Seasonal Musings 2021

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Seasonal Musings 2021

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Welcome to the 2021 edition of Seasonal Musings!

Before we get started: for those that are reading this for the first time, please understand that I am neither the owner nor creator of either the TSPCenter website or TSPcalc.com website. I’m just a regular member of the TSPCenter forum who got promoted to the admin staff. The owner of the TSPcalc website is a TSPCenter forum member - mjedlin66 - who was inspired by my work and took it a step further. There are differences in the datasets that this thread discusses and what the TSPcalc website uses, but both strategies use the same methodology. That said, please understand that neither TSPCenter nor TSPcalc.com have any affiliation with the official TSP.gov website or TSP program itself. We’re all just TSP investors like yourself who have taken the time to deeply assess the program, it’s rules, and figure out ways to optimize our retirement planning.

Ok, on to the thread itself…

Back in 2014 I decided to put together this series of lengthy threads because at the time 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 TSPCenter’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 to pursue personal side projects. 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.

There is a total word count of about 17,500 words, which is an hour or so’s worth of reading if you don’t count digging into the stats too deeply. For comparison, the average novel is around 80,000 words long. I’m not asking you to read a book, just a few long-winded posts (that have nothing to do with politics or religion, for a change). I’m a late Gen-X’er, and don’t have problems reading a lot about a subject I’m interested in, so I tend to get long-winded myself when I write. However, if you like to skim through stuff, I won’t get offended – I get it, this stuff can get boring in a hurry.

That said, please do me a favor and take the time to closely read through this material. I’ve done my best to make it easily digestible and interesting, but it takes a building-block approach as a matter of necessity. I can’t just lay out the system for you if you don’t understand the basics first. I’ve tried to condense 7+ years’ worth of learning, research and knowledge into a few thread posts. I have to assume you don’t know the difference between an index and a bond, or why you should pay attention to the CAGR and PNR of a Fund before moving your money for next month. So I have to lay it all out for you one step at a time in a way that you should be able to grasp in a hurry, but that means you have to put in the work to try to understand it, and that means taking the time to read what I took the time to write. So sit back, grab some caffeine, turn on some decent music, and try not to skim because a lot of juicy know-how tidbits are hidden everywhere. Your older self will thank you later.


For those that are interested in history, my previous Seasonal Musings threads are here:
Original 2014 thread: http://tspcenter.com/forums/viewtopic.p ... &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
2018 version: http://tspcenter.com/forums/viewtopic.php?f=14&t=15693
2019 version: http://tspcenter.com/forums/viewtopic.php?f=14&t=16647
2020 version: viewtopic.php?f=14&t=17572

A note to those that followed the old threads: this year’s thread doesn’t have all that much in the way of new information other than updated stats and figures. You might find some of the new information interesting, entertaining, or irritating. Whichever happens to be the case, know that I didn’t just copy-and-paste the old thread entries into this one without adding or changing pertinent information such as providing current links or adding updates to reflect recent TSP policy changes. I’ve also added a small section about TSPCalc toward the end, as well as a short blurb about Mr. Bernstein’s book If You Can (which I highly recommend everybody read).

Please be aware that this thread isn’t an effort to prove that “Seasonal Beats All,” or that it’s impossible to beat the market using 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 military and U.S. Civil Service. With the arrival of the Blended Retirement System for the U.S. Military a few years ago, 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.

Bottom line: The data and trends I discuss in this thread are convincing enough to me that I’m following this Seasonal Strategy with my personal TSP account. I’m putting my money where my mouth is. I decline to say which specific Seasonal Strategy I follow – I don’t want people to blindly follow me without doing their due diligence. Each person needs to decide for themselves what strategy – buy-and-hold, seasonal strategies, market timing, or something else entirely – best fits their retirement goals. All I’m doing is providing another option for you to consider.

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 www.tsp.gov of your own accord.

Let me be clear about something else: 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.

What is this thing called “Seasonal Strategy”? Seasonal investing is an investing 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 stock return candlestick charts for 2-3 hours a day. It’s also an option for the followers that like the late John Bogle’s take on investing, which was 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 one of 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 a purely mathematical game.

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 with max Odds is the best bet. Any other purely 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 28 out of 33 times, or 85% of the time. Over that time, it has a Cumulative Annual Growth Rate (CAGR – aka: average rate of return) of 2.58%. In the last 20 years it has been positive 15 times (75%), with a CAGR of 1.39%. And in the last 10 years has been positive 7 times, with a CAGR of 0.26%. The last 5 years has been positive 4 of 5 times, and the CAGR has been 0.01%. Of those 5 negative Decembers since 1988, the returns were -10.70% (2018 – the worst December since 1931), -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 decent 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, even if 2018 was a really bad once-in-a-century return. Although the investor would like to see all timeframes (Since 1988, Last 20 years, Last 10 years, and Last 5 years) all solidly in the positive, the investor knows that Last 5 and Last 10 are both overly influenced by more recent data (like the 2018 return), and they only show how recent returns have done compared to long term returns, which are more stable and a better indicator of how the month actually performs in any given year. Thus, he realizes that the long-term returns expectations in December are good, even if the more recent Last 5 and Last 10 aren’t too good. Looking at the returns in multiple timeframes like this helps keep things in perspective.

On the other end of the spectrum, August is consistently terrible for the I Fund. It has been positive only 14 out of 33 times (42%), with a CAGR of -1.39%. In the last 20 years it has been positive 8 times (40%) and the CAGR -0.56%. The last 10 years it has been positive just 3 times with a CAGR of -1.39%. Finally, the last 5 years has seen only 2 positive returns for a CAGR of 0.27%. The I Fund in August is a horrible bet! The odds of it being a negative month are staggering, both long term as well as short term, 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 among people at that time of year. The collective effect is often called the “Santa Claus Rally”, and usually occurs roughly 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, and I can invest with the confidence that I understand why I’m making the move I’m making because I’ve looked at the data in a logical way, then I’m winning in the long run.

Why do I use 12% as the goal? Because the C Fund has a historical 1988 – 2020 CAGR of 10.85%, and the S Fund has a CAGR of 11.88% for the same time period. If I can beat those benchmarks, then I will be winning over Buy-and-Hold in the long run. For the last 20 years - the length of time that many working adults are seriously invested in the stock market before retiring - the C Fund has a CAGR of 7.48% and the S Fund has 9.67%.

