Seasonal Musings 2020

General TSP Discussion.

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Kal1981
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Re: Seasonal Musings 2020

Post by Kal1981 »

Aitrus, it has the PNR and favorable months to be in the market. It confirms your analysis and stats.

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Re: Seasonal Musings 2020

Post by Aitrus »

I noticed that. It's always awesome to have independent sources confirm one's own research and conclusions.

I dug around on that site a bit, but couldn't find that chart that you screenshotted. I wanted to see how far back their data set went. Can you help me get to where that's located?
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


Kal1981
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Re: Seasonal Musings 2020

Post by Kal1981 »

From inception, looks like VTI is best, which is C/S with a 11.05% return, just shy of Jahbulon’s return of 11.38% for around the same period and you didn’t even need to do anything.

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Re: Seasonal Musings 2020

Post by Aitrus »

For November 2020
Last chance to move: Friday, 30 October before noon EST

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

G Fund
Since 1988: 0.37%
Last 20 years: 0.26%
Last 10 years: 0.17%
Last 5 years: 0.18%

November is one of the worst months on average month for the G Fund. The 2018 return was 0.14%.

F Fund – A “good” month is a CAGR of 0.5% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.35%, PNR 59%
Last 20 years: CAGR 0.27%, PNR 55%
Last 10 years: CAGR -0.22%, PNR 40%
Last 5 years: CAGR -0.43%, PNR 20%

November is in the running for worst month of the year for the F Fund. The last 5 years have been particularly unkind.

The best years were 2008 (3.30%), 1990 (2.15%) and 2007 (1.88%). The worst years were 2016 (-2.35%), 2001 (-1.37%) and 1988 (-1.09%).

C Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.69%, PNR 75%
Last 20 years: CAGR 1.41%, PNR 80%
Last 10 years: CAGR 1.88%, PNR 90%
Last 5 years: CAGR 2.54%, PNR 100%

If the starting gun for stocks sounds off sometime in October, November is when the C Fund really starts settling into a solid pace. November is arguably the best performing month of the year, depending on timeframe (April is the other month it competes against). The last negative year was 2011 with -0.21%, and before that was 2008’s market tumble. This trend of lots of good years interrupted by one or two down years seems to be the tendency for the C Fund in November over the last couple of decades.

The best years were 2001 (7.62%), 1996 (7.54%) and 1990 (6.36%). The worst years were 2000 (-7.87%), 2008 (-7.18%) and 2008 (-4.20%).

S Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.57%, PNR 75%
Last 20 years: CAGR 1.32%, PNR 80%
Last 10 years: CAGR 2.67%, PNR 90%
Last 5 years: CAGR 3.79%, PNR 100%

The S Fund really starts picking up the pace in November, with very good performance over all timeframes. Since the S Fund took a beating in December 2018, the raw calculations say that November is arguably the best or second-best month of the year if looking at just the Last 10 and Last 5 timeframe measurements.

The best years were 1999 (8.44%), 2016 (7.95%) and 2001 (7.84%). The worst years were 2000 (-17.03%), 2008 (-11.13%) and 2007 (-5.65%).

I Fund - A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.14%, PNR 59%
Last 20 years: CAGR 0.26%, PNR 60%
Last 10 years: CAGR -0.46%, PNR 50%
Last 5 years: CAGR -0.16%, PNR 60%

Like the rest of the fall months, November is very ho-hum for the I Fund.

The best years were 2004 (6.16%), 1988 (5.85%), and 1998 (5.00%). The worst years were 1993 (-8.86%), 2008 (-6.72%), and 1990 (-6.05%).

Note: For CAGR explanation, see 2nd post in the thread. PNR is the ratio of Positive Months vs Negative Months. A Fund that was positive in March for 4 out of 10 years would have a PNR of 40%.

Individual Seasonal Mix Allocations
Here is where the various seasonal mix allocations are going to for November 2020.


