Seasonal Musings 2020

[Aitrus]

Maybe not for some folks, but it will likely be for others. More of an academic exercise to see how it compares to something we already understand (the TSP Calc methodology).

[Aitrus]

For October 2020
Last chance to move: Wednesday, 30 September before noon EST
For this coming October, the individual funds have performed on average as follows:

G Fund
Since 1988: 0.39%
Last 20 years: 0.27%
Last 10 years: 0.17%
Last 5 years: 0.18%

October is an average month for the G Fund. The 2019 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 0.40%, PNR 72%
Last 20 years: CAGR 0.12%, PNR 70%
Last 10 years: CAGR 0.13%, PNR 80%
Last 5 years: CAGR -0.23%, PNR 60%

Over the years the F Fund has had good PNRs for the most part, but there have been enough deep negatives that the CAGRs suffer a good deal. As a result, it’s a pretty “meh” month for the F Fund.

The best years were 1989 (2.45%), 1996 (2.21%) and 2001 (2.12%). The worst years were 2008 (-2.40%), 1992 (-1.30%) and 2003 (-1.00%).

C Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.29%, PNR 66%
Last 20 years: CAGR 1.13%, PNR 65%
Last 10 years: CAGR 2.30%, PNR 70%
Last 5 years: CAGR 0.73%, PNR 60%

October is when the C Fund usually starts waking up after a couple of months off. It has a reputation of having some pretty bad hits, but the positive years are strong enough to overcome this detriment to result in some decent CAGRs. October also has the dubious honor of having both the best and worst months on record for the C Fund for the entire year.

The best years were 2011 (10.93%), 2002 (8.77%) and 2015 (8.45%). The worst years were 2008 (-16.83%), 2018 (-6.84%) and 1997 (-3.38%).

S Fund – A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 0.11%, PNR 59%
Last 20 years: CAGR 0.12%, PNR 65%
Last 10 years: CAGR 1.76%, PNR 70%
Last 5 years: CAGR -1.15%, PNR 60%

If the C Fund is just waking up in October, the S Fund hits the snooze button that’s set for another few weeks. Like the C Fund, October has the worst month on record for the S Fund.

The best years were 2011 (14.09%), 2003 (7.65%) and 1998 (5.68%). The worst years were 2008 (-20.99%), 2018 (-10.06%) and 2000 (-8.17%).

I Fund - A “good” month is a CAGR of 1% or better, and a PNR of 70% or better.
Since 1988: CAGR 1.06%, PNR 63%
Last 20 years: CAGR 0.63%, PNR 60%
Last 10 years: CAGR 1.79%, PNR 70%
Last 5 years: CAGR 0.31%, PNR 60%

The I Fund shrugs its shoulders and kind of says “meh” in October. There are some good years, but with some serious hits as well. The positive years aren’t enough to bring the CAGRs up into solidly reliable return territory, and the PNRs aren’t stellar.

The best years were 1990 (15.40%), 1998 (10.28%), and 2011 (9.48%). The worst years were 2008 (-20.59%), 2018 (-7.94%), and 1997 (-7.81%).

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 October 2020.

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

The last three months of the year is always an interesting sprint to the finish line just after Christmas. The Mixes approach this mad scramble in different ways for the next 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
Chincsey’s Mix #1: G, C, S
Sell in May and Go Away: C, C, C
G All Year, S in Dec: G, G, S

[Kal1981]

Here’s what TSPCalc spit out if I did it correctly: https://www.tspcalc.com/seasonal.php?ID ... s=jahbulon

CAGR 7%
SD is 11

[bloobs]

Here’s what TSPCalc spit out if I did it correctly: https://www.tspcalc.com/seasonal.php?ID ... s=jahbulon

CAGR 7%
SD is 11

that is disappointing. but good to know

[Kal1981]

In reading the information from https://imarketsignals.com/2018/better- ... 1950-2018/ , I went to TSPcalcu to build a strategy using the concept on when to be in the market and when to be out. Using the years available 2004-2020, the CAGR came out to a little higher than 7%. Compared to the C fund, holding the C fund yielded better returns than what the website claims. Is it due to the time frame used, less than 20 years or did I miss something about seasonality?

[Aitrus]

Couple of thoughts:

- Did you use the G Fund or F Fund for May-October? In the article, the off-season bond fund uses something more similar to the F Fund rather than the G Fund.

- Keep in mind that 2020 isn't done yet, so through 2019 would be a better measure for comparison.

- In my experience, a simple 6-month rotational strategy usually performs better than simple buy-and-hold, but not by a huge margin. It also depends on when one picks their months. Some will buy in at the beginning of October instead of November, or will sell at the end of May instead of at the end of April.

Can you provide the TSPcalc number that you created?

[Kal1981]

The strategy is 25924. It looks like someone had created this earlier. If I used 2004-2019, the CAGR is 9.01. C (9.15) and S (9.87) both beats it, but not by much. I do wonder if doing a C/S split will be good. It’ll represent the ETF VTI which tracks the entire stock market.

[md2018]

I was seeing some other information for the C fund for election years on TSP Talk Commentary. Seems to start dropping after a few days or first week in October, as election approaches, until early Nov. I guess if there is uncertainty going into the election the stock market seems to get skittish.

[Kal1981]

This seasonality strategy proposes investing once every 4 years!

https://gbr.pepperdine.edu/2010/08/seasonality/

[md2018]

This seasonality strategy proposes investing once every 4 years!

https://gbr.pepperdine.edu/2010/08/seasonality/

This study ended in 2005 and does not cover the the 2008 recession year nor any of the Fed stimulus that has destroyed returns in Money Markets. I wonder how the last 15 years would change this strategy.