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 within the guru’s advised 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 still 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 15 - 16% average, so there’s even more wiggle room for error.

To those experienced, perhaps skeptical, investors who may not be eager to strictly follow the Seasonal Strategy, I believe knowing the basics of my system can still 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.

If you’re wondering if a Seasonal Strategy can work even during bad times, well consider this: during the 2020 COVID craziness, the C Fund returned 18.31%. Three of my most popular Mixes – Jahbulon’s Basic Mix, TSPCenter Default, and Boltman’s Mix – all beat the C Fund, two of them by as much as 8+%. What’s more, all of my most popular Mixes outperformed the C Fund in 2001 and 2008 (the Dot-Com Crash and the Housing Market Crash).

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 invested 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 a technical 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 in an effort to try to do better. You avoid doing this temptation 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 to invite discussion on this strategy, and to document the monthly progress of several seasonal TSP Fund Mixes that I’ve seen. 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 go through a short glossary, 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
- Chindsey’s #1 Mix
- A benchmark “Sell in May and Go Away” using G and C
- 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 (25 at last count), and it would take just too much time to write about them all on a monthly basis. 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 Chindsey’s #1 Mix came into being in 2019. 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, and I’ll explain why a little later.

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 2021

Post by Aitrus »

Words and stuff (aka The Glossary)

Before I get started with the individual Fund History and Seasonal Strategy introduction posts, let me take a moment and explain a few terms I’ll be using.

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. (Side note: Getting the first $100,000 in TSP is tough, but after that point it seems like things really start picking up steam in a hurry – all due to compounding.)

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? That’s where using CAGR comes in.

Here’s how it works: imagine you have $1,000 and have a 100% gain which doubles your money to $2,000. Then you have a -50% loss, cutting your money in half and taking you back to $1,000. A straight mathematical average calculation would show the gain per year would as a 25% annual gain. 100% gain minus 50% loss, divided by two years of investing equals 25%.

[(100 - 50) / 2] = 25.

But the real number is 0% because you’re back at $1,000 after two years of returns. CAGR is the 0% real result and not the mathematical average of 25% in our above example. 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 document is titled “Calculating Periodic Returns and Compound Annual Returns” and the link is located on the Share Price History page: https://www.tsp.gov/fund-performance/sh ... e-history/

Here is the direct link to the PDF: https://www.tsp.gov/publications/oc05-16w.pdf

PNR
PNR is a term that I made up to quickly explain a simple concept. It’s the ratio of Positive Months vs. Negative Months. If a month has a history of having 4 out of 10 years with a positive return, then it has a PNR of 40%. If a month has a history of having 7 of 10 years in the positive, then it has a PNR of 70%. The higher the PNR, the more often a Fund has experienced positive returns during a given month. For example, if January has a PNR of 40% for one Fund but 70% for a different Fund, then you would want to go with the one with the higher PNR.

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 evaluation 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% PNR as the ideal demarcation point for how often a Fund is positive in a given month to quantify it as “good” because I can personally stand losing 30% of the time if the profit is high enough during the other 70% of the time to justify the risk.

But how high is “high enough”? At what point will the higher CAGR 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 long-term Buy and Hold, which are around 10-11% for the C and S Funds, which together represent the entirety of the US stock market. 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. 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 based on risk vs. reward. 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 G Fund returns was 1997.

Long term the F Fund is better, but with the Federal Reserve 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 2.06%, or about 0.17% per month, while the F Fund has returned an annual CAGR of 3.26%, or about 0.38% per month, with PNRs ranging from 0% (Sep) to 100% (May and July). Since the F Fund has better long term returns than the G Fund and has clearly defined strong and weak months throughout the year, 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
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. 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 a few days after the beginning of every month.

The calculation that TSP uses to figure out your PIP 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 2019 I listed the PIP showing how well each Mix did over the last 12 months. I used the returns from April 2018 – March 2019 for the calculation. This kind of measurement will give the reader a sense of how well the Mix has done recently as opposed to relying on the 5-year CAGR and PNR stats alone.

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%, which represented how Jahbulon’s Basic Mix had performed from Mar 2016 – Feb 2017. 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.

Mixes
A “Mix” is the recipe of Fund-to-month pairings for the year. Some Mixes perform better than others. Some of them have names, giving credit to the TSPCenter forum member who came up with it. Regardless of whatever seasonal Mix an investor decides to go with, remember that it’s all about the Law of Averages and the risk/reward ratio he/she is comfortable with. In the big scheme of things, I believe that there are multiple Mixes that perform well. They are less risky than buy-and-hold while making more than sitting in the G Fund, and are less technically demanding and more forgiving than the style of market timing that day traders are known for.

For those that follow the work going on over at TSPcalc.com, that site uses the term “strategy” to identify the different Mixes the site has. For example, strategy #130870 is a different blending of monthly / daily investing choices than #57117. It’s the same concept as my Mixes, just using different terminology and making full use of the IFT per month limits that the TSP employs. I call my entire program a “strategy” since seasonal investing as an investing approach that is different than the strategy of using buy-and-hold, for example. What we call them is just a matter of semantics, but hopefully this will eliminate any confusion that might come from this small difference in wording. For more about TSPcalc.com, go to the last of these introductory threads to read more about that site.

Monthly Interfund Transfer (IFT)
An IFT is how you move your money from the one Fund to another Fund on www.tsp.gov. It can also be done by phone via the ThriftLine at 1-877-968-3778. You would use an IFT to move money from the S Fund to the F Fund, for example, or vice versa.

Any IFT made on www.tsp.gov before noon Eastern Standard Time (EST) of any business day takes effect at the end of that business day. Any IFT made after noon EST takes effect at the end of the next business day. For example, 31 Jan 17 falls on a Tuesday. Since there is no Federal holiday, 1 Feb is a business day. A trade made between 12:01pm EST (just after lunch) on 30 Jan and 11:59am EST on 31 Jan will take effect at the end of the day at 4pm EST on 31 Jan. I always recommend getting your moves in at least an hour before the cut-off time, just in case your clock is a few minutes behind the one they use at TSP, or if the website is down, etc.