Jahbulon’s Basic Seasonal Mix: Remain in the C Fund.
gclapper’s M3 Mix: Remain in the C Fund
TSPCenter.com’s Seasonal Mix: Move to the C Fund.
tmj100’s Mix: Move to the S Fund.
Boltman’s Mix: Move to the S Fund.
Chindsey’s Mix #1: Move to the C Fund
Sell in May and Go Away: Remain in the C Fund.
G All Year, S in Dec: Remain in the G Fund.

The last three months of the year are always an interesting sprint to the finish line just after Christmas. The Mixes approach this mad scramble in different ways for the last three months as follows:

Jahbulon’s Mix: C, C, S
gclapper’s M3 Mix: C, C, S
TSPCenter.com’s Seasonal: F, C, S
tmj100’s Mix: C, S, S
Boltman’s Mix: C, S, I
Chindsey’s Mix #1: G, C, S
Sell in May and Go Away: C, C, C
G All Year, S in Dec: G, G, S

As you can see, several of the Mixes follow a C-S pattern for November and December. Good food for thought.
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

Kal1981
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Re: Seasonal Musings 2020

Post by Kal1981 »

Aitrus, TSPCalc just rolled out some split options. Since C and S are sort of the same, what are your thoughts on a C/S split of 50/50 for Nov and Dec?

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Re: Seasonal Musings 2020

Post by Aitrus »

Both Funds perform well in those months, but one has an edge over the other depending on which month you're looking at.

In November, the C Fund beats the S Fund 20 out of 32 years (61%), for a better performance of 46.62% since 1988.

In December, the S Fund beats the C Fund 19 out of 32 years (59%), for a better performance of 5.32% since 1988.

Based on these numbers, I would say that a 75/25 C/S split in November and a 50/50 split in December would be a bit better than 50/50 for both months.

If you were picking a single Fund to use for both months, the C Fund is better for November and S is better for December, with the C doing better overall because of how well it does in November. A large number of the Seasonal Mixes follow the C/S format at the end of the year for this reason.
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 2020

Post by Aitrus »

Seasonal Strategy Results for October 2020

Note: A "good" month for the F Fund is CAGR 0.5% or better, and PNR 70% or better. A "good" month for C, S and I Funds is CAGR 1% or better, and PNR 70% or better. See 2nd post in the thread for description of CAGR. PNR is the ratio of Positive Months to Negative Months.

General Funds
G Fund:
0.06%, 0.82% Year to Date (YTD), PNR remains 100%
Oct Total CAGR = 0.38%
Oct 20 year CAGR = 0.25%
Oct 10 year CAGR = 0.16%
Oct 5 year CAGR = 0.16%
12-month PIP: 1.13%
2019’s return: 0.14%

October is normally a “meh” month for the G Fund, but like every month since March, these returns have been abnormally low. The G Fund is on pace to finish the year below 1%.

F Fund: -0.42%, 6.31% YTD
Oct Total CAGR = 0.37%, PNR 70%
Oct 20 year CAGR = 0.07%, PNR 65%
Oct 10 year CAGR = 0.06%, PNR 80%
Oct 5 year CAGR = -0.32%, PNR 40%
12-month PIP: 6.16%
2019’s return: 0.28%

October is historically a fairly reliable month for the F Fund in terms of PNRs, but the CAGR isn’t anything special.

C Fund: -2.66%, 2.69% YTD
Oct Total CAGR = 1.17%, PNR 64%
Oct 20 year CAGR = 1.01%, PNR 65%
Oct 10 year CAGR = 1.65%, PNR 60%
Oct 5 year CAGR = -1.43%, PNR 40%
12-month PIP: 9.62%
2019’s return: 2.16%

This is normally a decent month for the C Fund, but this year was well below average. The recent five Octobers combined haven’t been kind to the C Fund.

S Fund: 0.50%, 3.97% YTD
Oct Total CAGR = 0.12%, PNR 61%
Oct 20 year CAGR = 0.58%, PNR 70%
Oct 10 year CAGR = 1.36%, PNR 70%
Oct 5 year CAGR = -2.12%, PNR 60%
12-month PIP: 11.02%
2019’s return: 1.93%

The S Fund had a return that was above average for this time of year. Historically, October is pretty flat for the S Fund, and this month has held some pretty big hits in the past. Thankfully, this year wasn’t of them.

