Desperado
Member
Hey Fabijo, great spreadsheet. I modified it a bit (and corrected an error that kept the monkeys in the G fund waaaay too much) so I could use it to fairly compare y'all against. I then compared 100 monkeys to those of you who kept complete returns in 2005 (can't wait for that 2006 data can you?)
As you recall, there were 12 of you.
Highest Return: 14.01%
Lowest Return: 3.94%
Mean Return: 8.50%
Standard Deviation: 2.99%
The 100 Monkeys on average traded approximately once a week (about the same as the TSPers in 2006) and were always 100% in one of the 5 funds for the entire day (no split allocations)
Highest Return: 22.73%
Lowest Return: -8.52%
Mean Return: 8.55%
Standard Deviation: 2.49%
% of TSPers who beat the average monkey: 33%
% of TSPers who scored better than 1 SD above the average monkey: 25% (would expect only 17%)
% of TSPers who scored worse than 1 SD below the average monkey:
17% (would expect 17%)
The most interesting fact was that randomly swapping funds about once a week outperformed a buy and hold strategy of 20% in each fund, which returned 7.34%. The monkeys outperformed that by 1.21% (almost half a standard deviation.) I think I'll start a newsletter, The Monkey's Way To Increasing Your TSP Accounts.
Incidentally, 67% of the TSPers beat the 20% each buy and hold portfolio, but only 33% beat an all-equity buy and hold portfolio.
Overall, not a bad performance at all. On average, the monkeys won, but not by much. Certainly cannot condemn the TSP market timer's efforts based on the 2005 data. I don't think anyone would endorse market-timing based on these results, but they do provide a reason to stay tuned for the 2006 results. (coming soon)
As you recall, there were 12 of you.
Highest Return: 14.01%
Lowest Return: 3.94%
Mean Return: 8.50%
Standard Deviation: 2.99%
The 100 Monkeys on average traded approximately once a week (about the same as the TSPers in 2006) and were always 100% in one of the 5 funds for the entire day (no split allocations)
Highest Return: 22.73%
Lowest Return: -8.52%
Mean Return: 8.55%
Standard Deviation: 2.49%
% of TSPers who beat the average monkey: 33%
% of TSPers who scored better than 1 SD above the average monkey: 25% (would expect only 17%)
% of TSPers who scored worse than 1 SD below the average monkey:
17% (would expect 17%)
The most interesting fact was that randomly swapping funds about once a week outperformed a buy and hold strategy of 20% in each fund, which returned 7.34%. The monkeys outperformed that by 1.21% (almost half a standard deviation.) I think I'll start a newsletter, The Monkey's Way To Increasing Your TSP Accounts.
Incidentally, 67% of the TSPers beat the 20% each buy and hold portfolio, but only 33% beat an all-equity buy and hold portfolio.
Overall, not a bad performance at all. On average, the monkeys won, but not by much. Certainly cannot condemn the TSP market timer's efforts based on the 2005 data. I don't think anyone would endorse market-timing based on these results, but they do provide a reason to stay tuned for the 2006 results. (coming soon)