The reason it’s important to note the date of IFTs is because all of the data I present relies on 100% of each month’s returns. That is, the 1.49% return for Jan 2016 for the F Fund means that all of the trading activity between the opening bell of the first and the closing bell of the last business days of January equals a return of 1.49%. If you moved out of the F Fund earlier than 31 January, hypothetically on 27 January instead, then your personal return would be either higher or lower than 1.49%. This would affect your end of year return, and it wouldn’t match the strategy. It’s not a deal breaker, just be aware that the data I present uses those strict timeframes because that’s how the TSP tracks the monthly returns, and I use their data. You are certainly free to move when you choose, just understand what the numbers I present accurately represent.

Index
In stock market parlance, an index is a group of stocks that match a certain sector of the market. You hear indices (the plural form of index) mentioned quite often, but don’t realize it. There are a lot of them, and some are more commonly recognized than others. Whenever you hear the news say that the Dow has gained X points today, or that the NASDAQ lost X percent, or the S&P gained a fraction, they are talking about one index or another.

There are numerous Dow Jones indices, but one that is the most popular - “The Dow” - is short for the Dow Jones Industrial Average. The Dow is a list of 30 top U.S. companies with names you probably recognize such as McDonalds, Microsoft, Visa, GE, Intel, Apple, Merck, Johnson & Johnson, 3M, Wal-Mart, Walt Disney, Coca-Cola and other household names. The NASDAQ consists of a selection of the top U.S. computer and technology companies, and the S&P 500 refers to the top 500 U.S. companies by market value. Since the value of companies goes up and down all the time, the companies that identify which specific companies make up The Dow and the S&P 500 (and a whole host of others) will update the lists from time to time, but that’s a detail that won’t affect your decisions much because you are interested in the whole index.

An index is different from mutual funds. A mutual fund is made up of a hand-picked group of companies whose stock looks attractive to fund managers. These people are paid accountants and investing experts who have studied the company and believe the company is destined to grow in value. If the company grows in value, its stock becomes more valuable in turn, which means that investors that hold the company’s stock make money. If you invest in a mutual fund, you are relying on the expertise of the fund manager to pick good stocks, and you pay his fees and salary regardless of whether or not his picks end up making money. Then additional fees are added for moving money from one mutual fund to another, for handling and recordkeeping fees, etc.

Funds or accounts based on an index are different. An index-based fund manager doesn’t pick and choose winners, the index tells him what to buy. If the Fund is based on the S&P 500, then the manager will purchase stock holdings for the Fund in a way that matches the index. If Apple has 8% of the S&P 500 pie, then the fund manager will use 8% of the Fund’s money to buy Apple stocks. If Wal-Mart has a 3% share of the pie, then the fund manager will put 3% of the money into Wal-Mart stock. And so on down the list until all 100% of the Fund’s money is invested in such a way as to mirror the index the Fund is based on. It’s not a perfect match, but it’s close enough to understand the concept.

Fund managers charge less for investors to put their money into index-based accounts because the manager doesn’t have to spend any extra time researching dozens of companies and deciding which ones are the best for the account. That is why the TSP is able to charge the lowest fees in the industry. If you were invested in the S Fund for all of 2020, the charge to your TSP account was $0.51 for every $1,000 you had in the account, or about 0.051%. Compare this to the average low-cost Large-Cap Stock mutual fund expense ratio for 2020 of around 1.00%, or $10.00 for every $1,000 in the account. If you are invested in a mutual fund your annual return is diminished by over 1% every year due to this fee, which is a huge difference in the long term. You are required to pay this regardless whether or not the fund makes money during the year. Keep in mind that this is an average “low-cost” mutual fund set of fees. It’s common for some mutual fund managers to charge as high as 2.5 or 3%. And that is before other fees are added on top, such as trading fees, record keeping fees, finders fees, etc. In contrast, for 2017, outside the TSP the average fee for investing in a S&P 500 Index-based account was 0.15%. That’s still higher than the TSP’s 0.051%, but it still shows that indices are without question the way to go, regardless you’re in the TSP or using a personal IRA.

The US Department of Labor has a quick video that helps explain this further, and with some visual demonstration to boot: https://www.youtube.com/watch?v=IkXAEHuwnM4

I’ve mentioned a few of the indices that track groups of stocks, but just how many stocks are there? It depends on how you look at the numbers. In the US there are currently about 5,000 companies that are actively traded, 2,800 of which are the most commonly traded on the New York Stock Exchange. There are many others that are traded in other ways. The total number goes up and down all the time. The ones that are worth trading - and thus are the ones you care about the most - are all covered by the TSP. If you’re interested in keeping track of the various market indices that the TSP Funds use, then I’ll refer you to the next few posts in this thread to see which “ticker symbols” – the shorthand abbreviations the stock market uses to identify indices

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
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Re: Seasonal Musings 2021

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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 and is backed by the full faith and credit of the U.S. Government (take that statement however you wish). 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 how prices aren’t anywhere near that nowadays? Same concept. While the dollars you have invested in the G Fund won’t go down, your dollars will buy less and less as time goes on due to inflation. 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 monthly returns on record. That year it earned 8.83%. Its low point was Aug 2020, when it earned 0.05% for the month and a whopping 0.98% for the year. During the entire year it earned above 0.1% exactly in only three months (Jan – Mar), and the rest of the year was 0.07% or less. The steep price paid in the G Fund’s low recent returns is offset by the guaranteed safe haven it gives us. 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 (but still less than inflation in the long run).

There is no index to follow, so there is no ticker symbol to use for the G Fund.

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: 4.74%
Best monthly average: Jan, Mar, May, and Jul at 0.40%
Worst monthly average: Feb and Nov at 0.36%
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: 3.15%
Best monthly average: Aug at 0.29%
Worst monthly average: Nov at 0.24%

Last 10 years:
Overall CAGR: 2.05%
Best monthly average: Jan at 0.19%
Worst monthly average: Sep, Oct, and Nov at 0.16%

Last 5 years:
Overall CAGR: 2.06%
Best monthly average: Jan at 0.20%
Worst monthly average: Sep 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 2021

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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. The ticker symbol to use when following this bond index is AGG. This Fund has its ups and downs, and definitely has a least favorite time of year (Mar and Nov). Its positives outweigh its negatives, and in the long run has better returns than the G Fund. Keep in mind that this is still an index – a market – and that means that the value of the bonds themselves plays a part (along with whatever rates the Federal Reserve sets), but it also subject to the willingness of investors to buy or sell them as well.

