Alternate LMBF methods

[jonfresno]

Yes, I saw the original post. I was going to wait until James clarified the rules and settled on what exactly he wanted instead of working on something only to have him tweak it some more. For example, if you look at his original post he stated: "two out of three of the stock/bond funds are in negative territory." Does he mean 2 out of the 3 stock funds (C, S & I) or does he mean 2 out of the 4 funds F, C, S & I. If it's the latter you might as well say any 2 funds since G doesn't go negative (heaven help us if it did). So if C & S are positive and F & I are negative we go to G. That is the way I understand his tweak. Also further down he mentions avoiding "F". What does that mean? Does he mean if LMBF is F we go to G? Does he mean we don't even use F but only the other 4 funds? This isn't clear yet and may not even have been decided until it occurs. Anyways, if I look at producing any back-tested results it would be based on LMBF-1 instead of LMBF. Remember I originally developed LMBF-1 because it was a lot easier to work with and less error prone than working with historical LMBF data in spreadsheets.

OK, Catus, since James is MIA on this, I'm going to have a go at the interpretation game.......

I think James was just using the stock funds as the litmus test as to which fund to IFT into. I think he meant that if say C and I were negative, and S came out on top, similar to December, you would IFT into G. S fund had a nice gain early on in the month, but the trend was definitely heading down.

As far as the F fund, I think he was just tossing that out when it came to the decision IF 2 out of the 3 stock funds were down, and the third one outperformed all the other funds including the F fund.

So, if F wins for the month, you IFT to F. If S wins overall, and 2 of the 3 stock funds are positive, you IFT into S, if C and I are in the red, you IFT into G.

James? James? Hello, hello. testing. testing, is this thing on?? Did I get this right? I'll take a no response as a big "yes", you got it right...:nuts:

Now, as you stated, you could run this using LMBF-1, and the other alternates (LMBF-1 G-->F, LMBF -1 C--S, etc.).

 

[Cactus]

OK, I'll see if I can work up an LMBF-1 tonight where we go to G if 2 or 3 of the stock funds are negative.

 

[Cactus]

OK, Here are the results of the 2or3 modification compared to LMBF-1.

Table 1: LMBF-1 Returns

Table 2: LMBF-1 forced to G when 2 or 3 stock funds are negative
Note: The olive colored fund blocks represents months where the two funds differ.

As you can see we have:

1 year with better results: 2004
3 years with no change: 2006, 2009, 2013
7 years with worse results: 2005, 2007, 2008, 2010, 2011, 2012, 2014​

That doesn't look like an improvement. It looks like spending more time in G is keeping us out of the market in more good months than bad. It didn't even help in 2008.

Here are the annualize returns over the 11 years covered.
[TABLE="class: outer_border, width: 150"]
[TR]
[TD]LMBF-1
[/TD]
[TD]2 or 3
[/TD]
[/TR]
[TR]
[TD]10.11%
[/TD]
[TD]8.53%
[/TD]
[/TR]
[/TABLE]
This doesn't seem to buy us anything. Looks like James has already figured this out because he went back to the old LMBF rules for February.

 

[jonfresno]

OK, Here are the results of the 2or3 modification compared to LMBF-1.

Table 1: LMBF-1 ReturnsView attachment 32289

Table 2: LMBF-1 forced to G when 2 or 3 stock funds are negativeView attachment 32290
Note: The olive colored fund blocks represents months where the two funds differ.

As you can see we have:

1 year with better results: 2004
3 years with no change: 2006, 2009, 2013
7 years with worse results: 2005, 2007, 2008, 2010, 2011, 2012, 2014​

That doesn't look like an improvement. It looks like spending more time in G is keeping us out of the market in more good months than bad. It didn't even help in 2008.

Here are the annualize returns over the 11 years covered.
[TABLE="class: outer_border, width: 150"]
[TR]
[TD]LMBF-1
[/TD]
[TD]2 or 3
[/TD]
[/TR]
[TR]
[TD]10.11%
[/TD]
[TD]8.53%
[/TD]
[/TR]
[/TABLE]
This doesn't seem to buy us anything. Looks like James has already figured this out because he went back to the old LMBF rules for February.

Thanks so much for running the numbers. My eyes aren't the best, but I do see that it seems if you go into the F fund if it is the winner for the month, and to G only when 2 of the 3 stock funds are negative and F is not the winner, the numbers might be a bit more comparable, but again, nothing earth shattering.

Much appreciated!!

