.23%
PNR: 60%
Best Months:
Mar: CAGR 1.93%, PNR 70%
Apr: CAGR 3.42%, PNR 80%
Jul: CAGR 2.81%, PNR 70%
Dec: CAGR 1.89%, PNR 70%
Worst Months:
Jan: CAGR -2.06%, PNR 50%
May: CAGR -1.11%, PNR 50%
Jun: CAGR -1.38%, PNR 20%
Aug: CAGR -1.78%, PNR 30%
Sep: CAGR -0.64%, PNR 60%
Oct: CAGR -0.30%, PNR 60%
Nov: CAGR -0.94%, PNR 50%

Last 5 years:
Overall CAGR: 8.07%
PNR 60%
Best months:
Apr: CAGR 3.08%, PNR 100%
Jul: CAGR 2.64%, PNR 80%
Worst months:
Jan: CAGR -0.30%, PNR 60%
Jun: CAGR -1.63%, PNR 20%
Aug: CAGR -1.79%, PNR 20%
Nov: CAGR -0.11%, PNR 60%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

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If you’re still with me by this point, then hopefully it’s a sign that I’ve done a halfway decent job of explaining the nuts and bolts of the program. If that’s not the case, then you probably just skipped all the fluff and want to get right to the meat of the program. Either way, you’ll likely be wanting a no-kidding step-by-step of how the whole thing works. I am happy to oblige, and it’s actually pretty simple.

Step 1. Toward the end of each month, look up the Fund allocated for next month based on the Mix that you’ve chosen to follow. Example: C Fund for March 2017

Step 2. Make your monthly IFT move take effect at close of business on the last trading day this month so you’re in the new Fund at the start of next month. If there’s no change, leave your money where it is. Example: C Fund for March 2018. Since February has you in the S Fund, you should submit your IFT to TSP.gov sometime between 12:01pm EST on 27 February and 11:59am EST on 28 February. The move is triggered at 4pm EST on 28 Feb. At the start of the trading day on 1 March, your money is in the C Fund.

Step 3. Invest 100% of your account in the Fund identified as being the best for month. You want your money to work for you instead of sitting on the sidelines. It’s also handy to make sure your paycheck contributions match the Fund for the month as well, but not strictly necessary. Make this change at the same time you make your IFT at the end of the month.

Step 4. Follow the pattern each year, every year. It will rarely, if ever, change.

Step 5. The only time the pattern will ever change is if you decide that the current Fund for a month isn’t as good anymore, that some other Fund is better. Example: for January, the S Fund was borderline good until about 2012. The annual returns since then have made it no longer a “good” choice for January, so F is the better option. Keeping up with my posts on tspcenter.com help you stay aware of how the Funds are changing over time – see the Appendix for more details.

Step 6. Follow the plan. Ignore the media, blogs, financial “experts” on TV, and trust the data. Markets rise and fall, but you care more about the long term returns, not the short term roller coaster ride. Keep reminding yourself that reversion to the mean happens and that the Law of Averages works. Whatever good time or bad the market is experiencing right now, it won’t be the same next week, next month or next year. It could be higher or lower, you don’t know. It’s best to stick it out and follow the plan. If you could outguess the market on a consistent basis, then you wouldn’t be doing whatever day job you currently have.

Step 7. Don’t compare your returns to anybody or anything else but buy-and-hold. You’re trying to beat those known benchmarks, not an “expert” that can’t make up his mind if the market is soaring or crashing. Nor do you want to compare yourself to your coworker who might just be on a lucky streak this month, but had dismal returns for the past 3 years. You have a system in place that takes the emotion out of your investing decisions because it relies on hard data. Why get in the way of that? Accept that you won’t win 100% of the time. That’s impossible in the stock market, but you can beat buy-and-hold over the long run. That’s the goal with this program, so stick with it.

And that’s it! The program is a very simple annual rotation, with moves made at the end of each month, but only if necessary. Not every month needs a move. You’ll also need a steadfast dedication to ignoring anything that will allow emotion to cause you to make mistakes. The Mixes will be your guide to help you know which Fund is best at any given time. So let’s talk a bit about the Mixes themselves. I’ll show you the main ones that will receive regular monthly updates, and I’ll also list their spin-offs that I track behind the scenes. I’ll talk briefly about the spin-offs now, and give an update during the End-Of-Year Roundup.
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

Post by Aitrus »

Jahbulon’s Basic Mix

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

This Mix is the one I follow with my real-world TSP money. It is named after a tspcenter.com forum member who is no longer active on the boards, but previously was very active. He disappeared without a trace sometime in 2013.

