Last Month's Best Fund Method Strategy

[peterson82]

15.8% is pretty good. Better than people that are G or F or me.

I don't understand when you say "looks good compared to other years". This has been a good method for the last decade or more.

15.8% is great, it would make anything look good. Someone's has their feathers ruffled today.

 

[McDuck]

2005: +7.9%
2006: +6.5%
2007: +4.9%
2008: -10.6%
2009: +15.8

I don't think your numbers are right.
Here is a better listing.
http://www.tsptalk.com/mb/showpost.php?p=159904&postcount=28

 

[grandma]

Isn't Beafet asking about last month's 2nd best fund - not The Best Fund?
...which in December would have been - ......... ?

C - accordding to James #152 post

End of month for December, 2009:

G= +0.25%
F= -1.55%
C= +1.94%
S= + 6.57%
I = + 1.43%

 

[beafet]

No, I was talking about Last Month's Best Fund YTD numbers...I started a new thread for the second best one. I didn't want to hijack this one anymore!

 

[guyschultz]

for chickens like me this might be a great thing to look at

 

[McDuck]

for chickens like me this might be a great thing to look at

Last Month Best Fund is closely related to the 20-day moving average. A better indicator is the 20-day EMA vs 50-day EMA. This is what I wish that I had been using.

 

[James48843]

Last Month's Best Month fund strategy- makes an IFT today.

Here are the results from January-

G= +0.29%

F= +1.54%

C= - 3.60%

S= - 2.43%

I = - 5.17%

So the LMBM Method moves to an allocation of 100% "F" fund for February. The IFT will be placed today, and will be effective at the close of business monday.

LMBM Year to date return= -2.43%

 

[peterson82]

I don't think your numbers are right.
Here is a better listing.
http://www.tsptalk.com/mb/showpost.php?p=159904&postcount=28

Worked some kinks out... had problems with G-fund and the end of 2007 I had a bad value.

I am getting -11.37 for 2008 and +15.8 for 2009. I am going to check those out for accuracy.

 

[peterson82]

BTW, so far in Feb the shift from Negative to Positive (in stocks) happened right when one would switch to F-fund. So those in the F-fund would like the stock funds to go down!

 

[James48843]

Question-

I've now seen several different folks listing "back tested" number for "Last Month Best Month" method.

I am monitoring and making trades using that system in a dummy account in the autotracker right now-

I just want to make sure I am on the same sheet of music- if either McDuck or Mayla can verify- and/or anyone else-

This is the data I am using:

I am watching the closing price on the LAST trading day of each month- the 30th or 31st of the month, for example. I then post the results here, and initiate the IFT action prior to noon on the FIRST trading day of the month, to be effective at the COB that day.

Can someone (who has some time to play with it) sit down and do a back-testing XCEL spreadsheet and go back as far as the data goes (1989??) and do a year-by-year return using those dates?

Note- prior to the "daily system," (2004?) there was only one value posted in TSP per month- and any move done would not be effective until the FIRST trading day of the following month for the REAL tsp. So we can project what it WOULD have been with daily access back before that, but we couldn't actually do it.

I just want to get one, good, valided set of numbers, by year, so I can post a sticky note on it.

Thanks in advance to anyone who wished to help take up that challenge.

 

[malyla]

Question-
Thanks in advance to anyone who wished to help take up that challenge.

James48843,

I have this spreadsheet completed with the closing monthly fund % providing the recommended fund for the new month and reinvest at COB the 1st day of the month. It does not reflect the old,old delay where it was a month to make changes, but it does go back to Oct 1991. I will clean it up and send it to you. Attached is 2009 which provided a cumalative monthly returns for 2009 as shown (ended the year at 15.07%) (I need to double check this but it gives you the idea).
This may take me a day or two as I'm buried in work and I'm going to want to double check everything before I send the whole sheet.
Malyla

 

[James48843]

Thanks- take your time. I just want the final end of year numbers for each year as far back as we can track. (1990's will just be G, F and C, of course) so I can make a sticky for a historical record.

