qibovin
Member
Re: Post FV analysis
How are we looking now? You can wait and post later if that FV comes today as I expect it will.
How are we looking now? You can wait and post later if that FV comes today as I expect it will.
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Charmed855's Post FV analysis
- Thread starter charmed855
- Start date
Bullitt
Well-known member
It's amazing how everyone was ready to take on Gordon Gekko after that day the Dow was up like 300 points. Where are they now?
The market is always right. Even if there were a system that 'worked', it would only be short lived until the whole world found out about it. Take any hitter in baseball that finishes a season around .300 and I guarantee you'll find weeks where he hit .500 and weeks where he hit .100.
Anyway, James... funny memory. I remember this high school economics teacher I had around 1996 who always made it a point to let us know how well his stocks were doing. The market was the only determining factor as to what mood this guy would be in. Of course we all know what transpired around 2000, and I wonder how hard he got hit.
charmed855
Member
Re: Post FV analysis
For what it's worth, below is an update using data starting from Jan 3rd of this year. There has been a leveling out of the data given the performance over the last couple weeks, but some trends still exist.
By the way, I would never advocated using the following as the basis of a system or compare it to what others are doing here in the form of a comprehensive eveluation/analysis. It's just a small amount of data which could be considered along with many more important factors.
-c855
Total fund returns (no compounding) during sample period (3 Jan -9 Aug 2007):
C: 3.00% (86 up / 62 down, 56%)
S: 3.57% (90 up / 57 down, 59%)
I: 5.81% (88 up / 62 down, 58%)
Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 0.77% (12 occurances, 8 up / 4 down, 67%)
S: 0.77% (12 occurances, 7 up / 5 down, 58%)
I: 4.91% (12 occurances, 10 up / 2 down, 83%)
Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 0.83% (17 occurances, 9 up / 8 down, 53%)
S: 4.82% (17 occurances, 10 up / 6 down, 59%)
I: 2.93% (17 occurances, 9 up / 8 down, 53%)
Total Post FV Returns (sum of the previous two data sets):
C: 1.61% (29 occurances, 17 up / 12 down, 59%)
S: 5.59% (29 occurances, 17 up / 11 down, 59%)
I: 7.84% (29 occurances, 19 up / 10 down, 66%)
Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 1.41% (124 occurances, 69 up / 50 down, 56%)
S: -2.02% (124 occurances, 73 up / 46 down, 59%)
I: -2.04% (124 occurances, 69 up / 52 down, 56%)
Percent of total fund returns realized on Post-FV days:
C: 53.2%
S: 156.7%
I: 135.0%
Percent of days in sample period that triggered a Post-FV buy signal:
19.0% (29 out of 153).
For what it's worth, below is an update using data starting from Jan 3rd of this year. There has been a leveling out of the data given the performance over the last couple weeks, but some trends still exist.
By the way, I would never advocated using the following as the basis of a system or compare it to what others are doing here in the form of a comprehensive eveluation/analysis. It's just a small amount of data which could be considered along with many more important factors.
-c855
Total fund returns (no compounding) during sample period (3 Jan -9 Aug 2007):
C: 3.00% (86 up / 62 down, 56%)
S: 3.57% (90 up / 57 down, 59%)
I: 5.81% (88 up / 62 down, 58%)
Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 0.77% (12 occurances, 8 up / 4 down, 67%)
S: 0.77% (12 occurances, 7 up / 5 down, 58%)
I: 4.91% (12 occurances, 10 up / 2 down, 83%)
Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 0.83% (17 occurances, 9 up / 8 down, 53%)
S: 4.82% (17 occurances, 10 up / 6 down, 59%)
I: 2.93% (17 occurances, 9 up / 8 down, 53%)
Total Post FV Returns (sum of the previous two data sets):
C: 1.61% (29 occurances, 17 up / 12 down, 59%)
S: 5.59% (29 occurances, 17 up / 11 down, 59%)
I: 7.84% (29 occurances, 19 up / 10 down, 66%)
Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 1.41% (124 occurances, 69 up / 50 down, 56%)
S: -2.02% (124 occurances, 73 up / 46 down, 59%)
I: -2.04% (124 occurances, 69 up / 52 down, 56%)
Percent of total fund returns realized on Post-FV days:
C: 53.2%
S: 156.7%
I: 135.0%
Percent of days in sample period that triggered a Post-FV buy signal:
19.0% (29 out of 153).