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 I outlined earlier. Each month’s Fund is in the “good” category, or close to it. If there’s no clear winner then it aims for safety over risk.

When I checked my resulting formula against what Jahbulon had first written about back in 2012, I found that they were exactly the same mix. That confirmed the data for me. If Jahbulon and I both came up with the same Mix, and I did mine completely independent of his, including the method with which I organized and calculated the data, then that tells me that he was on to something significant in 2012. Since he came up with it first I will always give credit to him.

This Mix originally used the S Fund in January, but the current iteration uses the F Fund as of 2017. That’s because if you use data up to only 2012 the S Fund is borderline close to the “good month” standard. From 2012 – 2016, the January returns have changed the calculations in such a way that the S Fund is no longer a good choice, and the F Fund is much better. I believe that Jahbulon would have made the change to the F Fund if he were still active on the board. As I mentioned before, 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.

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: 16.66%, PNR 93% (28 of 30)
Last 20 CAGR: 15.25%, PNR 95%
Last 10 CAGR: 15.88%, PNR 90%
Last 5 CAGR: 18.87%, PNR 100%

Best years: 46.92% (1998), 37.68% (1991), 37.22% (2009)
Worst years: -15.88% (2008), -0.32% (1994), 0.60% (2002)

Beat C Fund 18 of 30 times (60%), for a higher gain of 161.95% 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 16 of 30 times (53%), for a higher gain of 120.05% 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%)

Number of months with a PIP of 12% or more: 242 out of 349 (69%)
Number of months with a PIP that was negative: 23 of 349 (7%)

Analysis: This mixture might have taken a big hit in 2008, but it more than made up for that with double digit for eight of nine years afterward: 37.22%, 29.73%, 17.70%, 4.33%, 25.45%, 17.51%, 15.85%, 21.63% and 14.29% for 2009 – 2017, respectively. While it was down in 2008 at -15.88%, 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% (28 of 30)
Last 20 years: CAGR 14.25%, PNR 90%
Last 10 years: CAGR 13.44%, PNR 90%
Last 5 years: CAGR 16.78%, PNR 100%

Jahbulon’s SMA Mix (same monthly rotation as Old Basic Mix, but uses a technical indicator as a stop-loss mechanism)
Since 1988: CAGR 13.10%, PNR 97% (29 of 30)
Last 20 years: CAGR 11.29%, PNR 100%
Last 10 years: CAGR 11.97%, PNR 100%
Last 5 years: CAGR 13.55%, PNR 100%

Jahbulon’s SMA Enter Only Mix (same as Jahbulon’s SMA Mix, but uses the indicator in a slightly different way)
Since 1988: CAGR 13.86%, PNR 93% (28 of 30)
Last 20 years: CAGR 12.39%, PNR 100%
Last 10 years: CAGR 13.43%, PNR 100%
Last 5 years: CAGR 16.35%, PNR 100%

Jahbulon’s Old Mix with F in July (does just what the title says)
Since 1988: CAGR 16.09%, PNR 93% (28 of 30)
Last 20 years: CAGR 14.41%, PNR 95%
Last 10 years: CAGR 11.58%, PNR 90%
Last 5 years: CAGR 14.57%, PNR 100%

Aitrus’ Homebrew V1 (uses G Fund in Jun, Aug and Sep instead of F Fund)
Since 1988: CAGR 15.66%, PNR 93% (28 of 30)
Last 20 years: CAGR 13.31%, PNR 90%
Last 10 years: CAGR 13.15%, PNR 90%
Last 5 years: CAGR 17.11%, PNR 100%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 »

gclapper’s M3 Mix

This Mix was suggested in late 2016 by forum member gclapper. It’s similar to Jahbulon’s Mix, and makes two basic changes. He uses the I Fund in April and July. April is the best month of the year for the I Fund, and the I Fund outperforms both the C and S Funds in April and July. Everything else is the same, so technically it’s kind of a spin-off from Jahbulon’s Mix, but the returns are so good that I count it as an actively tracked Mix in its own right. The returns are better overall than Jahbulon’s Basic Mix.

gclapper may or may not be following this Mix with his Fantasy account. His name is on it because he gets credit for creating it, nothing more. Ditto for Rome26, who created the spin-off for this Mix.