 

[Hallatauer]

Man... what a sucky month to have left the S Fund for the F Fund. Down .86% as opposed to being up 6.5%. these are the times I try not to pull my hair out.

 

[Cactus]

Yes, it looks like we are getting whipsawed again.

We won't have the final numbers until tonight, but all the methods should IFT back into the S Fund by Noon tomorrow.

 

[Cactus]

Here are the monthly returns as of 2/26/2015.

[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"] 26-Feb-2015 [/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.12%[/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.06%)
[/TD]
[TD="bgcolor: #CCFFCC, align: right"]6.06%[/TD]
[TD="bgcolor: #99CC00, align: right"]6.53%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]5.66%[/TD]

The best fund is S so the following IFTs take place before noon eastern Friday, 2/27/2015:

• LMBF-1 Changes from the F Fund to the S Fund
• LMBF-1 SIM Changes from the F Fund to the S Fund
• LMBF-1 C>S Changes from the F Fund to the S Fund
• LMBF-1 CI>S Changes from the F Fund to the S Fund
• LMBF-1 G>F Changes from the F Fund to the S Fund

 

[Cactus]

Here are the results of our methods for the 1st two months of the year:

[TD="bgcolor: #99CCFF, align: center"]G[/TD]
[TD="bgcolor: #99CCFF, align: center"]F[/TD]
[TD="bgcolor: #99CCFF, align: center"]C[/TD]
[TD="bgcolor: #99CCFF, align: center"]S[/TD]
[TD="bgcolor: #99CCFF, align: center"]I[/TD]
[TD="bgcolor: #99CCFF, align: center"]LMBF-1[/TD]
[TD="bgcolor: #99CCFF, align: center"]C>S[/TD]
[TD="bgcolor: #99CCFF, align: center"]CI>S[/TD]
[TD="bgcolor: #99CCFF, align: center"]SIM[/TD]
[TD="bgcolor: #99CCFF, align: center"]G>F[/TD]

[TD="bgcolor: #FF99CC, align: left"]Jan[/TD]
[TD="align: right"]0.18%[/TD]
[TD="align: right"]2.13%[/TD]
[TD="align: right"] (2.99%)
[/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"]1.19%[/TD]
[TD="align: right"] (1.85%)
[/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]

[TD="bgcolor: #FF99CC, align: left"]Feb[/TD]
[TD="align: right"]0.13%[/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"]5.75%[/TD]
[TD="align: right"]6.05%[/TD]
[TD="align: right"]5.97%[/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]

[TD="bgcolor: #CCFFCC, align: left"]YTD[/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.31%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]1.20%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]2.58%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]4.09%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]7.24%[/TD]
[TD="bgcolor: #CCFFCC, align: right"] (2.74%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (2.74%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (2.74%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (2.74%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (2.74%) [/TD]

As you can see they aren't doing too well. They had a bad year last year, and that is continuing this year. All methods are negative, but then they haven't separated yet. They are still together for March as well and back in the S Fund. It looks like we are being whipsawed and it's anyone's guess how long that will last.

 

[Cactus]

Looks like all methods stay in the S Fund for April. I'm glad we finally picked a winner.

 

[Cactus]

Here are the monthly returns as of 3/30/2015.

[TABLE="class: grid, width: 450"]
[TR]
[TD]Date
[/TD]
[TD]G Fund
[/TD]
[TD]F Fund
[/TD]
[TD]C Fund
[/TD]
[TD]S Fund
[/TD]
[TD]I Fund
[/TD]
[/TR]
[TR]
[TD]30-Mar-15
[/TD]
[TD]0.15%
[/TD]
[TD]0.32%
[/TD]
[TD](0.71%)
[/TD]
[TD]1.65%
[/TD]
[TD](0.28%)
[/TD]
[/TR]
[/TABLE]

All our methods remain in the S Fund for April.

 

[Cactus]

With the first quarter behind us, here are the results for the 1st 3 months of 2015:

[TD="bgcolor: #99CCFF, align: center"]G[/TD]
[TD="bgcolor: #99CCFF, align: center"]F[/TD]
[TD="bgcolor: #99CCFF, align: center"]C[/TD]
[TD="bgcolor: #99CCFF, align: center"]S[/TD]
[TD="bgcolor: #99CCFF, align: center"]I[/TD]
[TD="bgcolor: #99CCFF, align: center"]LMBF-1[/TD]
[TD="bgcolor: #99CCFF, align: center"]C>S[/TD]
[TD="bgcolor: #99CCFF, align: center"]CI>S[/TD]
[TD="bgcolor: #99CCFF, align: center"]SIM[/TD]
[TD="bgcolor: #99CCFF, align: center"]G>F[/TD]