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%. Consider a “good” F Fund month to be a CAGR of 0.5% or better, and a PNR of 70% or better.

Since 1988:
Overall CAGR: 6.16%
Pos/Neg Ratio (PNR): 30 of 33, or 91% of 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:
Jan: CAGR 0.65%, PNR 79% (26 of 33), lowest return was -1.38% (1990), highest return was 2.13% (2015)
Feb: CAGR 0.32%, PNR 70% (23 of 33), low was -1.75% (1996), best was 2.38% (1995)
Mar: CAGR 0.03%, PNR 58% (19 of 33), low was -2.45% (1994), best was 1.93% (2019)
Apr: CAGR 0.41%, PNR 67% (22 of 33), low was -2.54% (2004), best was 2.05% (1989)
May: CAGR 0.63%, PNR 67% (22 of 33), low was -1.78% (2013), best was 3.84% (1995)
Jun: CAGR 0.61%, PNR 67% (22 of 33), low was -1.53% (2013), best was 3.19% (1989)
Jul: CAGR 0.73%, PNR 79% (26 of 33), low was -2.51% (2003), best was 2.69% (1997)
Aug: CAGR 0.68%, PNR 70% (23 of 33), low was -1.48% (1989), best was 2.60% (2019)
Sep: CAGR 0.60%, PNR 73% (24 of 33), low was -1.47% (1994), best was 2.68% (2003)
Oct: CAGR 0.37%, PNR 70% (23 of 33), low was -2.4% (2009), best was 2.45% (1989)
Nov: CAGR 0.37%, PNR 61% (20 of 33), low was -2.35% (2016), best was 3.3% (2008)
Dec: CAGR 0.56%, PNR 70% (23 of 33), low was -1.55% (2009), best was 3.73% (2008)

Last 20 years:
Overall CAGR: 4.98%
PNR: 95% (19 of 20)
Good months:
Jan: CAGR 0.70%, PNR 85%
Jul: CAGR 0.61%, PNR 80%
Aug: CAGR 0.85%, PNR 75%
Worst months:
Mar: CAGR 0.12%, PNR 55%
Oct: CAGR 0.07%, PNR 65%
Nov: CAGR 0.24%, PNR 55%

Last 10 years:
Overall CAGR: 4.07%
PNR: 90%
Good months:
Jan: CAGR 0.77%, PNR 80%
Apr: CAGR 0.63%, PNR 80%
May: CAGR 0.52%, PNR 80%
Jul: CAGR 0.64%, PNR 90%
Worst months:
Jun: CAGR 0.07%, PNR 50%
Sep: CAGR 0.03%, PNR 40%
Nov: CAGR -0.06%, PNR 50%

Last 5 years:
Overall CAGR: 4.57%
PNR: 100%
Best Months:
Jan: CAGR 0.71%, PNR 80%
May: CAGR 0.77%, PNR 100%
Jul: CAGR 0.56%, PNR 100%
Dec: CAGR 0.51%, PNR 80%
Worst months:
Sep: CAGR -0.34%, PNR 0%
Oct: CAGR -0.32%, PNR 40%
Nov: CAGR -0.19%, PNR 20%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
Recommended Reading: http://tspcenter.com/forums/viewtopic.php?f=14&t=13474
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Re: Seasonal Musings 2021

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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. This index is one of the most widely watched and followed in the US market. The ticker symbol for the S&P 500 is $SPX.

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%. Consider a “good” C Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Since 1988:
Overall CAGR: 10.85%
PNR: 82% (27 of 33)
Best years: 37.39% (1995), 33.17% (1997), 32.45% (2013), 31.45% (2019), 31.02% (1989)
Worst years: -37.0% (2008), -22.04% (2002), -11.95% (2001), -9.14% (2000), -4.41% (2018) and -3.14% (1990)

Monthly profile since 1988:
Jan: CAGR 0.55%, PNR 58% (19 of 33), low was -8.41% (2009), best was 8.01% (2019)
Feb: CAGR 0.25%, PNR 61% (20 of 32), low was -10.64% (2009), best was 7.2% (1998)
Mar: CAGR 0.83%, PNR 67% (22 of 33), low was -12.40% (2020), best was 9.74% (2000)
Apr: CAGR 2.07%, PNR 79% (26 of 33), low was -6.06% (2002), best was 12.81% (2020)
May: CAGR 1.22%, PNR 73% (24 of 33), low was -7.99% (2010), best was 9.44% (1990)
Jun: CAGR 0.07%, PNR 61% (20 of 33), low was -8.41% (2008), best was 7.04% (2019)
Jul: CAGR 1.36%, PNR 58% (19 of 33), low was -7.7% (2002), best was 8.83% (1989)
Aug: CAGR -0.45%, PNR 61% (20 of 33), low was -14.47% (1998), best was 7.19% (2020)
Sep: CAGR -0.22%, PNR 55% (18 of 33), low was -10.87% (2002), best was 8.92% (2010)
Oct: CAGR 1.17%, PNR 64% (21 of 33), low was -16.83% (2008), best was 10.93% (2011)
Nov: CAGR 1.96%, PNR 76% (25 of 33), low was -7.87% (2000), best was 10.95% (2020)
Dec: CAGR 1.57%, PNR 82% (27 of 33), low was -9.03% (2018), best was 11.41% (1991)

Last 20 years:
Overall CAGR: 7.48%
PNR: 80% (16 of 20)
Good Months:
Apr: CAGR 2.57%, PNR 80%
Nov: CAGR 2.36%, PNR 85%
Worst Months:
Jan: CAGR -0.03%, PNR 50%
Feb: CAGR -0.46%, PNR 55%
Jun: CAGR -0.54%, PNR 60%
Aug: CAGR 0.02%, PNR 65%
Sep: CAGR -0.75%, PNR 60%

