Seasonals below the mean
Moderator: Aitrus
Seasonals below the mean
I noticed a lot of the Seasonals that I follow are well below the mean for this year. I know we have a month to go but many are looking to come in at their lowest in the past 15 years. For ex the one I follow
https://tspcalc.com/seasonal.php?ID=856 ... arks=C-S-I
https://tspcalc.com/seasonal.php?ID=856 ... arks=C-S-I
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Re: Seasonals below the mean
If 85660 holds at 11.4%, it will finish 2021 5.6x SD below its 2004-20 mean [(29.0-11.4)/3.1 )] − a definite outlier from the trend.
Consider that 85660 is in F 20% of the time. F's mean return from 2004-2020 is 4.5% with a 2.8 Std Dev. This year it is running -1.3%, or 2.1x SD [(4.5+1.3)/2.8 )] less than the mean − nearly 6 percentage points less. G is also sub-par − almost 1.2% in 2021, or or 1.4x SD [(2.9-1.2)/1.2] below its mean.
Time in F is not the only factor. Take a look at these six which have 0% F, listed in order of increasing SD.
https://tspcalc.com/seasonal.php?ID=856 ... 612-158100
The two {148233,92209} which had least variability (SD <3, mean <28) from 2004-20 are also lagging far behind their means in 2021. The others (SD 5.5 to 8.5) are running 2x to 0.8x SD below their means. The general trend is that the higher the mean from 2004-20, the better its performance this year. However, none is besting C fund − so far.
I would not expect stellar performance from equities this December. In the two years (2011 & 2015) in which the C fund's return exceeded this October's 7% following a negative September, its total return for the remainder of the year was less than 1%. The return of S in the same years was negative for November & December.
Enjoy the math.
12²
Consider that 85660 is in F 20% of the time. F's mean return from 2004-2020 is 4.5% with a 2.8 Std Dev. This year it is running -1.3%, or 2.1x SD [(4.5+1.3)/2.8 )] less than the mean − nearly 6 percentage points less. G is also sub-par − almost 1.2% in 2021, or or 1.4x SD [(2.9-1.2)/1.2] below its mean.
Time in F is not the only factor. Take a look at these six which have 0% F, listed in order of increasing SD.
https://tspcalc.com/seasonal.php?ID=856 ... 612-158100
The two {148233,92209} which had least variability (SD <3, mean <28) from 2004-20 are also lagging far behind their means in 2021. The others (SD 5.5 to 8.5) are running 2x to 0.8x SD below their means. The general trend is that the higher the mean from 2004-20, the better its performance this year. However, none is besting C fund − so far.
I would not expect stellar performance from equities this December. In the two years (2011 & 2015) in which the C fund's return exceeded this October's 7% following a negative September, its total return for the remainder of the year was less than 1%. The return of S in the same years was negative for November & December.
Enjoy the math.
12²
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Re: Seasonals below the mean
12SQUARED:
Until just recently, I was hopin’ for December to push well past ATH(s), but now with this new COVID scare (worse-of-the-worse), I tend to agree with your Dec. Assessment, but for different reasons. I hope my panic selling proves me wrong, but movement(s) of Friday’s type are rarely “one & done” movements (in time)…
Best of Luck (everyone) in all you choose to endeavor!!!
Until just recently, I was hopin’ for December to push well past ATH(s), but now with this new COVID scare (worse-of-the-worse), I tend to agree with your Dec. Assessment, but for different reasons. I hope my panic selling proves me wrong, but movement(s) of Friday’s type are rarely “one & done” movements (in time)…
Best of Luck (everyone) in all you choose to endeavor!!!
“Compound interest is the eighth wonder of the world. He who understands it, earns it. He who doesn’t... pays it.” ~ Albert Einstein
Re: Seasonals below the mean
Seasonals are really a crap shoot in my opinion. I know, I know, they have decades of data to back them up. I've heard it so many times. But they're only good until they're not.
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Re: Seasonals below the mean
After running some "Monte Carlo Simulation", A stock market crash, correction or a few bad years always ends up making a larger retirement balance in the long run. That is one reason I am switching to a more buy and hold strategy for my last 9 - 14 years until retirement. Another big reason is I am not disciplined enough to stick to a seasonal plan.
Best of Luck!
I am just an average Joe. I have no clue to what the market will do.
Paul Merriman 2 fund strat: (age - 25) x2.5 = TDF + balance into S fund or variation ofTimboSlice wrote: "People really need to stop overthinking this."
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Re: Seasonals below the mean
SCAR(ed) ONE:
Buy & Hold is a strong proposition, indeed. Annually, there are 30-40 individuals that will invariably beat that Strategy here in this Investment Community & my goal (as a Market Timer) has always been to eclipse those numbers. There are times I find myself in the Top 40 (out of 20,000), many times I don’t..
But it’s not for lack of tryin’…
Best of Luck (everyone) in all you choose to endeavor!!!
Buy & Hold is a strong proposition, indeed. Annually, there are 30-40 individuals that will invariably beat that Strategy here in this Investment Community & my goal (as a Market Timer) has always been to eclipse those numbers. There are times I find myself in the Top 40 (out of 20,000), many times I don’t..
But it’s not for lack of tryin’…
Best of Luck (everyone) in all you choose to endeavor!!!
“Compound interest is the eighth wonder of the world. He who understands it, earns it. He who doesn’t... pays it.” ~ Albert Einstein
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Re: Seasonals below the mean
66909 is right on target. GCS only, limited IFTs.
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2023 strat - https://tspcalc.com/seasonal.php?ID=172388
TSPcalc.com Starter Kit:
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youtube.com/tspcalc
Re: Seasonals below the mean
I am really beginning to hate Nov and Dec. I think I have lost more in these months than others. Primarily because I am more cautious in other months and usually bet that Nov and Dec tend to historically be positive. But apparently not in the last few years.
Re: Seasonals below the mean
The fragility of the market is quite scary, especially in today's session. All of the major indices were up big early then when the first Omicron case was announced in CA, it turned into a bloodbath. Powell spoke today too & that didn't help either. Makes no freaking sense to me. Damn near 1000 point swing in the DOW & the S & C funds got brutalized as well. Past several days in S fund seems eerily similar to March 2020. Good luck to all.
Fund Prices2024-03-27
Fund | Price | Day | YTD |
G | $18.14 | 0.01% | 1.00% |
F | $19.09 | 0.26% | -0.68% |
C | $82.11 | 0.87% | 10.42% |
S | $82.19 | 1.48% | 6.61% |
I | $42.68 | 0.56% | 6.21% |
L2065 | $16.38 | 0.84% | 8.36% |
L2060 | $16.38 | 0.84% | 8.36% |
L2055 | $16.39 | 0.84% | 8.36% |
L2050 | $32.73 | 0.71% | 6.94% |
L2045 | $14.91 | 0.67% | 6.56% |
L2040 | $54.37 | 0.63% | 6.20% |
L2035 | $14.34 | 0.58% | 5.77% |
L2030 | $47.66 | 0.53% | 5.35% |
L2025 | $13.14 | 0.31% | 3.40% |
Linc | $25.60 | 0.24% | 2.79% |