[TD="bgcolor: #FF99CC, align: left"]Jan[/TD]
[TD="align: right"]0.18%[/TD]
[TD="align: right"]2.13%[/TD]
[TD="align: right"] (2.99%)
[/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"]1.19%[/TD]
[TD="align: right"] (1.85%)
[/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]
[TD="align: right"] (1.85%) [/TD]

[TD="bgcolor: #FF99CC, align: left"]Feb[/TD]
[TD="align: right"]0.13%[/TD]
[TD="align: right"] (0.91%)
[/TD]
[TD="align: right"]5.75%[/TD]
[TD="align: right"]6.05%[/TD]
[TD="align: right"]5.97%[/TD]
[TD="align: right"] (0.91%)
[/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]
[TD="align: right"] (0.91%) [/TD]

[TD="bgcolor: #FF99CC, align: left"]Mar[/TD]
[TD="align: right"]0.16%[/TD]
[TD="align: right"]0.47%[/TD]
[TD="align: right"] (1.57%) [/TD]
[TD="align: right"]1.24%[/TD]
[TD="align: right"] (1.43%)
[/TD]
[TD="align: right"]1.24%[/TD]
[TD="align: right"]1.24%[/TD]
[TD="align: right"]1.24%[/TD]
[TD="align: right"]1.24%[/TD]
[TD="align: right"]1.24%[/TD]

[TD="bgcolor: #CCFFCC, align: left"]YTD[/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.47%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]1.68%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.97%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]5.39%[/TD]
[TD="bgcolor: #CCFFCC, align: right"]5.70%[/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.53%)
[/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.53%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.53%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.53%) [/TD]
[TD="bgcolor: #CCFFCC, align: right"] (1.53%) [/TD]

As you can see, our methods picked a winner in the S Fund for March. Unfortunately all the methods are still negative for the year while all our TSP funds are positive. Things still don't look good for our methods this year. They haven't even separated themselves out yet. What can I say -- things look boring. Let's see what April brings.

 

[burrocrat]

Let's see what April brings.

the answer is showers, which leads to may flowers. didn't you pay attention as a kid?

 

[Cactus]

Unfortunately, these last couple of years those April showers were the results of my tears. April has not been good to me. This would be a good time for CRAP to catch up.

 

[Cactus]

OK, we will have to wait until tonight to get the final figures, but the I Fund is far enough ahead today to already be called the winner for April. That being the case, the following IFTs take place before noon tomorrow, 4/30/2015:

• LMBF-1 Changes from the S Fund to the I Fund
• SIM Changes from the S Fund to the F Fund
• C>S Changes from the S Fund to the I Fund
• CI>S Remains in the S Fund
• G>F Changes from the S Fund to the I Fund

 

[Cactus]

Here are the monthly returns as of 4/29/2015:

[TABLE="width: 500"]
[TR="bgcolor: #FFEC8B"]
[TD]Date
[/TD]
[TD]G Fund
[/TD]
[TD]F Fund
[/TD]
[TD]C Fund
[/TD]
[TD]S Fund
[/TD]
[TD]I Fund
[/TD]
[/TR]
[TR]
[TD="bgcolor: #FFEC8B"]29-Apr-15
[/TD]
[TD="bgcolor: #9AFF9A"]0.15%
[/TD]
[TD="bgcolor: #9AFF9A"](0.26%)
[/TD]
[TD="bgcolor: #9AFF9A"]1.99%
[/TD]
[TD="bgcolor: #9AFF9A"]0.01%
[/TD]
[TD="bgcolor: #9ACD32"]4.90%
[/TD]
[/TR]
[/TABLE]

The I Fund is indeed the winner for April so the IFTs pointed out yesterday do take place before noon today.