fabijo
Well-known member
charmed855
Member
Re: Post FV analysis
Actually, that's what I thought at first, but the percent calculation is the YTD FV day returns divided by the YTD fund returns. Recently, the FV returns have exceeded the YTD returns because it has missed many down days for the fund. It can probably be represented better but I kept it as is for comparison.
c855
Actually, that's what I thought at first, but the percent calculation is the YTD FV day returns divided by the YTD fund returns. Recently, the FV returns have exceeded the YTD returns because it has missed many down days for the fund. It can probably be represented better but I kept it as is for comparison.
c855
charmed855
Member
13 Aug was a post -/+FV cycle day and the I fund managed to perform faily well. Updated tabulations below:
Total fund returns (no compounding) YTD:
C: 3.01 (86 up / 62 down, 56%)
S: 3.42 (91 up / 58 down, 59%)
I: 5.24 (89 up / 63 down, 58%)
Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 0.77% (12 occurances, 8 up / 4 down, 67%)
S: 0.78% (12 occurances, 7 up / 5 down, 59%)
I: 4.92% (12 occurances, 10 up / 2 down, 84%)
Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 0.83% (18 occurances, 9 up / 8 down, 50%)
S: 4.62% (18 occurances, 10 up / 7 down, 56%)
I: 4.12% (18 occurances, 10 up / 8 down, 56%)
Total Post FV Returns (sum of the previous two data sets):
C: 1.61% (29 occurances, 17 up / 12 down, 57%)
S: 5.39% (29 occurances, 17 up / 12 down, 57%)
I: 9.03% (30 occurances, 20 up / 10 down, 67%)
Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 1.41% (125 occurances, 69 up / 50 down, 56%)
S: -1.98% (125 occurances, 74 up / 46 down, 60%)
I: -3.8% (125 occurances, 69 up / 53 down, 56%)
Percent of total fund returns realized on Post-FV days (FV returns / fund returns):
C: 54%
S: 158%
I: 173%
Percent of days in sample period that triggered a Post-FV buy signal:
19.4% (30 out of 155)
Total fund returns (no compounding) YTD:
C: 3.01 (86 up / 62 down, 56%)
S: 3.42 (91 up / 58 down, 59%)
I: 5.24 (89 up / 63 down, 58%)
Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 0.77% (12 occurances, 8 up / 4 down, 67%)
S: 0.78% (12 occurances, 7 up / 5 down, 59%)
I: 4.92% (12 occurances, 10 up / 2 down, 84%)
Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 0.83% (18 occurances, 9 up / 8 down, 50%)
S: 4.62% (18 occurances, 10 up / 7 down, 56%)
I: 4.12% (18 occurances, 10 up / 8 down, 56%)
Total Post FV Returns (sum of the previous two data sets):
C: 1.61% (29 occurances, 17 up / 12 down, 57%)
S: 5.39% (29 occurances, 17 up / 12 down, 57%)
I: 9.03% (30 occurances, 20 up / 10 down, 67%)
Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 1.41% (125 occurances, 69 up / 50 down, 56%)
S: -1.98% (125 occurances, 74 up / 46 down, 60%)
I: -3.8% (125 occurances, 69 up / 53 down, 56%)
Percent of total fund returns realized on Post-FV days (FV returns / fund returns):
C: 54%
S: 158%
I: 173%
Percent of days in sample period that triggered a Post-FV buy signal:
19.4% (30 out of 155)
Last edited:
charmed855
Member
Monday and Tuesday are Post FV days. Below is a weekly breakdown of I-fund post FV returns throughout the year.
The first column is the week, the second is the number of Post FV days that occured in the wek, the third is the returns on those post FV days and the last is the returns from non-Post FV days. The list only includes weeks where a post FV day occured.