I Fund: -3.97%, -10.54% YTD
Oct Total CAGR = 0.90%, PNR 61%
Oct 20 year CAGR = 0.55%, PNR 60%
Oct 10 year CAGR = 1.02%, PNR 60%
Oct 5 year CAGR = -1.84%, PNR 40%
12-month PIP: -6.57%
2019’s return: 3.60%

The I Fund normally performs only so-so in October, this month was a big swing and a miss. It’s the sixth worst on record.

Currently Tracked Seasonal Strategies
Jahbulon's Basic Mix: C Fund in Oct (-2.66%), -0.42% YTD, PIP 5.42%
gclapper’s M3 Mix: C Fund in Oct (-2.66%), -9.00% YTD, PIP -3.67%
TSPCenter.com's Default Setting: F Fund in Oct (-0.42%), 6.53% YTD, PIP 12.77%
tmj100’s Mix: C Fund in Oct (-2.66%), -15.92% YTD, PIP -10.21%
Boltman's Mix: C Fund in Oct (-2.66%), 2.13% YTD, PIP 10.23%
Chindsey’s Mix #1: G Fund in Oct (0.06%), -13.77% YTD, PIP -8.71%
Sell in May and Go Away: C Fund in Oct (-2.66%), -11.51% YTD, PIP -5.54%
G all year, S in Dec Mix: G Fund in Oct (0.06%), 0.06% YTD

This was a hard month for pretty much everybody. Nobody was in the S Fund, which was the only one to make any decent headway. That being said, with two strong months ahead there’s a sporting chance for a couple of the Mixes to get to double digits before the year is out, and for others to at least make it into positive territory.
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 2020

Post by Aitrus »

For December 2020
Last chance to move: Monday, 30 November before noon EST

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

G Fund
Since 1988: 0.40%
Last 20 years: 0.28%
Last 10 years: 0.18%
Last 5 years: 0.20%

December is a so-so month for the G Fund. The 2019 return was 0.16%.

F Fund
– A “good” month is a CAGR of 0.5% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.58%, PNR 69%
Last 20 years: CAGR 0.48%, PNR 60%
Last 10 years: CAGR 0.16%, PNR 50%
Last 5 years: CAGR 0.42%, PNR 60%

December isn’t a good month for the F Fund. Just kind of “meh” in terms of both PNR and CAGR on most time measurements.

The best years were 2008 (3.73%), 1991 (2.96%) and 2002 (2.08%). The worst years were 2009 (-1.55%), 2010 (-1.05%) and 1996 (-0.93%).

C Fund
– A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.50%, PNR 81%
Last 20 years: CAGR 0.66%, PNR 75%
Last 10 years: CAGR 0.57%, PNR 70%
Last 5 years: CAGR -1.00%, PNR 60%

December is normally one of the best months of the year for the C Fund, but a trio of negative results in 2014 (-0.24%), 2015 (-1.57%), and 2018’s abominable -9.03% have made significant impacts on more recent CAGR/PNR calculations. However, the long-term trend remains intact: December is still a good bet for the C Fund.

The best years were 1991 (11.41%), 2010 (6.68%) and 1999 (5.90%). The worst years were 2018 (-9.03%), 2002 (-5.85%) and 1996 (-1.97%).

S Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 2.43%, PNR 84%
Last 20 years: CAGR 1.34%, PNR 75%
Last 10 years: CAGR 0.27%, PNR 70%
Last 5 years: CAGR -2.16%, PNR 60%

It’s no secret that I consider the S Fund in December to be one of the best bets in the TSP. The 2018 disastrous return, coupled with 2015’s -3.91% return, have had significant impacts on recent CAGR/PNR calculations. However, prior to that, there have been only 3 other negative returns on record: 2002 (-4.32%), 2007 (-0.40%), and 2011 (-0.04%). Of the five negative years, only three were truly impactful to any significant degree. Having 3 bad years out of 31 on record is not daunting to me at all, although I can see how it might be to others. Human tendency is to view recent events with more importance or impact than they otherwise would have if viewed on the larger scale. Looking past the recent bad returns, we see that 1988 – 2001 was a constant run of positive returns, with groupings of three or four years of very good returns separated by down years. Consider: other “good” S Fund years have as many as 9 or 10 bad years, and the month is still in “good” territory. To me, this bodes very well for the S Fund in December going forward.