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: 17.86%, PNR 97% (29 of 30)
Last 20 CAGR: 16.60%, PNR 95%
Last 10 CAGR: 17.57%, PNR 90%
Last 5 CAGR: 21.72%, 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 19 of 30 times (63%), for a higher gain of 203.50% 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 17 of 30 times (57%), for a higher gain of 161.60% 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%)

Number of months with a PIP of 12% or more: 246 out of 349 (70.5%)
Number of months with a PIP that was negative: 23 of 349 (6.6%)

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 (Uses I in April only, still uses C in July)
Since 1988: CAGR 17.57%, PNR 97% (29 of 30)
Last 20 years: CAGR 16.22%, PNR 95%
Last 10 years: CAGR 17.13%, PNR 90%
Last 5 years: CAGR 21.31%, PNR 100%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 »

TSPCenter.com’s Seasonal Mix

TSPCenter.com has a calculator where you can pick and choose monthly Fund allocations, but it hasn’t been updated since 2012. There is a default setting on the calculator when you first get to the page. This default setting has returned 15+% annually up to 2012 according to the calculator, and I verified it using my data. I’ve gone a step further and have kept tracking it all the way to the present. 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: 13.96%, PNR 93% (28 of 30)
Last 20 CAGR: 12.63%, PNR 95%
Last 10 CAGR: 11.60%, PNR 90%
Last 5 CAGR: 10.13%, 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 30 times (43%), for a higher gain of 74.60% 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 30 times (50%), for a higher gain of 32.70% 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%)

Number of months with a PIP of 12% or more: 202 out of 349 (57.9%)
Number of months with a PIP that was negative: 15 of 349 (4.3%)

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 2021: viewtopic.php?f=14&t=18757
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 »

tmj100’s Mix

This Mix was suggested in 2016 by tmj100, and was inspired by another forum member’s moves that were made in 2015. tmj100 may or may not be following this Mix with his Fantasy account. His name is on it because he gets credit for suggesting it, nothing more. This Mix was the best performer for 2017, and would have been for 2015 if it had existed then.

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: 16.66%, PNR 93% (28 of 30)
Last 20 CAGR: 15.39%, PNR 95%
Last 10 CAGR: 17.25%, PNR 90%
Last 5 CAGR: 22.98%, PNR 80%

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 30 times (67%), for a higher gain of 173.62% 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 30 times (47%), for a higher gain of 131.72% 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%)

Number of months with a PIP of 12% or more: 261 out of 349 (74.7%)
Number of months with a PIP that was negative: 32 of 349 (9.1%)

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 2021: viewtopic.php?f=14&t=18757
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 2018

Post by Aitrus »

Boltman’s Mix

This Mix was suggested by Boltman and is originally found at viewtopic.php?f=14&t=6885. Boltman may or may not be following this Mix with his Fantasy account. His name is on it because he gets credit for suggesting it, nothing more. This Mix was the best performer for 2016.

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: 14.56%, PNR 83% (25 of 30)
Last 20 CAGR: 14.26%, PNR 80%
Last 10 CAGR: 14.97%, PNR 70%
Last 5 CAGR: 15.17%, PNR 80%

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 30 times (50%), for a higher gain of 124.07% 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 30 times (53%), for a higher gain of 82.17% 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%)

Number of months with a PIP of 12% or more: 215 out of 349 (61.6%)
Number of months with a PIP that was negative: 46 of 349 (13.2%)

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 2021: viewtopic.php?f=14&t=18757
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 2018

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 present this Mix as a baseline of what conventional wisdom says about seasonal investing. Investing gurus often look at this strategy with a sneer and say “aw, that’s cute, but it doesn’t work in the real world”. I want you to understand that when “experts” or “advisors” say that “Selling in May has been proven to not beat the market, so don’t do it” they’re only speaking on a superficial level. That is, they only look at this “Sell in May” scenario, see that it doesn’t work all that well compared to buy-and-hold, and write off the whole seasonal investing idea.

I have always viewed the saying of “Sell in May” as not being truly representative of a good seasonal investing model. Don’t get me wrong, I agree with the critics in one way: a straight “Sell in May” strategy isn’t all that great, as I’ll show you below.