Last 10 years:
Overall CAGR: 13.91%
PNR: 90%
Good months:
Feb: CAGR 1.37%, PNR 70%
Apr: CAGR 2.40%, PNR 90%
Jun: CAGR 1.14%, PNR 70%
Jul: CAGR 2.15%, PNR 80%
Nov: CAGR 2.94%, PNR 90%
Worst Months:
May: CAGR -0.10%, PNR 70%
Aug: CAGR 0.04%, PNR 60%
Sep: CAGR -0.50%, PNR 60%

Last 5 years:
Overall CAGR: 15.20%
PNR: 80%
Good Months:
Apr: CAGR 3.63%, PNR 100%
Jun: CAGR 2.07%, PNR 100%
Jul: CAGR 3.30%, PNR 100%
Aug: CAGR 1.81%, PNR 80%
Nov: CAGR 4.63%, PNR 100%
Worst Months:
Feb: CAGR -1.08%, PNR 40%
Mar: CAGR -1.43%, PNR 60%
Oct: CAGR -1.43%, 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 2021

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The S Fund

This tracks the Dow Jones Total Stock Market (TSM) 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 5,000 stocks in the market covered. There’s a few more, but they’re all smaller than the top 5,000 and really aren’t worth trading in something like the TSP. Companies not included would be small mom and pop businesses, risky penny stocks, companies with a total value of less than $10 million, etc.

TSP has information for the S Fund going back to 2001, when the Fund was first included in TSP. 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. The current ticker symbol for the index the S Fund follows is $DWCPF.

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

Since 1988:
Overall CAGR: 11.88%
PNR: 73% (24 of 33)
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), -9.26% (2018), -9.03% (2001), -6.45% (1990), -3.4% (2012), - 2.93% (2015), -2.66% (1994)

Monthly profile since 1988:
Jan: CAGR 0.92%, PNR 61% (20 of 33), low was -8.72% (2016), best was 11.64% (2019)
Feb: CAGR 0.90%, PNR 61% (20 of 33), low was -12.15% (2001), best was 15.55% (2000)
Mar: CAGR 0.53%, PNR 67% (22 of 33), low was -21.40% (2020), best was 8.64% (2009)
Apr: CAGR 1.20%, PNR 73% (24 of 33), low was -12.03% (2000), best was 15.81% (2020)
May: CAGR 1.20%, PNR 64% (21 of 33), low was -7.38% (2000), best was 9.95% (1997)
Jun: CAGR 0.68%, PNR 61% (20 of 33), low was -7.63% (2008), best was 12.01% (2000)
Jul: CAGR 0.45%, PNR 52% (17 of 33), low was -9.93% (2002), best was 8.66% (2009)
Aug: CAGR 0.08%, PNR 61% (20 of 33), low was -19.38% (1998), best was 11.16% (2000)
Sep: CAGR -0.12%, PNR 61% (20 of 33), low was -12.5% (2001), best was 11.47% (2010)
Oct: CAGR 0.12%, PNR 61% (20 of 33), low was -20.99% (2009), best was 14.09% (2011)
Nov: CAGR 2.04%, PNR 76% (25 of 33), low was -17.03% (2000), best was 18.26% (2020)
Dec: CAGR 2.58%, PNR 85% (28 of 33), low was -10.70% (2018), best was 13.78% (1999)

Last 20 years:
Overall CAGR: 9.67%
PNR: 70%
Good Months:
Apr: CAGR 2.84%, PNR 70%
Nov: CAGR 3.13%, PNR 85%
Dec: CAGR 1.39%, PNR 75%
Worst Months:
Jan: CAGR 0.56%, PNR 50%
Feb: CAGR -0.38%, PNR 55%
Jun: CAGR -0.02%, PNR 60%
Jul: CAGR 0.47%, PNR 50%
Aug: CAGR 0.09%, PNR 55%
Sep: CAGR -0.98%, PNR 55%

Last 10 years:
Overall CAGR: 13.32%
PNR: 70%
Good months:
Feb: CAGR 1.62%, PNR 80%
Apr: CAGR 2.05%, PNR 70%
Oct: CAGR 1.36%, PNR 70%
Nov: CAGR 4.10%, PNR 90%
Worst Months:
Mar: CAGR -0.71%, PNR 60%
Aug: CAGR -0.13%, PNR 50%
Sep: CAGR -1.20%, PNR 50%

Last 5 years:
Overall CAGR: 16.06%
PNR: 80%
Best Months:
Apr: CAGR 4.38%, PNR 100%
Jun: CAGR 2.74%, PNR 80%
Jul: CAGR 3.08%, PNR 100%
Nov: CAGR 6.96%, PNR 100%
Worst Months:
Feb: CAGR -0.8%, PNR 60%
Mar: CAGR -3.26%, PNR 40%
Oct: CAGR -2.12%, PNR 60%
Dec: CAGR -0.01%, PNR 80%
Seasonal Musings 2021: viewtopic.php?f=14&t=18757
Recommended Reading: http://tspcenter.com/forums/viewtopic.php?f=14&t=13474
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Re: Seasonal Musings 2021

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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 symbol for the index the I Fund follows 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 Singapore or Taiwan. 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 highly 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 to pay for that nation’s debts to the EU. 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 as a main investment vehicle, but that’s me and my risk tolerance. Yours may vary. That being said, if I had to pick a single month in which to use the I Fund, it would be April - hands down.

The TSP Board recently considered changing the index that the I Fund follows, and there is still debate going on in Washington DC regarding this change. If approved, the new index will be the MSCI ACWI ex USA Investable Market Index. This is a large name for an index that captures large, mid and small cap representation across 22 developed markets and 26 emerging markets and does not include any US companies. At present, it contains over 6,000 companies, and covers approximately 99% of the global market outside the US worth investing in. Part of the issue with the TSP board deciding to move to this index is that it contains a number of companies that are owned by the Chinese government, which is communist in nature. A lot of people don’t like this and are pressuring Congress to take action to prevent this change. The reason for the change is that the index the I Fund currently follows has historically dismal returns, as you’ll see below. I have not yet done a historical look back at this proposed index, but if the TSP Board goes through with their change, I’ll take the time to do the research and post it in this thread.