Week, #PFV days, PFV%, non-PFV%
1/29 to 2/02, 2, 0.45%, 1.51%
2/26 to 3/02, 1, -0.94%, -4.55%
3/05 to 3/09, 3, 3.68%, -1.76%
3/12 to 3/16, 2, 1.17%, -2.09%
3/19 to 3/23, 1, 0.13%, 3.97%
3/26 to 3/30, 1, -0.13%, -0.35%
4/16 to 4/20, 1, 0.21%, 1.07%
4/30 to 5/04, 1, 0.58%, 0.49%
5/14 to 5/18, 1, 0.16%, 0.12%
5/29 to 6/01, 2, 1.26%, 0.53%
6/09 to 6/15, 4, 1.25%, 0.45%
6/18 to 6/22, 1, -0.29%, -0.33%
6/25 to 6/29, 2, 0.61%, 0.00%
7/09 to 7/13, 1, 1.53%, -0.12%
7/23 to 7/27, 1, -2.10%, -4.46%
7/30 to 8/03, 3, -0.98%, 0.75%
8/06 to 8/10, 2, 1.26%, -2.89%
8/13 to 8/17, 3, 1.40%, -3.84%
Total 9.24%,-11.51%
Now if only I had followed the system during the past two weeks!
The first column is the week, the second is the number of Post FV days that occured in the wek, the third is the returns on those post FV days and the last is the returns from non-Post FV days. The list only includes weeks where a post FV day occured.
Week, #PFV days, PFV%, non-PFV%
1/29 to 2/02, 2, 0.45%, 1.51%
2/26 to 3/02, 1, -0.94%, -4.55%
3/05 to 3/09, 3, 3.68%, -1.76%
3/12 to 3/16, 2, 1.17%, -2.09%
3/19 to 3/23, 1, 0.13%, 3.97%
3/26 to 3/30, 1, -0.13%, -0.35%
4/16 to 4/20, 1, 0.21%, 1.07%
4/30 to 5/04, 1, 0.58%, 0.49%
5/14 to 5/18, 1, 0.16%, 0.12%
5/29 to 6/01, 2, 1.26%, 0.53%
6/09 to 6/15, 4, 1.25%, 0.45%
6/18 to 6/22, 1, -0.29%, -0.33%
6/25 to 6/29, 2, 0.61%, 0.00%
7/09 to 7/13, 1, 1.53%, -0.12%
7/23 to 7/27, 1, -2.10%, -4.46%
7/30 to 8/03, 3, -0.98%, 0.75%
8/06 to 8/10, 2, 1.26%, -2.89%
8/13 to 8/17, 3, 1.40%, -3.84%
Total 9.24%,-11.51%
Now if only I had followed the system during the past two weeks!
charmed855
Member
Update: last week we had three post FV (PFV) days with the non-PFV returns beating the PFV returns 2.44% to 2.00% (I-fund).
YTD, PFV days are beating non-PFV days 11.24% to -5.2%
Tue, Aug 28th will be a +/- PFV day. They have a cummulative YTD I-fund return of 6.94% in 15 occurances (13 up / 2 down).
YTD, PFV days are beating non-PFV days 11.24% to -5.2%
Tue, Aug 28th will be a +/- PFV day. They have a cummulative YTD I-fund return of 6.94% in 15 occurances (13 up / 2 down).
charmed855
Member
Re: Post FV analysis
We had two post FV days last week (one was a carry over from the previous week) which capitalized on all the available gains of the I-fund.
We have had 41 post FV days this year with a total return of 11.82%. Below is the week by week breakdown showing returns captured during post FV days versus the rest of the week. Only weeks with at least 1 post FV day are shown.
We had two post FV days last week (one was a carry over from the previous week) which capitalized on all the available gains of the I-fund.
We have had 41 post FV days this year with a total return of 11.82%. Below is the week by week breakdown showing returns captured during post FV days versus the rest of the week. Only weeks with at least 1 post FV day are shown.
