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Or you can now use TapaTalk again!Last Month's Best Fund Method Strategy
- Thread starter McDuck
- Start date
McDuck
Well-known member
Re: Last Month's Best Fund Method talk
I'll volunteer (I'm only 15 minutes from the Tennessee state-line.)
There will be a 2 day gap using this method. I will calculate the fund % COB-last-day-of-the-month. Autotracker enter the IFT (if any) and it takes effect COB-fist-day-of-the-month.
Can we start it in the autotracker back to the beginning of the year?
malyla
Active member
Re: Last Month's Best Fund Method talk
I performed a more rigorous analysis ( and eliminated a mistake from my last post) and came up with the following:
Assuming an IFT made COB on the first of each month:
Jun -Dec 2003 results = 20.29% (assumes initial 100% C for Jun, then 100% I in July, 100% S in Aug-Sep, 100% F in Oct, 100% S in Nov, 100% I in Dec)
Jun - Dec 2003 fund results =(G fund = 2%; F = -1.3%; C = 11.6%; S = 23.7%; I = 22.3%)
Jan - Dec 2004 results = 13.3%
Jan - Dec 2004 fund results =(G fund = 4%; F = 3.72%; C = 9.13%; S = 14.4%; I = 15.47%)
Jan - Dec 2005 results = 7.39%
Jan - Dec 2005 fund results =(G fund = 3.93%; F = 1.34%; C = 7.03%; S = 13.72%; I = 10.9%)
Jan - Dec 2006 results = 19.2%
Jan - Dec 2006 fund results =(G fund = 4.57%; F = 5.05%; C = 13.07%; S = 14.72%; I = 18.93%)
Jan - Dec 2007 results = 17.64%
Jan - Dec 2007 fund results =(G fund = 4.44%; F = 6.71%; C = 5.11%; S = 4.69%; I = 11.76%)
Jan - Mar 2008 results = 0.87%
Jan - Mar 2008 fund results =(G fund = 0.9%; F = 0.92%; C = -4.96%; S = -5.27%; I = -5.77%)
Totals for the time period from Jun 2003- Mar 31, 2008:
last month best fund method = 78.69%
fund results =(G fund = 23.9%; F = 21.2%; C = 55.1%; S = 85%; I = 131.8%)
Conclusion: Method seems to beat the C,F,G funds, however, a buy and hold of S and I would have produced higher earnings. This is mainly due to this method failing in the years 2003-2005 to adequately pick the reoccuring best fund. However, the years from 2006-2008 have the last month best fund method performing better that all the funds (B&H strategy). So can one assume that this method does not work well in a strong bull market but during a weak bull / bear market, this method can lead to significant capital preservation.
Good Luck in building your third leg of your retirement stool. It's only 30-40% of your retirement ;-)Re: Last Month's Best Fund Method talk
Thanks for your analysis, this has been quite interesting to see it unfold.
By the way, although only 30-40% of our retirement, it's the only part in
FERS that we have any control over. At least, until they strip us of that
ability too. Again, this is great stuff and I'm sure they'll be looking very
close at the tracker for everyones benefit.
:cheesy:
McDuck
Well-known member
Re: Last Month's Best Fund Method talk
I generally agree with your statement. But I wish you look into how this method did during 2000-2002, this is when this method did well
But can you name a better method that does as well as this method?
I think your percentages are a little low. Could you send me your worksheet?
DakotaKid
Member
Re: Last Month's Best Fund Method talk
Here's a thought...
To better (or more quickly perhaps) take advantage of a trend (whether it be up or down), why not do a back test for the first of the month AND the middle of the month (taking advantage of the two trade limit that's soon to be imposed...(I hope not)). This way we would rebalance our accounts on the first of the month as well as the 15th, should a change be indicated.
I'd be happy to back test it myself, but I won't have the results till late this afternoon probably. I'd also be happy to assist Greg with the tracking of this (if it's more than a one person job).
