The I Fund Strategy

[tsptalk]

I have been fine tuning this strategy to take as much risk out of it as possible.

Basically, if our markets (Dow, Nasdaq, S&P 500 etc) are up~ 1% or more prior tothe12 noon ET deadline, and the EAFE index is not up more than 1/2%, you can make a transfer into the I fund to catch the Asian and Australian markets as they react to that same news.

I usually move 100% of my account into the I fundif the conditions are right. If the I fund is also happens to be up big that day,1/2% to 1%, I may pass on this "play" or only transfer 50% - 75%of my assets to the I fund. If it's up over 1% I won't risk it (unless the U.S. markets are up real big, like 2%).The chances of a big day are lessened if the day before was also upbig.

Although it is not necessary, I'd like to see the indices up as a reaction to some kind of news event whether it be a drop in interest rates, an earnings report, good economic news, or a worldly event such as we saw when Saddam Hussein was captured.

This is a one day move so I would transfer my account balance back to my previous allocation effective the following day.

One of my readers posted some statistical analysis on this theory on the old message board. I will find it and post it in this topic.


Thanks,
Tom

 

[plto6]

imported post

Where do you track the EAFE index prior tothe12 noon ET deadline? I live in San Diego

Thanks

 

[tsptalk]

imported post

I put the EAFE quote on all of the TSPtalk pages but that has a 20 minute delay. You can also use Yahoo's finance quotes for a realtime quote. Here's the S&P 500, Wilshire 4500 and EAFE.

finance.yahoo.com/q/cq?d=v1&s=^gspc+^emw+^efv

I'm hoping to put those realtime quotes on my site eventually but getting them isnot cheap.


Tom

 

[Wheels]

imported post

So how has this strategy been working?



Dave

 

[tsptalk]

imported post

Hi Wheels -
I have just noticed it since we went to daily transactions last June. One of our readers did a little more research after I posted it and I will reprint his findings below. One thing to keep in mind is that we need to make our transfers before 12 noon EST. The analysis he does I believe is based on closing prices. We don't always know by noon if the day will qualify... Tom

Posted by Shawn (149.101.1.116) on February 13, 2004 at 11:48:38:

This is an analysis of the increase or decline in the S Fund from the previous trading day versus the increase or decline in the I fund from the previous trading day. The comparison is staggered taking the result from the S Fund and placing it against the result from the I Fund for the next trading date. For example, the S Fund from 2/1/04 versus the I fund from 2/2/04. For the 28 trading days comparable for 2004, there was a 71% correlation of either a positive or negative swing in the two funds. Specifically, there were 20 days where the correlation was in the same direction (13 of which were an increase in value and 7 of which were a decrease in value). Of the 8 days that the funds had a divergence, 6 of them involved a positive gain for the S Fund with a next trading day negative gain for the I Fund. Of 7 trading days where the S Fund increased by .10 cents or more, 5 resulted in a positive gain for the I Fund with an average of .09 cents. The two trading days where there was a negative gain for the I Fund averaged a loss of .03 cents. Based on this one would expect the result for the 2/13 I Fund to be negative given the -.06 cents posted for the S Fund on 2/12. The market for today (2/13) is down so it would be wise to be out of the I Fund before noon EST (at least 71% of the time).
I am considering tracking the result back 6 months for a better statistical foundation. I may also later compare the C Fund to the I Fund. Thoughts? Comments?

Shawn

 

[Wheels]

imported post

It's actually been very difficult lately to get a sense of the close by noon. The market has been changing direction in the afternoon quite a bit.



Dave

 

[NatX]

imported post

tsptalk wrote:

I have been fine tuning this strategy to take as much risk out of it as possible.

Basically, if our markets (Dow, Nasdaq, S&P 500 etc) are up~ 1% or more prior tothe12 noon ET deadline, and the EAFE index is not up more than 1/2%, you can make a transfer into the I fund to catch the Asian and Australian markets as they react to that same news.

I usually move 100% of my account into the I fundif the conditions are right. If the I fund is also happens to be up big that day,1/2% to 1%, I may pass on this "play" or only transfer 50% - 75%of my assets to the I fund. If it's up over 1% I won't risk it (unless the U.S. markets are up real big, like 2%).The chances of a big day are lessened if the day before was also upbig.

If today's conditions match what you've described here, will you be considering going into the I Fund for Monday?

 

[tsptalk]

imported post

NatX - I touched on thisin a post the other day...I am less enthusiastic about the Ifund strategy although that doesn't mean the I fund won't go up. It's just the legitimacy of the strategy seems to have weakened since we know a little more aboutthe timing of the foreign markets as they relate to the I fund.

Also, Monday may be a bad day as I mentioned in my comments and I was always less inclined to do that on a Friday (Thursday in today's case) since too much can happen over the weekend.

Hope that helps,
Tom