 

[Cactus]

Here are the returns through April:

[TABLE="width: 649"]
[TR="bgcolor: #87CEFA"]
[TD][/TD]
[TD]G
[/TD]
[TD]F
[/TD]
[TD]C
[/TD]
[TD]S
[/TD]
[TD]I
[/TD]
[TD]LMBF-1
[/TD]
[TD]C>S
[/TD]
[TD]CI>S
[/TD]
[TD]SIM
[/TD]
[TD]G>F
[/TD]
[/TR]
[TR]
[TD="bgcolor: #FF9A9A"]Jan
[/TD]
[TD="align: right"]0.18%
[/TD]
[TD="align: right"]2.13%
[/TD]
[TD="align: right"](2.99%)
[/TD]
[TD="align: right"](1.85%)
[/TD]
[TD="align: right"]1.19%
[/TD]
[TD="align: right"](1.85%)
[/TD]
[TD="align: right"](1.85%)
[/TD]
[TD="align: right"](1.85%)
[/TD]
[TD="align: right"](1.85%)
[/TD]
[TD="align: right"](1.85%)
[/TD]
[/TR]
[TR]
[TD="bgcolor: #FF9A9A"]Feb
[/TD]
[TD="align: right"]0.13%
[/TD]
[TD="align: right"](0.91%)
[/TD]
[TD="align: right"]5.75%
[/TD]
[TD="align: right"]6.05%
[/TD]
[TD="align: right"]5.97%
[/TD]
[TD="align: right"](0.91%)
[/TD]
[TD="align: right"](0.91%)
[/TD]
[TD="align: right"](0.91%)
[/TD]
[TD="align: right"](0.91%)
[/TD]
[TD="align: right"](0.91%)
[/TD]
[/TR]
[TR]
[TD="bgcolor: #FF9A9A"]Mar
[/TD]
[TD="align: right"]0.16%
[/TD]
[TD="align: right"]0.47%
[/TD]
[TD="align: right"](1.57%)
[/TD]
[TD="align: right"]1.24%
[/TD]
[TD="align: right"](1.43%)
[/TD]
[TD="align: right"]1.24%
[/TD]
[TD="align: right"]1.24%
[/TD]
[TD="align: right"]1.24%
[/TD]
[TD="align: right"]1.24%
[/TD]
[TD="align: right"]1.24%
[/TD]
[/TR]
[TR]
[TD="bgcolor: #FF9A9A"]Apr
[/TD]
[TD="align: right"]0.15%
[/TD]
[TD="align: right"](0.28%)
[/TD]
[TD="align: right"]0.96%
[/TD]
[TD="align: right"](1.50%)
[/TD]
[TD="align: right"]4.11%
[/TD]
[TD="align: right"](1.50%)
[/TD]
[TD="align: right"](1.50%)
[/TD]
[TD="align: right"](1.50%)
[/TD]
[TD="align: right"](1.50%)
[/TD]
[TD="align: right"](1.50%)
[/TD]
[/TR]
[TR="bgcolor: #9AFF9A"]
[TD]YTD
[/TD]
[TD]0.62%
[/TD]
[TD]1.40%
[/TD]
[TD]1.94%
[/TD]
[TD]3.81%
[/TD]
[TD]10.05%
[/TD]
[TD](3.00%)
[/TD]
[TD](3.00%)
[/TD]
[TD](3.00%)
[/TD]
[TD](3.00%)
[/TD]
[TD](3.00%)
[/TD]
[/TR]
[/TABLE]

That's a lot of red in that chart. Not much to crow about here. Our methods just aren't that hot this year. It's about time for another bounce, don't you think?

 

[Cactus]

We will have to wait until tonight to get the final figures, but it looks like the S Fund is the winner for May. That being the case, the following IFTs take place before noon tomorrow, 5/29/2015:

• LMBF-1 Changes from the I Fund to the S Fund
• SIM Remains in the F Fund til November
• C>S Changes from the I Fund to the S Fund
• CI>S Remains in the S Fund
• G>F Changes from the I Fund to the S Fund

 

[Cactus]

Here is the monthly return as of 5/28/15:
[TABLE="width: 450"]
[TR="bgcolor: #FFEC8B"]
[TD]Date
[/TD]
[TD]G Fund
[/TD]
[TD]F Fund
[/TD]
[TD]C Fund
[/TD]
[TD]S Fund
[/TD]
[TD]I Fund
[/TD]
[/TR]
[TR="bgcolor: #9AFF9A"]
[TD="bgcolor: #FFEC8B"]28-May-15
[/TD]
[TD]0.15%
[/TD]
[TD](0.43%)
[/TD]
[TD]1.93%
[/TD]
[TD="bgcolor: #9ACD32"]2.36%
[/TD]
[TD]0.34%
[/TD]
[/TR]
[/TABLE]
The S Fund is indeed the winner.

 

[Hallatauer]

End of April I didn't make the transfer to the I Fund and left it in the S Fund... got the rise by luck. Leaving it there for June.

 

[Cactus]

Way to go, Hallatauer! Some people seem to have all the luck.