DakotaKid
malyla
Active member
Re: Last Month's Best Fund Method talk
Just for grins and giggles I did a back test of this method tied to the 26 Friday paydays (close to the beginning and end of each month). I assumed that an IFT was performed on the Friday that is a payday affective COB that day (in hindsight, making an IFT before the weekend may not be that bright of an idea). That means you are in the market on Monday at the Friday closing price.
This method was not very good with this biweekly timeframe. The overall return for the period from Jun 2003- April 2008 was 43.58%. It did well in 2004 and 2007 beating all the funds in 2004 and all but the I in 2007, but 2005 was worst than the G fund (beat the F fund though) and 2003 and 2006 where marginal (6% and 10% respectively). This year the return is negative (0.88) which isn't bad compared to the funds, but using the monthly method has the return at positive 0.88.
Right now the biweekly (payday) method has the I fund as the last month best fund saying that as of April 4 you should be in the I fund until April 18. The monthly method has you in the F (G was 0.01% behind) fund for the month of April 2008.
Good luck.
malyla
Active member
Re: Last Month's Best Fund Method talk
Results of back testing Last Month Best Fund Method:
Uses the monthly funds return results from the tsp.gov website. (Ex. If Jan 91 has G returns = 0.57%; F returns = -1.35%; and C returns = -1.89%; Then Fund moves into G fund for Feb 91 to reap the return of 0.56% for the month of Feb 1991.)
Tom’s spreadsheet is used to calculate the annual return using the formula:
Accumulated return = (100*(1+previous_accumilated_total)*(1+monthly_return)-100)/100
(ex Calculating Accumulated return for Feb(tot) = (100*(1+January return)*(1+Feb_monthly_return)-100)/100;
Calculating Accumulated return for Mar = (100*(1+Feb(tot))*(1+Mar_monthly_return)-100)/100; etc…)
Negative returns are in ( ).
1992
LMBFmethod = 2.47%
G fund = 7.24%; F fund = 7.21%; C fund = 7.71%
1993
LMBFmethod = 3.56%
G fund = 6.13%; F fund = 9.52%; C fund = 10.12%
1994
LMBFmethod = 0.64%
G fund = 7.22%; F fund = (2.97)%; C fund = 1.33%
1995
LMBFmethod = 29.43%
G fund = 7.03%; F fund = 18.30%; C fund = 37.39%
1996
LMBFmethod = 26.96%
G fund = 6.76%; F fund = 3.66%; C fund = 22.85%
1997
LMBFmethod = 9.52%
G fund = 6.76%; F fund = 9.61%; C fund = 33.17%
1998
LMBFmethod = 31.25%
G fund = 5.76%; F fund = 8.74%; C fund = 28.44%
1999
LMBFmethod = 9.70%
G fund = 5.99%; F fund = (0.86)%; C fund = 20.95%
2000
LMBFmethod = (6.46)%
G fund = 6.42%; F fund = 11.65%; C fund = (9.14)%
2001
LMBFmethod = 3.85%
G fund = 5.39%; F fund = 8.57%; C fund = (11.95)%; S fund = (9.03)%; I fund = (21.94)%
2002
LMBFmethod = (1.65)%
G fund = 4.99%; F fund = 10.27%; C fund = (22.04)%; S fund = (18.14)%; I fund = (15.96)%
2003
LMBFmethod = 38.73%
G fund = 4.14%; F fund = 4.11%; C fund = 28.52%; S fund = 42.91%; I fund = 37.94%
2004
LMBFmethod = 15.48%
G fund = 4.29%; F fund = 4.30%; C fund = 10.79%; S fund = 18.03%; I fund = 20.01%
2005
LMBFmethod = 5.70%
G fund = 4.49%; F fund = 2.41%; C fund = 4.96%; S fund = 10.48%; I fund = 13.63%
2006
LMBFmethod = 8.18%
G fund = 4.94%; F fund = 4.39%; C fund 15.80%; S fund = 15.32%; I fund = 26.31%
2007
LMBFmethod = 13.78%
G fund = 4.87%; F fund = 7.08%; C fund = 5.55%; S fund = 5.50%; I fund = 11.44%
2008 to April 1
LMBFmethod = 0.81%
G fund = 0.89%; F fund = 2.26%; C fund = (9.48)%; S fund = (9.50)%; I fund = (8.96)%
Definately good for bear markets but not very good for strong bull markets.