E
ekatteng
Guest
Charmed 855, What is FV ?
charmed855
Member
ekatteng - a good primer on the subject can be found here: http://www.tsptalk.com/mb/showthread.php?t=3111
From the TSP.GOV web site:
Participants have asked why, on some days, the change in the I Fund share price reported by the TSP does not match the change reported for the Morgan Stanley EAFE (Europe, Australasia, Far East) index, which the I Fund tracks. This happens when the Board's investment manager, Barclays Global Investors (BGI) reprices its EAFE Equity Index Fund, in which the TSP invests, after the close of the foreign markets. This process, known as "fair valuation" or "fair value pricing" occurs when there are large U.S. market or currency movements between the time the foreign markets close and 4:00 p.m. eastern time, when BGI's share prices are determined.
Fair value pricing is used by mutual funds when there is a gap between the time the index closes and the time the fund is priced to reflect the index. Fair value pricing was implemented to protect long-term shareholders from short-term traders attempting to profit from price difference between the index's closing price and the price of the fund before it was repriced. While it causes some variation in daily pricing, the variation is generally reversed the next day.
Fair value pricing in the TSP's I Fund occurs less than 20% of the time. The TSP is meant to be a long-term retirement savings account, not a short term trading vehicle. Mutual funds use fair value, redemption fees, and limits on numbers of trades to prevent market timing activity and the resulting excessive trading costs from hurting the performance of the fund. To date, the TSP has chosen to use only fair value pricing, but that may change in the future.
Fair valuation ensures that traders cannot "market time" the I Fund by making investment decisions based on the "stale" prices, thus diluting the returns of other participants who invest in the I Fund. Because the EAFE uses the foreign market closing prices to calculate its values, its price change will differ from the TSP's on those days.
charmed855
Member
Sure - here's the latest. I've been going with I-fund after a +/-FV and the S-fund after a -/+ FV (there's one coming Tuesday).
Total fund returns (no compounding) YTD:
C: 10.28 (112 up / 85 down, 55%)
S: 11.42 (121 up / 79 down, 59%)
I: 16.21 (120 up / 83 down, 59%)
Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 1.69% (26 occurances, 15 up / 11 down, 58%)
S: 1.6% (26 occurances, 15 up / 11 down, 58%)
I: 9.88% (26 occurances, 21 up / 5 down, 81%)
Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 5% (26 occurances, 14 up / 11 down, 54%)
S: 9.45% (26 occurances, 15 up / 10 down, 60%)
I: 7.24% (26 occurances, 15 up / 11 down, 58%)
Total Post FV Returns (sum of the previous two data sets):
C: 6.69% (51 occurances, 29 up / 22 down, 56%)
S: 11.04% (51 occurances, 30 up / 21 down, 58%)
I: 17.12% (52 occurances, 36 up / 16 down, 70%)
Non-Post FV Returns (returns for days YTD that did not follow a FV):
C: 3.6% (154 occurances, 83 up / 63 down, 54%)
S: 0.38% (154 occurances, 91 up / 58 down, 60%)
I: -0.91% (154 occurances, 84 up / 67 down, 55%)
Percent of days YTD that were Post-FV: 25.3% (52 out of 206)
charmed855
Member
Correction, we had a +FV today, so I'll be back in the I fund Tuesday - 80% success rate according to the numbers I posted earlier.
nnuut said:
Sorry nnuut - I'm not of you or Ebbs caliber so nothing comes EASY for me.
I'll be in stocks and keeping my toes and fingers crossed. GL.
tspgo_com
Active member
charmed855
Member
Zimmy - sorry for the late response. I don't believe we had a post FV play on that day so I fell back to trend analysis which was giving me a strong signal for C that day.