[mgantt]

Brand new to all this just a heads up so sorry if this is a simple answer. I finally read everything and well worth it. If I am reading this correct one would pick a mix after they look at them and decide which one they like and then jump on the train at the end of the month and ride it for the long haul changing funds monthly based on the mix you have chosen's historical data. So for example based off most of the mixes you would put 100% in the the C fund come Oct 30th and then continue to change from their.

[Aitrus]

Yes, that's correct if you're following a monthly strategy (meaning, moving just once a month). But the TSP allows us to move twice a month, plus an additional third move if it's to the G Fund only. The TSPcenter site owner - mjedlin66 - has also created a calculator that allows you to use the same method, but utilizing the full amount IFTs per month that the TSP allows. The website for that calculator is tspcalc.com.

As you browse these forums, you'll see folks referring to #s, such as #85660 or something similar. Those #s refer to specific Mixes that exist over on tspcalc.com. There are literally over 100k different strategies on that site, and more being created all the time. mjedlin66 didn't create all of them, it's a kind of crowd-sourced thing. Anybody is able to go in and play around to create a new Mix. The best ones become popular, while others are just "what-if" experiments that didn't work out well. Using the tspcalc.com site is completely free, but if you want to pay a small fee you get access to extra tools on the site.

[Aitrus]

Seasonal Strategy Results for September 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%, 0.76% Year to Date (YTD), PNR remains 100%
Sep Total CAGR = 0.38%
Sep 20 year CAGR = 0.25%
Sep 10 year CAGR = 0.16%
Sep 5 year CAGR = 0.15%
12-month PIP: 1.21%
2019’s return: 0.14%

September is normally a “meh” month for the G Fund, but this year’s return was awful. The Fund is still on track to be the lowest year on record by far. It’s looking less and less likely to even break the 1% return point.

F Fund: -0.03%, 6.76% YTD
Sep Total CAGR = 0.60%, PNR 73%
Sep 20 year CAGR = 0.32%, PNR 60%
Sep 10 year CAGR = 0.03%, PNR 40%
Sep 5 year CAGR = -0.34%, PNR 0%
12-month PIP: 6.91%
2019’s return: -0.54%

September is historically a reliable month for the F Fund when looking at the long-term returns. This year it had what could be considered a break-even return, well within the range of a normal day’s trading action. Still, a negative is a negative. From 1988 – 2015 there were a mere 4 negative years (PNR = 86%). However, 2016 – 2020 has been nothing but negative returns. It remains to be seen if this is the new trend for this time of year, but this five-year losing streak is now the worst in the entire history of the F Fund. Time will tell.

C Fund: -3.80%, 5.50% YTD
Sep Total CAGR = -0.22%, PNR 55%
Sep 20 year CAGR = -0.75%, PNR 60%
Sep 10 year CAGR = -0.50%, PNR 60%
Sep 5 year CAGR = 0.12%, PNR 80%
12-month PIP: 15.05%
2019’s return: 1.87%

This year’s negative return broke a streak of four positive Septembers in a row for the C Fund. It took some wind out of the sails of a Fund that was recovering nicely form a dismal start to the year.

S Fund: -3.04%, 3.45% YTD
Sep Total CAGR = -0.12%, PNR 61%
Sep 20 year CAGR = -0.98%, PNR 55%
Sep 10 year CAGR = -1.20%, PNR 50%
Sep 5 year CAGR = 0.25%, PNR 60%
12-month PIP: 12.60%
2019’s return: 1.06%

The S Fund took a stiff jab to the gut this September. Given this month’s history, this isn’t anything out of the ordinary. September remains the worst month of the year for the Fund.

I Fund: -2.60%, -6.84% YTD
Sep Total CAGR = -0.61%, PNR 61%
Sep 20 year CAGR = -0.66%, PNR 70%
Sep 10 year CAGR = -0.53%, PNR 60%
Sep 5 year CAGR = 0.97%, PNR 80%
12-month PIP: 0.79%
2019’s return: 2.87%

Like the C Fund, he I Fund just broke a streak of positive years ranging from 2016 – 2019. This month’s performance is more in line with what can often be expected with this Fund.

Currently Tracked Seasonal Strategies
Jahbulon's Basic Mix: F Fund in Sep (-0.03%), 2.31% YTD, PIP 10.64%
gclapper’s M3 Mix: F Fund in Sep (-0.03%), -6.51% YTD, PIP 1.10%
TSPCenter.com's Default Setting: F Fund in Sep (-0.03%), 6.98% YTD, PIP 13.57%
tmj100’s Mix: F Fund in Sep (-0.03%), -13.62% YTD, PIP -5.77%
Boltman's Mix: F Fund in Sep (-0.03%), 4.92% YTD, PIP 15.69%
Chindsey’s Mix #1: G Fund in Sep (0.06%), -13.82% YTD, PIP -8.64%
Sell in May and Go Away: G Fund in Sep (0.06%), -9.09% YTD, PIP -0.86%
G all year, S in Dec Mix: G Fund in Sep (0.06%), 0.77% YTD

Everybody in the F Fund took a tiny little mosquito bite, while those in the G Fund had a minor gain. This year’s action has been awkward to say the least, and we still have a presidential election (and it’s inevitable aftermath, no matter who wins) to get through. It will be interesting to see how things play out.

[Kal1981]

Sharing a site that provides similar tracking of seasonality. It doesn't necessarily reflect TSP funds though. lazyportfolioetf.com

[Aitrus]

Interesting info. Thanks for sharing it, Kal.