The best years were 1999 (13.78%), 1991 (9.90%) and 1998 (8.46%). The worst years were 2018 (-10.70%), 2002 (-4.32%) and 2015 (-3.91%).

I Fund - A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 2.15%, PNR 78%
Last 20 years: CAGR 1.74%, PNR 70%
Last 10 years: CAGR 0.82%, PNR 60%
Last 5 years: CAGR 0.23%, PNR 60%

The I Fund is pretty hit-and-miss in December, but the long term results are very positive, while more recent 2011 – 2018 returns were been hit pretty hard.

The best years were 1999 (8.88%), 2010 (8.12%), and 2003 (7.68%). The worst years were 2018 (-4.82%), 2014 (-4.13%), and 2002 (-3.27%).

Note: For CAGR explanation, see 2nd post in the thread. PNR is the ratio of Positive Months vs Negative Months. A Fund that was positive in March for 4 out of 10 years would have a PNR of 40%.

Individual Seasonal Mix Allocations
Here is where the various seasonal mix allocations are going to for December 2020.


Jahbulon’s Basic Seasonal Mix: Move to the S Fund.
gclapper’s M3 Mix: Move to the S Fund
TSPCenter.com’s Seasonal Mix: Move to the S Fund.
tmj100’s Mix: Remain in the S Fund.
Boltman’s Mix: Move to the I Fund.
Chindsey’s Mix #1: Move to the S Fund
Sell in May and Go Away: Remain in the C Fund.
G All Year, S in Dec: Move to the S Fund.

The S Fund’s consistently positive results for December mean that most Mixes overwhelmingly favor it for the last month of the year.
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

bizkikr
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Re: Seasonal Musings 2020

Post by bizkikr »

Greetings Aitrus,
Just came across your blog on seasonal investing and read all the way through! Quite enlightening to view your analytical framework in applying judgement toward TSP investing. I must admit my personal decisions in TSP are less than ideal for 5 years compared to sticking it into C fund and letting it ride. However, my other focus on retail investing is quite different. May I suggest another investing site on your list of recommendations? It’s a free board on the fool.com that focuses on growth stocks with an excellent knowledgebase. It’s called “Saul’s Investing Discussions” and the main focus has been software-as-a-service (SAAS) plays due to the recurring revenue model compared to 20th century companies that sell a tangible good.
Compared to my TSP returns for the year, currently at minus 15% YTD and sitting in G, my Interactive Brokers account is up 161% YTD. And best of all, the moderator, Saul provides EOM and EOY reviews of his portfolio going back to 2014. Here’s his latest EOM October portfolio review. The knowledgebase articles are to the right of the posting and very helpful for the retail growth investor to complement a well disciplined TSP strategy such as yours.

https://boards.fool.com/my-portfolio-at ... e#34654802

Best regards to all,
Bizkikr
Last edited by bizkikr on Mon Nov 23, 2020 1:41 pm, edited 1 time in total.

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Aitrus
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Re: Seasonal Musings 2020

Post by Aitrus »

Thanks for reading my work as well as the recommendation, bizkikr.

I've browsed around the Motley Fool forums before, and from what I can tell the folks there fall into one of two camps: die-hard buy-and-holders, or knowledgeable technical traders. They have good information for people interested in those methods, but neither of those really appeal to me. I've found that the Boggleheads forum has better information on buy-and-hold, and I proved to myself long ago that technical trading is very much not my friend. So the Fools forums don't have a lot that I'm interested in, but I think it's got a lot to offer for those whose investment strategy lies along those lines.