McDuck
Well-known member
Re: Last Month's Best Fund Method talk
My numbers generally agree with yours. Would you recheck your percentage for 2005 (I get 9.2%).
I still think it is a good long-term method.
DakotaKid
Member
Re: Last Month's Best Fund Method talk
After much manual work, I took a break and read Malyla's post about using Tom's tracker...After banging my head a few times on the keyboard I transitioned to that and it went much more quickly. (yes, I'm a retard.)
Here's what I get for the bi-monthly Best Fund method (beginning and middle of month):
June 03 - Dec 03 = -.41%
G = 4.11%, F = 4.11%, C = 28.54%, S = 42.92%, I = 37.94%
Jan 04 - Dec 04 = 17.82%
G = 4.3%, F = 4.3%, C = 10.82%, S = 18.03%, I = 20%
Jan 05 - Dec 05 = 18.23%
G = 4.49%, F = 2.4%, C = 4.96%, S = 10.95%, 13.63%
Jan 06 - Dec 06 = 21.90%
G = 4.93%, F = 4.4%, C = 15.79%, S = 15.30%, I = 26.32%
Jan 07 - Dec 07 = -2.27%
G = 4.87%, F = 7.09%, C = 5.54%, S = 5.49%, I = 11.43%
Jan 08 - Mar 08 = -1.37%
Total since Jun 03 = 53.69%
One thing I noticed in my labored raw data work, is that there seems to be a lot of the "tail wagging the dog". For example, the I fund would be strong the first half of the month, so the Method would switch to I. Then the I would be negative or flat for the last half and the S would be strong. So you'd switch to S on the first. Then the S would be negative or flat while the I did good. It seemed to do alot of chasing, while the Monthly method would average the ups and downs for a better gain (that the bi-monthly was chasing for little gain).
This method seems quite erratic to me. There are some decent gains, but it gets suckered into some huge losses too (ie, 2007's return of a negative return for the year).
Hope this helps.
DakotaKid
fabijo
Well-known member
Re: Last Month's Best Fund Method talk
This sounds a little like the problem I was having when I tried making an excel sheet to go for the best fund. I finally figured it was better to go for the wildest fund. It's a little bit like going for the fund that has the largest % movement (whether positive or negative).
A lot of times when you are in a bull market, a volatile stock or fund will have a huge drop. If you are just trying to go for the fund with the most gain during that quick market drop, you'd end up going to the G or F. But what happens is the fund that had the hugest drop during a bull market, usually comes back with fire while you are sitting in the G or F.
You need a way to decide if you are in a bull market or a bear market. I choose to use the 75 day Exponential Moving Average vs. the 180 day EMA of the S&P 500. During the bull market (when 75 day is above the 180 day) go to the fund that had the most volatility in the previous month(or two weeks). That may mean going to the fund that had the biggest gain or the biggest loss. During a bear market (when 75 day is below the 180 day) go to the G or F.
On back tests, this works nice, but I just haven't really been keeping up with it, especially since we are limited to two trades a month. For now, I'm staying in the F fund since we're at a stage where the 75 day EMA is below the 180 day EMA on the S&P 500.
James48843
Well-known member
Re: Last Month's Best Fund Method talk
OK Greg- check your PMs. I just created the user name, and sent you the password for this. Remember, this is a long-term commitment to keep it current. If you have any problems doing so, please PM me.
