Alternate LMBF methods

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Interesting thought, Sensei. I went back to the charts at the beginning of this thread, and the C Fund is the only fund that has never had 2 consecutive months in LMBF and it only happened once for LMBF-1. Here is the count of the funds that have followed C in LMBF-1.

[TABLE="width: 50"]
[TR]
[TD]G
[/TD]
[TD]0[/TD]
[/TR]
[TR]
[TD]F
[/TD]
[TD]1
[/TD]
[/TR]
[TR]
[TD]C
[/TD]
[TD]1
[/TD]
[/TR]
[TR]
[TD]S
[/TD]
[TD]8
[/TD]
[/TR]
[TR]
[TD]I
[/TD]
[TD]2
[/TD]
[/TR]
[/TABLE]

As you can see, 8 times out of 12 the S Fund follows C. That happens way more then any other fund. I don't know if this means anything, but since we never follow with the G fund and only once with the F fund I wouldn't consider C outperforming S to be a bearish sign. It looks more like S has some catching up to do. :laugh:

I don't have LMBF-1 on auto tracker, yet. I've been thinking about it, but am concerned that the name is too similar to LMBF and may cause confusion. LMBF-1 would show up a day before LMBF and someone not realizing this isn't the LMBF method they had been following might trade on the wrong signal. If LMBF-1 is worth persuing on auto tracker, the name may have to change to something like LMBF-1day to differentiate it some more. Any thoughts?
 
Interesting thought, Sensei. I went back to the charts at the beginning of this thread, and the C Fund is the only fund that has never had 2 consecutive months in LMBF and it only happened once for LMBF-1. Here is the count of the funds that have followed C in LMBF-1.

[TABLE="width: 50"]
[TR]
[TD]G
[/TD]
[TD][/TD]
[/TR]
[TR]
[TD]F
[/TD]
[TD]1
[/TD]
[/TR]
[TR]
[TD]C
[/TD]
[TD]1
[/TD]
[/TR]
[TR]
[TD]S
[/TD]
[TD]8
[/TD]
[/TR]
[TR]
[TD]I
[/TD]
[TD]2
[/TD]
[/TR]
[/TABLE]

As you can see, 8 times out of 12 the S Fund follows C.


Well that's not very encouraging :worried:
 
czapor1967 said:
Well that's not very encouraging :worried:
Click to expand...
That's the problem with analysing these mechanical systems. Does it really mean anything? All I can say is that both LMBF & LMBF-1 have been outperforming me this year. I'm thinking of spliting the difference and going in 50:50 CS today.
 
Oops.. today is the 28th.. so I will be in the C Fund starting yhe 1st. Lets see what happens.


Hallatauer said:
Tho you may have nagging feelings about moving to the C Fund, it's the move to make. With possible furloughs on the gov't horizon and doubts about this rise being sustained, mechanical investing like this strategy ignores the news.

I made my interfund transfer request this morning so it will be in effect for Feb 28th. LBMF-1 in force.

Happy investing ya'll!

P.S. I have a buyer for my house and I will be retiring probably the end of April. Tho I will stop contributing to my TSP, I will stay invested and managing my money.
Click to expand...
 
This is the Alternate LMBF methods thread so how about some more alternates?

ILoveTDs described his seasonal variation here http://www.tsptalk.com/mb/longer-te...s-best-fund-method-strategy-3.html#post388869 where you follow LMBF for half the year and invest in the F Fund from May through October. That would be easy to test with LMBF-1 as all you have to do is substitute the F Fund monthly returns for those months.

Speaking of substitution, it was discused here http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post396828 that we seldom see consecutive months where C is the Best Fund and that S is the most common Fund to follow C. So why not go straight to the S Fund and skip C altogether. We can test that with LMBF-1 by substituting the monthly returns for S when ever C is chosen.