That being said, I'll add your suggestion to the Recommended Reading list. I'm sure somebody here will find it useful.
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

Kal1981
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Re: Seasonal Musings 2020

Post by Kal1981 »

Aitrus, I created a strategy mirroring Jahbulon with a minor tweak. In May and November, do a 50:50 between C and S. Mean and SD is slightly better. ID: 126743

CAGR 12.30 vs 11.67
SD 13.41 vs 13.46

Ericdelee
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Re: Seasonal Musings 2020

Post by Ericdelee »

Looking forward to 2021 Seasonal Musings!

Kal1981
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Re: Seasonal Musings 2020

Post by Kal1981 »

Aitrus, I had some time this weekend and started re-reading your posts from 2014 and notice some nuggets I missed the first time. One of them is using the 200 SMA on Jabhys strategy. Do you still use this? Second, I’ve noticed the returns from 1990-2010 period is less than more recent 10 year period. Do you think it is due to seasonal changes in the “best” funds for each month shifting? Like the old sell in May which has now shifted more like sell in June? Thanks.

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Re: Seasonal Musings 2020

Post by Aitrus »

Kal1981,

126743 looks to be a nice little improvement on Jahby's. Kudos on working that out. It's not something I can track normally because 1) TSPcalc's dataset doesn't go back as far as mine does and 2) the dataset I use can't do 50/50 mixes very well. Still, it's an intriguing setup.

As for the 200 SMA, no I don't use this. However, I will likely go through the painstaking process of calculating by hand the results of that particular Mix as part of the end of year report in order to help provide context to the wider picture.

From what I've been able to tell, the 1990 - 2010 period was one of slow-but-steady growth in the economy overall. The dot-com bust in 2000 and the housing crisis in 2008 certainly didn't help matters much, either. The rise of the Alphabet stocks since 2010 has played a big role in the market's performance since 2010, as well as other issues (both political as well as not).

I don't think it has anything to do with seasonal tendencies. There hasn't been a major shift in our economic model as happened in the past. Pre WWII, we were an agriculture-based economy that favored the summer/fall period and winter was the worst time. It was actually a time when "buy in May, sell in November" was a better investing strategy.

Post WWII, we became a manufacturing-based economy, which turned things on their heads a little. Summer became the lag season because of the uncertainty of knowing how well the various sectors performed until annual reports came out at the end of the fiscal year.

Which brings us to now. We still have agriculture and we still have manufacturing, but we are mostly a service and fossil fuels-based economy now - and have been since the '80s. That hasn't changed. The only thing that's changed is that medicine and technology are playing a bigger part, but the cyclic nature of the seasonality trends already in place are still pretty much intact. The invention of fracking has allowed us to become energy independent and use a cleaner means of producing, and that's suppressing the oil prices but helping to boost other sectors of the economy. Summer seems to be picking up more nowadays because the rise of healthcare and technology seems to have a bright spot now and then, but it's not enough to significantly change the big picture.

Check out these charts to get a better picture of what I mean when I say that summertime is still the doldrums of the year, and why I don't that seasonality is the reason why performance has changed from 1990 - 2020 and 2020 - present.

Equity Clock: Seasonality - http://www.equityclock.com/seasonality/
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 Prices2021-05-07

FundPriceDayYTD
G $16.58 0.00% 0.43%
F $20.72 0.00% -2.27%
C $63.32 0.75% 13.24%
S $82.16 1.32% 10.72%
I $38.76 1.29% 9.51%
L2065 $13.84 1.02% 11.49%
L2060 $13.84 1.02% 11.49%
L2055 $13.84 1.02% 11.49%
L2050 $28.21 0.84% 9.30%
L2045 $12.88 0.79% 8.73%
L2040 $47.05 0.73% 8.19%
L2035 $12.44 0.67% 7.54%
L2030 $41.46 0.61% 6.91%
L2025 $11.77 0.48% 5.47%
Linc $22.89 0.23% 2.76%

Pending Allocations

Under development. For now, you may view Pending Allocations by going to "fantasy TSP" and selecting "Leaderboard sort" of "Pending Allocations".

What else

"Don't ever half-ass two things. Whole-ass one thing."
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