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: 11.44%, PNR 90% (27 of 30)
Last 20 CAGR: 10.53%, PNR 85%
Last 10 CAGR: 9.22%, PNR 90%
Last 5 CAGR: 13.01%, 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 30 times (43%), for a higher gain of 5.49% 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 30 times (37%), for a loss of -36.41% 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%)

Number of months with a PIP of 12% or more: 214 out of 349 (61.3%)
Number of months with a PIP that was negative: 46 of 349 (13.2%)

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 4 years in this mix that had all positive months. These were 1998, (43.03%), 2006 (15.13%), 2013 (25.63%) and 2017 (15.35%). 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, but I don’t consider that a deciding factor when choosing my investment strategy.

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 the same pattern)
Since 1988: CAGR 13.57%, PNR 83% (25 of 30)
Last 20 years: CAGR 13.26%, PNR 85%
Last 10 years: CAGR 11.59%, PNR 90%
Last 5 years: CAGR 11.50%, PNR 100%

Aitrus’ Homebrew V3 (uses S and G in the same pattern)
Since 1988: CAGR 12.16%, PNR 83% (25 of 30)
Last 20 years: CAGR 12.08%, PNR 85%
Last 10 years: CAGR 10.61%, PNR 90%
Last 5 years: CAGR 11.80%, PNR 100%

Aitrus’ Homebrew V4 (uses C and F in Sell in the same pattern)
Since 1988: CAGR 12.84%, PNR 87% (26 of 30)
Last 20 years: CAGR 11.70%, PNR 90%
Last 10 years: CAGR 10.20%, PNR 90%
Last 5 years: CAGR 12.75%, PNR 100%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 2018

Post by Aitrus »

G All Year, S in Dec and F All Year, S in Dec

I came up with these Mixes 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 in terms of retirement assets. These do just what they say. The idea is to keep your money safe all year, but take advantage of December’s Santa Rally to keep ahead of inflation. In the past I’ve treated the F All Year version as a spin-off, and it kind of is, but enough retirees and near-retirees have asked me about it that I’m moving it into active tracking during my monthly posts, however, I won’t be tracking PIPs for these Mixes.

Monthly Allocation: G All Year, S in December
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: 7.63%, PNR 97% (29 of 30)
Last 20 CAGR: 6.41%, PNR 95%
Last 10 CAGR: 4.55%, PNR 90%
Last 5 CAGR: 2.33%, PNR 80%

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 26 of 30 times (87%), for a higher gain of 81.01% 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%)

Monthly Allocation: F All Year, S in December
Jan: F Fund
Feb: F Fund
Mar: F Fund
Apr: F Fund
May: F Fund
Jun: F Fund
Jul: F Fund
Aug: F Fund
Sep: F Fund
Oct: F Fund
Nov: F Fund
Dec: S Fund

Since 1988: CAGR 8.73%, PNR 93% (28 of 30)
Last 20 years: CAGR 7.75%, PNR 95%
Last 10 years: CAGR 6.47%, PNR 90%
Last 5 years: CAGR 2.94%, PNR 80%

Best years: 1991 (23.54%), 1995 (18.15%), 1998 (17.58%)
Worst years: 2015 (-2.75%), 1994 (-2.5%), 2013 (1.78%)

Beats F Fund 23 of 30 times (77%), for a higher gain of 76.74% since 1988
Best yearly gain over F Fund: 1999, by 14.17% (Mix: 13.31% vs F Fund: -0.86%)
Worst loss to F Fund: 2002, by -6.91% (Mix: 3.36% vs F Fund: 10.27%)

Analysis: This strategy isn’t designed to beat Buy and Hold over stocks. It’s designed to beat Inflation and preserve your money’s value. If you compare the results against the G and F Funds, you’ll see that it’s pretty solid against just leaving your money in G or F. 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.

For the G Fund, 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. 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. It all comes down to personal risk tolerance.

Spin-offs:
None
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
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 Prices2021-09-27

FundPriceDayYTD
G $16.67 0.01% 0.98%
F $20.96 -0.13% -1.13%
C $66.83 -0.28% 19.52%
S $85.83 0.39% 15.68%
I $39.29 -0.15% 11.01%
L2065 $14.38 -0.13% 15.87%
L2060 $14.38 -0.13% 15.87%
L2055 $14.38 -0.13% 15.87%
L2050 $29.17 -0.12% 13.04%
L2045 $13.30 -0.11% 12.27%
L2040 $48.50 -0.11% 11.53%
L2035 $12.80 -0.10% 10.65%
L2030 $42.57 -0.09% 9.79%
L2025 $12.03 -0.07% 7.79%
Linc $23.21 -0.03% 4.20%

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".