There appears to be some interest in avoiding equities during the traditionally weaker months of the year and in favoring the S Fund over C, so I will crunch the numbers for the years 2004 - 2012 like I did before and see what we get. For simplicity I'll call the seasonal variation SIM (Sell in May) and lets label the other one 'C->S'. Just for fun I'll also try combining them. Here are the numbers:

[TABLE="width: 311"]
[TR]
[TD]Year
[/TD]
[TD]LMBF-1
[/TD]
[TD]SIM
[/TD]
[TD]C -> S
[/TD]
[TD]SIM & C->S
[/TD]
[/TR]
[TR]
[TD="align: right"]2004
[/TD]
[TD="align: right"]14.50%
[/TD]
[TD="align: right"]16.51%
[/TD]
[TD="align: right"]15.47%
[/TD]
[TD="align: right"]16.51%
[/TD]
[/TR]
[TR]
[TD="align: right"]2005
[/TD]
[TD="align: right"]5.68%
[/TD]
[TD="align: right"](3.66%)
[/TD]
[TD="align: right"]5.68%
[/TD]
[TD="align: right"]5.68%
[/TD]
[/TR]
[TR]
[TD="align: right"]2006
[/TD]
[TD="align: right"]17.85%
[/TD]
[TD="align: right"]21.03%
[/TD]
[TD="align: right"]22.83%
[/TD]
[TD="align: right"]24.07%
[/TD]
[/TR]
[TR]
[TD="align: right"]2007
[/TD]
[TD="align: right"]10.51%
[/TD]
[TD="align: right"]3.95%
[/TD]
[TD="align: right"]11.45%
[/TD]
[TD="align: right"]11.45%
[/TD]
[/TR]
[TR]
[TD="align: right"]2008
[/TD]
[TD="align: right"](10.15%)
[/TD]
[TD="align: right"]1.22%
[/TD]
[TD="align: right"](9.52%)
[/TD]
[TD="align: right"](9.52%)
[/TD]
[/TR]
[TR]
[TD="align: right"]2009
[/TD]
[TD="align: right"]18.05%
[/TD]
[TD="align: right"]10.67%
[/TD]
[TD="align: right"]28.17%
[/TD]
[TD="align: right"]18.96%
[/TD]
[/TR]
[TR]
[TD="align: right"]2010
[/TD]
[TD="align: right"]17.35%
[/TD]
[TD="align: right"]28.53%
[/TD]
[TD="align: right"]17.35%
[/TD]
[TD="align: right"]17.35%
[/TD]
[/TR]
[TR]
[TD="align: right"]2011
[/TD]
[TD="align: right"]8.69%
[/TD]
[TD="align: right"]14.95%
[/TD]
[TD="align: right"]8.69%
[/TD]
[TD="align: right"]8.69%
[/TD]
[/TR]
[TR]
[TD="align: right"]2012
[/TD]
[TD="align: right"]23.60%
[/TD]
[TD="align: right"]18.40%
[/TD]
[TD="align: right"]28.78%
[/TD]
[TD="align: right"]21.77%
[/TD]
[/TR]
[TR]
[TD]Total
[/TD]
[TD="align: right"]163.51%
[/TD]
[TD="align: right"]176.73%
[/TD]
[TD="align: right"]218.20%
[/TD]
[TD="align: right"]184.62%
[/TD]
[/TR]
[/TABLE]
It looks like the seasonal variation did improve returns overall (177% vs. 164%). It was also more volatile having years with smaller returns and even a negative return in a year where LMBF-1 was positive.

Now C->S looks more interesting. It matches or beats LMBF-1 every year and significantly improves the return. A 218% return for these years is the best we've seen yet. Do we have something here, or am I just fooling myself? You tell me. It looks to me like something worth persuing or maybe even using in your own system.

As for the combination of both alternates, I'll leave that for you to consider. It looks better than SIM alone, but not C->S so why bother.
 
Just remember- past performance is no guarantee of future results. Your mileage may vary. Do not use without first telling your doctor, and if your account lapses for more than four hours, seek immediate medical attention.
 
Substituting S for C is more like using the LMBF as an equities on/off switch. It's like using the S&P 500 as your benchmark and either going into equities or out of equities based on its performance. I usually use the S fund because it tends to outperform the C fund. But that seems to be true in both directions, that is, that the S fund will also tend to take more losses in a down month than the C fund. If I were using the LMBF, I would certainly use it in this manner, just to tell me when to get into/out of the S Fund.
 
Here are the monthly returns as of 3/27/13.