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%. Consider a “good” I Fund month to be an average return of 1% or greater and a PNR or 70% or better.

Since 1988:
Overall CAGR: 5.32%
PNR: 70% (23 of 33)
Best years: 37.92% (2003), 30.47 (1993), 30.04% (2009)
Worst years: -42.43% (2008), - 24.7% (1990), -21.94% (2001), -15.96% (2002), -15.20 (2000), -13.87% (1992), and -13.41% (2018)

Monthly profile since 1988:
Jan: CAGR -0.54%, PNR 48% (16 of 33), low was -11.93% (2009), best was 8.33% (1994)
Feb: CAGR 0.22%, PNR 58% (19 of 33), low was -10.23% (2009), best was 10.56% (1991)
Mar: CAGR 0.57%, PNR 64% (21 of 33), low was -13.87% (2020), best was 8.56% (1993)
Apr: CAGR 2.64%, PNR 82% (27 of 33), low was -5.36% (2000), best was 12.13% (2009)
May: CAGR -0.24%, PNR 45% (15 of 33), low was -11.4% (2012), best was 13.41% (2009)
Jun: CAGR -0.42%, PNR 45% (15 of 33), low was -8.15% (2008), best was 7.08% (2012)
Jul: CAGR 1.34%, PNR 67% (22 of 33), low was -9.99% (2002), best was 12.45% (1989)
Aug: CAGR -1.39%, PNR 42% (14 of 33), low was -12.51% (1998), best was 6.09% (1992)
Sep: CAGR -0.61%, PNR 61% (20 of 33), low was -14.08% (1990), best was 9.81% (2010)
Oct: CAGR 0.90%, PNR 61% (20 of 33), low was -20.59% (2008), best was 15.4% (1990)
Nov: CAGR 0.57%, PNR 61% (20 of 33), low was -8.86% (1993), best was 15.54% (2020)
Dec: CAGR 2.22%, PNR 79% (26 of 33), low was -4.82% (2018), best was 8.88% (1999)

Last 20 years:
Overall CAGR: 4.65%
PNR: 65%
Best months:
Apr: CAGR 3.29%, PNR 80%
Dec: CAGR 1.80%, PNR 70%
Worst Months:
Jan: CAGR -0.77%, PNR 50%
Feb: CAGR -0.41%, PNR 55%
May: CAGR -0.61%, PNR 50%
Jun: CAGR -0.34%, PNR 45%
Aug: CAGR -0.56%, PNR 40%
Sep: CAGR -0.66%, PNR 70%

Last 10 years:
Overall CAGR: 5.87%
PNR: 60%
Best Months:
Jan: CAGR 1.47%, PNR 70%
Apr: CAGR 3.07%, PNR 90%
Jul: CAGR 1.47%, PNR 70%
Worst Months:
Mar: CAGR -0.90%, PNR 50%
May: CAGR -1.54%, PNR 40%
Jun: CAGR 0.54%, PNR 40%
Aug: CAGR -1.39%, PNR 30%
Sep: CAGR -0.53%, PNR 60%

Last 5 years:
Overall CAGR: 7.99%
PNR 80%
Best months:
Apr: CAGR 3.16%, PNR 100%
Jul: CAGR 2.10%, PNR 80%
Dec: CAGR 1.56%, PNR 80%
Worst months:
Feb: CAGR -2.40%, PNR 40%
Mar: CAGR -1.15%, PNR 60%
Jun: CAGR 0.88%, PNR 40%
Aug: CAGR 0.27%, PNR 40%
Oct: CAGR -1.84%, 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 2021

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How This Thing Works

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: the Mix you’re following advises C Fund for March 2021.

Step 2. Make your monthly IFT move take effect at close of business on the last trading day of Feb 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: Due to switch to C Fund for March 2020. Since February has you in the S Fund, you should submit your IFT to TSP.gov sometime between 12:01pm EST on Thursday, 25 February and 11:59am EST on Friday, 26 February. The move is triggered at 4pm EST on 26 Feb. At the start of the trading day on Monday, 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 that 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 Fund / month 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.

Step 6. Follow the plan. Ignore the media, blogs and financial “experts” on TV. Trust the data because it’s unbiased and unemotional. 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 in this thread, 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 for them during the End-Of-Year Roundup, but during the rest of the year I probably won’t discuss them much.
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 2021

Post by Aitrus »

Jahbulon’s Basic Mix

This is originally found at viewtopic.php?f=14&t=5474#p21430

This Mix 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 as much as I do. 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 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 Fund / month combinations. 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: 15.63%, PNR 91% (30 of 33 years have positive returns)
Last 20 CAGR: 11.91%, PNR 90%
Last 10 CAGR: 13.22%, PNR 90%
Last 5 CAGR: 10.53%, PNR 80%

Best years: 46.92% (1998), 37.68% (1991), 37.22% (2009)
Worst years: -16.15% (2018), -15.88% (2008), -0.32% (1994), 0.60% (2002)

Beat C Fund 19 of 33 times (58%), for a higher gain of 138.41% since 1988.
Best yearly gain over C Fund: 29.36% (2000: 20.22% vs -9.14%)
Worst loss to C Fund: -12.76% (1997: 20.41% vs 33.17%)

Beat S Fund 16 of 33 times (48%), for a higher gain of 91.30% since 1988.
Best yearly gain over S Fund: 38.29% (1998: 46.92% vs 8.63%)
Worst loss to S Fund: -21.42% (1999: 20.97% vs 42.39%)

Number of months with a PIP of 12% or more: 248 out of 385 (64.4%)
Number of months with a PIP that was negative: 36 of 385 (9.4%)

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%). The big hit in 2018 was the worst one yet, but if history is any indicator then we should hopefully see good things in the coming years – and so far we have. 2019’s return was 19.47% and 2020 saw 18.49%. In addition, this mixture has had only 9 years that were not double-digit positive return years since 1988 (including all three 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 15.95%, PNR 91% (30 of 33)
Last 20 years: CAGR 11.75%, PNR 85%
Last 10 years: CAGR 14.41%, PNR 90%
Last 5 years: CAGR 11.24%, PNR 80%