Thanks

 

[James48843]

So you are saying 2009 was 15.07% using LMBM?

Am I reading your excel correctly?

View attachment 8195​

 

[malyla]

So you are saying 2009 was 15.07% using LMBM?

Am I reading your excel correctly?

View attachment 8195​

Yes. The jan return is the monthly return for the fund used for jan with each next months cumalative return calculated using: new month=(100*(1+[lastmonths cum return])*(1+[new month lmbf return])-100)/100

This leads to an end of year 2009 LMBF return of 15.07% as shown.

My yet-to-be-doubled-checked yearend returns for the LMBF method is as follows:
1992 2.47%
1993 3.56%
1994 0.64%
1995 29.43%
1996 26.96%
1997 9.52%
1998 31.25%
1999 9.70%
2000 (-6.46%)
2001 3.85%
2002 (-1.65%)
2003 38.73%
2004 15.48%
2005 5.70%
2006 8.18%
2007 13.78%
2008 (-11.38%)
2009 15.07%

which gives an overall 18 year % ~461.8% which is better than an aggressive buy and hold (C fund then I fund) which gets ~429% in that 18 years (it was much worse until the March-Jan runup we have just seen : LMBF=339% and agg B&H was 221% on March 1, 2009). The BizCyc B&H (F fund during Bear markets, then I in Bull markets as defined by the 8.6year business cycle is at an 18 year cum total of 1135.9%. Just shows the power of missing the bear losses (however, I did miss the 40% gains from March to Jan). Time will tell. I'll send this along shortly.
Malyla

 

[James48843]

Last Month's Best Month fund strategy- makes an IFT today.

Here are the results from February 2010-


G fund= +0.24%


F fund= +0.38%

C Fund= +3.11%

S Fund= + 4.89%

I Fund= + 0.06%

So the LMBM Method moves to an allocation of 100% "S" fund for March.

The IFT will be placed today, and will be effective at the close of business monday.

LMBM Year to date return= -0.84% PRIOR TO EXECUTION OF TODAY'S IFT REQUEST.

 

[James48843]

For last month- the best fund WAS the S fund- so, no change in allocation.

The LMBM method remains in "S" fund going into April.

 

[James48843]

Here are the March 2010 results from the "Last Month- Best Month" fund method:

G fund: +0.27%

F-Fund: -0.11%

C Fund: +6.04%

S Fund: +7.39%

I Fund: + 6.28%


As indicated earlier this morning, that means we stay in the "S" fund- no change in allocation going into April.

Year to date return for the Last Month-Best Month method, as reported in the Autotracker, is now: +4.48% for the year.

 

[meltorment]

... overall 18 year % ~461.8% which is better than an aggressive buy and hold (C fund then I fund) which gets ~429% in that 18 years (it was much worse until the March-Jan runup we have just seen : LMBF=339% and agg B&H was 221% on March 1, 2009). The BizCyc B&H (F fund during Bear markets, then I in Bull markets as defined by the 8.6year business cycle is at an 18 year cum total of 1135.9%. Just shows the power of missing the bear losses (however, I did miss the 40% gains from March to Jan). Time will tell. I'll send this along shortly.
Malyla

Can you calculate what the *BEST* performance would have been if you were prescient enough to have owned the highest yielding fund each month?

 

[McDuck]

James, I think this is a decent method. But the LMBFM is based closely on the 20-day moving average with an IFT executed on the first day of the month. I think there are better methods using the 20day moving average.

 

[James48843]

Here are the APRIL 2010 results from the "Last Month- Best Month" fund method:

G fund: +0.28%

F-Fund: +1.07%

C Fund: +1.58%

S Fund: +4.82%

I Fund: - 2.35%


That means we stay in the "S" fund- no change in allocation going into May.

Year to date return for the Last Month-Best Month method, as reported in the Autotracker, is now: +9.52% for the year.