[TD="bgcolor: #FFFF99, align: left"] Date [/TD]
[TD="bgcolor: #FFFF99, align: center"] G FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] F FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] C FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] S FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] I FUND [/TD]

[TD="bgcolor: #FFFF99, align: left"] 27-Mar-2013 [/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.11%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.10%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]3.33%[/TD]
[TD="bgcolor: #99CC00, align: right"]4.25%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.53%[/TD]

The best fund is S so LMBF-1 goes into the S Fund by noon eastern tomorrow. We are doing this today because the markets will be closed this Friday for Good Friday. Thursday is the last chance you have to make an IFT in March.
 
Thanks for the reminder! Being overseas and not getting Friday off I forgot that the market was closed.

Cactus said:
The best fund is S so LMBF-1 goes into the S Fund by noon eastern tomorrow. We are doing this today because the markets will be closed this Friday for Good Friday. Thursday is the last chance you have to make an IFT in March.
Click to expand...
 
What about LMWF....last months worst fund...I have always thought that made more sense....low odds of a fund doing poorly back to back months
 
I actually tried a few of those thinking the same, it doesn't work very well, especially in the really down years. I tried a few variations with stop losses but they were pretty random and mostly just not very effective.
 
This sounds a lot like the 2nd Best Fund that I analyzed here: http://www.tsptalk.com/mb/longer-te...ths-second-best-fund-method-2.html#post390873. That didn't work out very well either.

The thing about these types of systems is you are basically following a trend (~20 day SMA). When you decide to choose another fund instead, you break the connection to that trend. I guess you can preserve some of it by come up with a modification like: If the best fund is an equities fund (C, S, or I) replace it with the 2nd best or worst equities fund. That's basically what I did with the C>S substitution I analyzed earlier. I do like using the C Fund as an indicator for the S Fund, but C really doesn't show up as often as the other Funds in this system.

If we look at the LMWF so far this year we have these results:

[TABLE="width: 144"]
[TR]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Month
[/TD]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Fund
[/TD]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Return
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]Jan
[/TD]
[TD="bgcolor: transparent"]F
[/TD]
[TD="class: xl69, bgcolor: transparent, align: right"]-0.56%
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]Feb
[/TD]
[TD="bgcolor: transparent"]F
[/TD]
[TD="class: xl65, bgcolor: transparent, align: right"]0.51%
[/TD]
[/TR]
[TR]
[TD="class: xl67, bgcolor: #bfbfbf, align: right"]27-Mar
[/TD]
[TD="bgcolor: transparent"]I
[/TD]
[TD="class: xl65, bgcolor: transparent, align: right"]0.53%
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]YTD
[/TD]
[TD="class: xl66, bgcolor: #bfbfbf"][/TD]
[TD="class: xl68, bgcolor: #bfbfbf, align: right"]0.48%
[/TD]
[/TR]
[/TABLE]

It looks to me like you are fighting the trend in this strong bull market and, so far a least, your not winning. :(
 
Here are the results for the 1st Quarter of 2013 and it's no surprize that the Buy-and-Hold crowd are in the lead.

Screenshot.png

Holding S and/or C Funds so far this year is the way to go. The results for the LMBF family of methods I'm tracking weren't too shabby either, though. I'd take them! They're doing better than I am. :blink: The LMBF method is now @ 155 placing it in the coveted top 20% crowd. :D
 
Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be
 
rcknfrewld said:
Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be
Click to expand...

I've gone down this road before, it's just not enough exposure and it doesn't protect you under bear market conditions.

2008 -6.13%
2012 2.63%
 
Looks like I have jinxed the 1st of the month strategy...futures down...just like I planned...I fund don't let me down
 
rcknfrewld said:
Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be
Click to expand...
Yes, Frixxxx pointed that out in this thread here: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post391788.

It's one of the ideas of why LMBF-1 often outperforms LMBF. It jumps into the leading fund a day early to already be there on the 1st of the month. :)

Of course this doesn't always work. Today could be one of those days where LMBF benefits by still being in C when it doesn't drop as much as S. :( Check out 2007 & 2011 for years where LMBF outperformed LMBF-1 .
 
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