Jahbulon’s SMA Mix (same monthly rotation as Old Basic Mix, but uses a technical indicator as a stop-loss mechanism)
Since 1988: CAGR 12.45%, PNR 94% (31 of 33)
Last 20 years: CAGR 9.61%, PNR 95%
Last 10 years: CAGR 9.63%, PNR 90%
Last 5 years: CAGR 9.33%, PNR 80%

Jahbulon’s SMA Enter Only Mix (same as Jahbulon’s SMA Mix, but uses the technical indicator in a slightly different way)
Since 1988: CAGR 13.21%, PNR 91% (30 of 33)
Last 20 years: CAGR 10.80%, PNR 95%
Last 10 years: CAGR 11.28%, PNR 90%
Last 5 years: CAGR 9.79%, PNR 80%

Jahbulon’s Old Mix with F in July
(does just what the title says)
Since 1988: CAGR 15.23%, PNR 91% (30 of 33)
Last 20 years: CAGR 11.05%, PNR 90%
Last 10 years: CAGR 12.73%, PNR 90%
Last 5 years: CAGR 8.29%, PNR 80%

Aitrus’ Homebrew V1
(uses G Fund in Jun, Aug and Sep instead of F Fund)
Since 1988: CAGR 14.75%, PNR 91% (30 of 33)
Last 20 years: CAGR 10.48%, PNR 85%
Last 10 years: CAGR 13.12%, PNR 90%
Last 5 years: CAGR 8.48%, PNR 80%
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 2021

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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. The I Fund is used 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. This Mix beat both the C and S Funds in 2008 by over 19%. It has a total of 11 years without double digit positive returns, including both negative years.

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: 16.25%, PNR 94% (31 of 33)
Last 20 CAGR: 12.34%, PNR 90%
Last 10 CAGR: 13.20%, PNR 90%
Last 5 CAGR: 8.76%, PNR 80%

Best years: 49.39% (1998), 43.23% (2009), 38.76% (1991)
Worst years: -17.88% (2008), -15.83% (2018), 0.06% (1994), 2.17% (2012)

Beat C Fund 19 of 33 times (58%), for a higher gain of 164.65% 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 33 times (52%), for a higher gain of 117.53% since 1988.
Best yearly gain over S Fund: 40.76% (1998: 49.39% vs 8.63%)
Worst loss to S Fund: -23.58% (2020: 8.27% vs 31.85%)

Number of months with a PIP of 12% or more: 248 out of 385 (64.4%)
Number of months with a PIP that was negative: 41 of 385 (10.6%)

Analysis: This Mix is the best long-term 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. 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 16.28%, PNR 94% (31 of 33)
Last 20 years: CAGR 12.71%, PNR 90%
Last 10 years: CAGR 13.97%, PNR 90%
Last 5 years: CAGR 10.06%, PNR 80%

Rothwell’s Mix
(Uses S in Mar, May, Nov and C in Sep)
Since 1988: CAGR 14.62%, PNR 82% (27 of 33)
Last 20 years: CAGR 12.91%, PNR 80%
Last 10 years: CAGR 13.68%, PNR 90%
Last 5 years: CAGR 12.05%, PNR 80%
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 2021

Post by Aitrus »

TSPCenter.com’s Seasonal Mix

TSPCenter.com used to have a calculator where you could pick and choose monthly Fund allocations, but it hasn’t been updated since 2012. It was a sort of a proto-TSPcalc, but that site is better in pretty much every way in terms of being able to mix and match different possibilities. There was a default setting on the TSPCenter calculator when you first got to the page. This default setting had returned 15+% annually up to 2012 according to the calculator, and I verified it using my data. However, after 2012 the calculator wasn’t being kept up to date anymore, so I’ve gone a step further and have kept tracking it all the way to the present. This Mix was the essentially tied as best performer of 2020. The Fund / month combinations are 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: 13.40%, PNR 91% (30 of 33)
Last 20 CAGR: 10.87%, PNR 90%
Last 10 CAGR: 8.24%, PNR 80%
Last 5 CAGR: 9.97%, PNR 60%

Best Years: 48.13% (2009), 27.7% (1998), 26.76% (2020)
Worst Years: -10.29% (2018), -2.06% (1994), -0.47% (2015), 1.82% (2008)

Beat C Fund 14 of 33 times (42%), for a higher gain of 56.29% since 1988.
Best yearly gain over C Fund: 38.82% (2008: 1.82% vs -37%)
Worst loss to C Fund: -20.87% (2019: 10.58% vs 31.45%)

Beat S Fund 15 of 33 times (45%), for a higher gain of 9.17% 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: 210 out of 385 (54.5%)
Number of months with a PIP that was negative: 28 of 385 (7.3%)

Analysis: This fund mixture has solid performance and beats the market…barely. It has the benefit of getting roughly the same returns as the US stock market in general, but by being invested only 5 months out of the year the investor significantly cuts back on the risk for the same amount of gain. It has only three negative years in 1994, 2015 and 2018, 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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Re: Seasonal Musings 2021

Post by Aitrus »

tmj100’s Mix

This Mix was suggested in 2016 by tmj100, and was inspired by another forum member’s Fantasy Account 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 the best for 2015 had it existed back 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: 15.26%, PNR 91% (30 of 33)
Last 20 CAGR: 13.39%, PNR 85%
Last 10 CAGR: 14.24%, PNR 90%
Last 5 CAGR: 10.16%, PNR 80%

Best years: 46.16% (1998), 39.51% (1991), 36.71% (2009)
Worst years: -21.34% (2000), -20.79% (2008), -11.97% (2018), 0.14% (1994)

Beat C Fund 20 of 33 times (61%), for a higher gain of 136.71% 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 33 times (42%), for a higher gain of 89.59% since 1988.
Best yearly gain over S Fund: 37.53% (1998: 46.16% vs 8.63%)
Worst loss to S Fund: -25.22% (2020: 6.63% vs 31.85%)

Number of months with a PIP of 12% or more: 264 out of 385 (68.6%)
Number of months with a PIP that was negative: 54 of 385 (14.0%)

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.