charmed855
Member
(I'll be posting these updates over here in the future)
30 day post FV (pFV) return tally
23 Oct, +0.92% (-/+pFV, S Fund)
24 Oct, -0.31% (+/-pFV, I Fund)
25 Oct, +0.12% (+/-pFV, I Fund)
26 Oct, +2.09% (+/-pFV, I Fund)
30 Oct, -0.35% (+/-pFV, I Fund)
02 Nov, +0.39% (+/-pFV, I Fund)
05 Nov, -0.93% (-/+pFV, S-Fund)
08 Nov, +0.63% (+/-pFV, I-Fund)
09 Nov, -1.34% (-/+pFV, S-Fund)
14 Nov, -0.50% (-/+pFV, S-Fund)
15 Nov, -1.44% (+/-pFV, I-Fund)
16 Nov, ??????? (-/+pFV, S-Fund)
19 Nov, ??????? (-/+pFV, S-Fund)
------------------------------------
30-day Post FV Returns:-0.71%
30-day -/+ FV Returns: -1.84%
30-day +/- FV Returns: +1.13%
------------------------------------
30-day I-Fund Returns: -3.97%
30 day S-Fund Returns: -6.30%
30-day C-Fund Returns: -6.16%
-------------------------------
Note: The data referenced above represents the results (daily returns) of a theory I am tracking which basically says, go to I-fund two days after a +FV and go S-fund two days after a -FV cycle. As of 15 Nov, there have been 30 +FV's YTD, with 79% having resulted in positive returns (8.73% YTD) on the two day cycle. -FV's have better S-fund returns (29 occurances, 6.68% YTD but only a 53% success rate). The numbers above do not represent daily FV corrections to the Barclay EAFE index.
30 day post FV (pFV) return tally
23 Oct, +0.92% (-/+pFV, S Fund)
24 Oct, -0.31% (+/-pFV, I Fund)
25 Oct, +0.12% (+/-pFV, I Fund)
26 Oct, +2.09% (+/-pFV, I Fund)
30 Oct, -0.35% (+/-pFV, I Fund)
02 Nov, +0.39% (+/-pFV, I Fund)
05 Nov, -0.93% (-/+pFV, S-Fund)
08 Nov, +0.63% (+/-pFV, I-Fund)
09 Nov, -1.34% (-/+pFV, S-Fund)
14 Nov, -0.50% (-/+pFV, S-Fund)
15 Nov, -1.44% (+/-pFV, I-Fund)
16 Nov, ??????? (-/+pFV, S-Fund)
19 Nov, ??????? (-/+pFV, S-Fund)
------------------------------------
30-day Post FV Returns:-0.71%
30-day -/+ FV Returns: -1.84%
30-day +/- FV Returns: +1.13%
------------------------------------
30-day I-Fund Returns: -3.97%
30 day S-Fund Returns: -6.30%
30-day C-Fund Returns: -6.16%
-------------------------------
Note: The data referenced above represents the results (daily returns) of a theory I am tracking which basically says, go to I-fund two days after a +FV and go S-fund two days after a -FV cycle. As of 15 Nov, there have been 30 +FV's YTD, with 79% having resulted in positive returns (8.73% YTD) on the two day cycle. -FV's have better S-fund returns (29 occurances, 6.68% YTD but only a 53% success rate). The numbers above do not represent daily FV corrections to the Barclay EAFE index.
TerpTrader
Member
Guess I'm confused a little...
Why are there different PFV patterns for the 3 days below, since each has a NEGATIVE FV ?
I'm not getting how you come up with the -/+ or +/- Fair Value pattern for a given day.
And I am to understand that the pattern suggests one wants to move to either the I or the S the DAY AFTER a +/- or a -/+ pattern, respectively ?
Geez I need a drink. :blink:
09 Nov, -1.34% (-/+pFV, S-Fund)
14 Nov, -0.50% (-/+pFV, S-Fund)
15 Nov, -1.44% (+/-pFV, I-Fund)
Why are there different PFV patterns for the 3 days below, since each has a NEGATIVE FV ?
I'm not getting how you come up with the -/+ or +/- Fair Value pattern for a given day.
And I am to understand that the pattern suggests one wants to move to either the I or the S the DAY AFTER a +/- or a -/+ pattern, respectively ?
Geez I need a drink. :blink:
09 Nov, -1.34% (-/+pFV, S-Fund)
14 Nov, -0.50% (-/+pFV, S-Fund)
15 Nov, -1.44% (+/-pFV, I-Fund)
