Avg Daily Gains & Losses

[Amerks]

A few years back someone posted data similar to the attached for both the C fund and S funds. Anyone know if there is a more current listing of this or something similar?

[mrwawa]

That's a great way of looking at the data. Thanks for sharing. Should be easy enough to recreate. I'll try to do it in the next couple days.

[Bubba]

A few years back someone posted data similar to the attached for both the C fund and S funds. Anyone know if there is a more current listing of this or something similar?

These are really popular for the SPX. I'm a bit surprised that's for the S Fund specifically. Normally a daily table like that would be based on the smalls being the Russell or SPX 600. If I could throw a guess at the S fund table, I'm guessing someone grabbed the smalls and put that as a S Fund table. It's not entirely accurate if that's the case.

Edit: Oh and I've played with these tables within the strategy builder. There are a couple of issues in that A. they don't make differences between presidential cycles nor other cycles (think 7 and 3 year cycles) and B. The longer you go back, in my opinion, the less robust. What I mean with that is that someone will show a chart that is true over the past 50 years and compare that to one that's true over the past 20. In backtesting, I found the 20 year mark much more like what we have at present than the 50 year mark. Having said that, if I were to consult one of those tables, my favorite spot would be between 20 and 30 years. Afterwards it becomes a bit more noise.

[Bubba]

Here's a pretty decent table to consult too

https://pbs.twimg.com/media/GD9X-ndXsAA ... me=900x900

[mrwawa]

Bubba, where can you get the TSP-specific data? I download S&P etc from Yahoo and just use as a surrogate. Are they really that far off?

[mjedlin66]

Bubba, where can you get the TSP-specific data? I download S&P etc from Yahoo and just use as a surrogate. Are they really that far off?

TSP share prices from mid 2003 are available on the tsp website to the public. Listed under “share price history”

[Amerks]

OK...I got ambitious and downloaded the daily returns from the tsp.gov web page. I worked up an updated S fund chart through the end of 2023. Have a look, if you see something that looks off let me know. I will work on the C fund chart once I get some confirmation that this looks correct. When compared to the one I posted earlier that went through Sep of 2021 this looks like it is in the ballpark. Of course, the numbers have differences with the added 2 plus years.

[Bubba]

OK...I got ambitious and downloaded the daily returns from the tsp.gov web page. I worked up an updated S fund chart through the end of 2023. Have a look, if you see something that looks off let me know. I will work on the C fund chart once I get some confirmation that this looks correct. When compared to the one I posted earlier that went through Sep of 2021 this looks like it is in the ballpark. Of course, the numbers have differences with the added 2 plus years.

An index that's very similar to that goes back further in time is the S&P Completion Index (used by VEXMX). It's not exactly the same as DWCPF, so you might not want to use it, but for seasonality testing purposes it's quite helpful. Note that in Yahoo and other places, you can get back into the 1980s with that fund. It's an interesting comparison. Fidelity runs the DWCPF in one of their index funds (FSMAX). If you compare VEXMX to FSMAX then you'll see the returns (since inception of FSMAX) are almost the same. That's why using VEXMX might be a useful tool, although not perfect.

Enjoy the testing! I've been working on testing things since 2017. It takes a lot of precision and patience. I do it all by hand too.

[Amerks]

Here is the C fund:

[Amerks]

Interesting Graphs can be dropped out of this...and helped make TSP Calc Strategies. I am within 5 years of retirement and came up with Strategy #197822 https://www.tspcalc.com/seasonal.php?ID ... ears=04-24 which for me is the comfortable balance between being in stocks and G fund with a solid return.

[Bubba]

Interesting Graphs can be dropped out of this...and helped make TSP Calc Strategies. I am within 5 years of retirement and came up with Strategy #197822 https://www.tspcalc.com/seasonal.php?ID ... ears=04-24 which for me is the comfortable balance between being in stocks and G fund with a solid return.

Why not choose a lower SD with a higher CAGR? 180075 is really good. Just be mindful, as mentioned earlier, that nothing is guaranteed in investing. I'm sure you knew that though.

[12squared]

OK...I got ambitious and downloaded the daily returns from the tsp.gov web page. I worked up an updated S fund chart through the end of 2023. Have a look, if you see something that looks off let me know. I will work on the C fund chart once I get some confirmation that this looks correct. When compared to the one I posted earlier that went through Sep of 2021 this looks like it is in the ballpark. Of course, the numbers have differences with the added 2 plus years.

Nice work! While it's easy to download the daily prices, it's a lot more effort to arrange everything by trading day. How long did that take you?

If you are even more ambitious , it would be great to see other statistics, e.g. PNR, Mean, median, Min, Max and Standard deviation. Or perhaps you would consider sharing your spreadsheet. It occurs to me that this could be useful in determining when to switch from one fund to another in the near term - when history doesn't rhyme. TSPcalc's Strategy Builder is great on a yearly or monthly basis, but doesn't help in determining the best path forward from where you stand today.

12²

[Bubba]

Here is the C fund:

I'm going to add to your homework here...so feel free not to do this.

If you were to organize your returns by presidential cycle for the S, C and I, I think you'll find very interesting patterns. Naturally there are more patters you can look at (7 year, 3 year, etc.), but the presidential year cycle is very, very accurate on it's own. In any case, if you were to do that, then you could create your own calendar based on those 4 year cycles.

Again, if you want to go further in time, you could use VEXMX's returns for the S (easily found on Yahoo Finance and you can download that in a handy Excel format too!). Then you could chart the C, S and I indexes into the 80s. Again, 30 years of data is excellent. Much more than that is noise (in my opinion). If this does fancy you and you need help, let me know. I'm one PM away.

[Scarfinger]

Interesting Graphs can be dropped out of this...and helped make TSP Calc Strategies. I am within 5 years of retirement and came up with Strategy #197822 https://www.tspcalc.com/seasonal.php?ID ... ears=04-24 which for me is the comfortable balance between being in stocks and G fund with a solid return.

#197822 with so much time in the "G" fund I find it amazing you get any returns. Very interesting. Hmm. I suppose if you used the "G" fund vs "F" maybe more strats would look similar.

But, very understandable with only 5 years until retirement.

[Amerks]

Thanks for the comments. A couple of things here. I do look to be in G fund as much as possible while still getting decent returns. Secondly I accepted the homework assignment Bubba After crunching the numbers for the presidential years from 2004 through 2020 (limited as they may be), I developed Strategy #200439 https://www.tspcalc.com/seasonal.php?ID ... =watchlist

Numbers look Good but the sample size is small and arguably 2 black swan cycles are part of this.