Spin-offs:
fede.dica’s Mix
(Uses I in Jul instead of C)
Since 1988: CAGR 15.24%, PNR 88% (29 of 33)
Last 20 years: CAGR 13.02%, PNR 90%
Last 10 years: CAGR 13.49%, PNR 90%
Last 5 years: CAGR 8.89%, PNR 80%
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 2021

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, and was essentially tied for the best performer of 2020. It’s also one of the few Mixes I track that outperformed the C and S Funds in 2001, 2008, and 2018 - three of the four major crash years we’ve experienced in the last 20 years – and beat the C Fund in the fourth crash year: 2020.

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: 14.07%, PNR 82% (27 of 33)
Last 20 CAGR: 14.48%, PNR 80%
Last 10 CAGR: 11.52%, PNR 70%
Last 5 CAGR: 14.35%, 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 17 of 33 times (52%), for a higher gain of 108.57% 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 33 times (48%), for a higher gain of 61.45% since 1988.
Best yearly gain over S Fund: 31.57% (1990: 25.12% vs -6.45%)
Worst loss to S Fund: -20.43% (2019: 7.55% vs 27.98%)

Number of months with a PIP of 12% or more: 226 out of 385 (58.7%)
Number of months with a PIP that was negative: 59 of 385 (15.3%)

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 considering. It has more negative years than other Mixes, but has a habit of outperforming the market during down years.

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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Aitrus
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Posts: 2142
Joined: Mon Aug 06, 2012 5:03 pm

Re: Seasonal Musings 2021

Post by Aitrus »

Chindsey’s #1 Mix

This Mix was suggested by Chindsey and is originally found at http://tspcenter.com/forums/viewtopic.p ... =15#p75732. Chindsey 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.

Monthly Allocation:
Jan: F Fund
Feb: S Fund
Mar: S Fund
Apr: I Fund
May: S Fund
Jun: G Fund
Jul: C Fund
Aug: F Fund
Sep: G Fund
Oct: G Fund
Nov: C Fund
Dec: S Fund

Since 1988
Overall CAGR: 14.33%, PNR 97% (32 of 33)
Last 20 CAGR: 11.43%, PNR 85%
Last 10 CAGR: 11.29%, PNR 90%
Last 5 CAGR: 8.60%, PNR 80%

Best years: 41.69% (2009), 39.27% (1991), 32.95% (1998)
Worst years: -4.10% (2018), 0.19% (2002), 0.45% (2001)

Beat C Fund 19 of 33 times (58%), for a higher gain of 86.96% since 1988.
Best yearly gain over C Fund: 40.12% (2008: 3.12% vs -37.00%)
Worst loss to C Fund: -24.80% (2019: 6.65% vs 31.45%)

Beat S Fund 15 of 33 times (45%), for a higher gain of 39.84% since 1988.
Best yearly gain over S Fund: 41.44% (2008: 3.12% vs -38.32%)
Worst loss to S Fund: -29.25% (2020: 2.60% vs 31.85%)

Number of months with a PIP of 12% or more: 238 out of 385 (61.8%)
Number of months with a PIP that was negative: 32 of 385 (8.3%)

Analysis: This mix has the distinction of having one of the highest overall PNRs of all the active Mixes that I track. It also has only nine years that aren’t in double digits, including the negative year. This is a good one to follow if you like positive years, even if there’s others that have better overall performance.

Spin-offs:
Chindsey’s #2 Mix
(Uses S in May instead of C)
Since 1988: CAGR 14.31%, PNR 91% (30 of 33)
Last 20 years: CAGR 11.98%, PNR 90%
Last 10 years: CAGR 11.54%, PNR 90%
Last 5 years: CAGR 9.32%, PNR 80%
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
Moderator
Posts: 2142
Joined: Mon Aug 06, 2012 5:03 pm

Re: Seasonal Musings 2021

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 in a regular 401k account outside the TSP.

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. However, there’s more to seasonal investing than the “Sell in May” model.

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: 10.83%, PNR 88% (29 of 33)
Last 20 CAGR: 8.34%, PNR 85%
Last 10 CAGR: 11.41%, PNR 90%
Last 5 CAGR: .23%, PNR 80%

Best years: 43.03% (1998), 30.13% (2019), 28.82% (1991)
Worst years: -24.63% (2008), -12.81% (2018), -6.14% (2000)

Beat C Fund 13 of 33 times (39%), for a lower return of -20.60% 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 12 of 33 times (36%), for a lower return of -67.72% 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: 216 out of 385 (56.1%)
Number of months with a PIP that was negative: 60 of 385 (15.6%)

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 own investing 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 5 years in this mix that had all positive months. These were 1998, (43.03%), 2006 (15.13%), 2013 (25.63%),2017 (15.35%), and 2019 (30.13%). 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 about Sell in May: 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 12.97%, PNR 82% (27 of 33)
Last 20 years: CAGR 11.54%, PNR 85%
Last 10 years: CAGR 12.92%, PNR 90%
Last 5 years: CAGR 8.69%, PNR 80%

Aitrus’ Homebrew V3 (uses S and G in the same pattern)
Since 1988: CAGR 11.18%, PNR 79% (26 of 33)
Last 20 years: CAGR 8.69%, PNR 80%
Last 10 years: CAGR 10.72%, PNR 80%
Last 5 years: CAGR 4.93%, PNR 60%

Aitrus’ Homebrew V4 (uses C and F in Sell in the same pattern)
Since 1988: CAGR 12.28%, PNR 85% (28 of 33)
Last 20 years: CAGR 9.62%, PNR 85%
Last 10 years: CAGR 12.51%, PNR 90%
Last 5 years: CAGR 8.90%, PNR 80%
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 Prices2021-07-27

FundPriceDayYTD
G $16.63 0.00% 0.76%
F $21.11 0.24% -0.42%
C $66.04 -0.47% 18.12%
S $83.84 -0.93% 12.99%
I $38.76 -0.09% 9.52%
L2065 $14.18 -0.40% 14.24%
L2060 $14.18 -0.40% 14.24%
L2055 $14.18 -0.40% 14.24%
L2050 $28.84 -0.31% 11.74%
L2045 $13.16 -0.29% 11.05%
L2040 $48.00 -0.27% 10.38%
L2035 $12.68 -0.24% 9.59%
L2030 $42.19 -0.22% 8.80%
L2025 $11.94 -0.16% 7.01%
Linc $23.11 -0.07% 3.73%

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".