As far as the gap, your timeframes are like all other autotracker accounts- you'll have to enter by noon on the first trading day of each month, and it will be effective COB that day. No way to do otherwise.
And no, we can't set you up back to the beginning of the year. It is physcially possible to do, but would create a LOT of work to do it- (would require entries and re-syncs for every single day of the year so far), and if there was a mistake in the process- it would potentially screw everything up. Suffice it to say I'm only a part-time backup to the backup guy on a mission like that, and I don't want to take that chance.
You are now ready to enter your first entry- good luck, and let's see what that theory will do.
James48843
Well-known member
Re: Last Month's Best Fund Method talk
And I just moved the entire thread from the "Account talk" thread, to a new thread of it's own in "Longer Term Strategies".
that seems to fit it a little better, and will give it more visibity.
Good luck- let's see how it works in real time.
Jim
fabijo
Well-known member
Re: Last Month's Best Fund Method talk
Hey airlift -
My apologies in only responding now. A couple of Decembers ago, I started processing a bunch of data from the S&P and other indices. The basic premise was that I wanted to have a way to only rely on closing prices so that my TSP decisions wouldn't be based on the minute by minute market. After trying so many SIMPLE ways to avoid dips, I just could not come up with a consistent method. I finally decided to look for a simple indicator of deciding between a bear market and a bull market. Again, there was no consistent method I could find that only based its decision on the index prices - at least not until I started increasing my horizon. Once I programmed Excel to process long term averages, the backtesting started showing much better returns on a consistent basis.
I don't really know the significance of the 75 day Exponential Moving Average vs the 180 day exponential moving average. Those numbers just seemed to provide better returns than any other combination of numbers I played with. Of course, I probably could have gone further by writing a program to adapt to changes in the economy. I just haven't found the time to go that far. Now with our new trade restrictions, I might need to find a way to analyze trading methods that only allow for two trades a month. That all depends on the gift of extra time being bestowed upon me.
malyla
Active member
Re: Last Month's Best Fund Method talk
Sorry it took so long to get back to you. I had non-retirement planning work to do
I double checked the figures and there was no change. 2005 was a weird year as one some signal change in the monthly fund made a big difference in the overall return. The signals had me in the following funds at the 1st of each month:
Jan 05 = I
Feb 05 = F
Mar 05 = I
Apr 05 = G
May 05 = F
Jun-Aug 05 = S
Sept-Oct 05 = I
Nov 05 = G
Dec 05 =S
Amazingly, C never was the best fund. I wonder if that can be used as an indicator:cheesy:
luv2read
Active member
did someone post an IFT in the tracker?According to this strategy, one should have made an IFT today (effective COB May 1) into the I fund for the month of May.
Lets see what happens this month - it may work out
McDuck
Well-known member
Lets see what happens this month - it may work out
This system does NOT work every month. In fact, some months it is going to pick the worst fund for the upcoming month. It is good for a multi-year approach in which the market has a trend for many months such as the stock-funds going down after the dot-com bubble burst and Sept 11 then also when the I-fund was king during 2003-2006.
This is probably not a good method right now when the markets are overly influenced by the things such as the Fed doing an emergency 0.75 % rate cut on a Monday morning at 520 AM.FUTURESTRADER
Active member
Re: Last Month's Best Fund Method talk
Sorry it took so long to get back to you. I had non-retirement planning work to do
I double checked the figures and there was no change. 2005 was a weird year as one some signal change in the monthly fund made a big difference in the overall return. The signals had me in the following funds at the 1st of each month:
Jan 05 = I
Feb 05 = F
Mar 05 = I
Apr 05 = G
May 05 = F
Jun-Aug 05 = S
Sept-Oct 05 = I
Nov 05 = G
Dec 05 =S
Amazingly, C never was the best fund. I wonder if that can be used as an indicator:cheesy:
C is less volatile than S. S will outperform in a bull market. Somebody post this in Birchtree's account?
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