Alternate LMBF methods

[Cactus]

This thread is for testing modifications of the LMBF method. If you have a modification you would like to track, describe it here and post your data. Then post the IFT's and monthly returns as they come in so we can all track your results.

[Cactus]

I'll start by describing a simplification I call the Last Month Best Fund Minus 1 Day (LMBF-1) method. What I didn't like about LMBF is that you are in a different fund on the 1st day of the month every time you make an IFT. That happens quite frequently (9 - 10 a year) with this method. Being prone to errors, I wanted to be in a fund the whole month so my return is simply the monthly return for that fund. Monthlies are easily verifiable.

My solution was basically to throw out the last day of the month when figuring out the best fund. I did that so I can make any needed IFT by noon on the last day of the month instead of the first day of the following month. This way you are in the same fund the whole month instead of day 1 being different. You also have the emotional benefit of using a precious IFT at the end of the month instead of the beginning in case you later decide to bail out of this method (not recommended).

I back-tested this method and compared it to the LMBF. As you can see from the 2 tables below, this didn't have a large effect on the fund chosen, though there are some, but it did have a surprisingly large effect on the rate of return. What a difference a day makes.

At first I thought throwing out the last day of the month removed some kind of End-Of-Month effect in choosing the best fund but this doesn't appear to be strictly the case. The biggest difference in fund chosen/year is 3 with an average of 1.33/year. There are 3 years (2006, 2008, 2009) with 3 differences. Two of those years (2006 & 2009) have return differences on the order of 10%, which is the largest we see, but 2008 has a return difference of less that 1% which is among the smallest.

It looks like another factor for the larger returns come from already being in the chosen fund as we enter the new month. Does the FRTIB/Blackrock give us some kind of dividend on the 1st of the month? I do remember a couple of years ago folks trying to take advantage of this day 1 effect. I think it was positive 2 times out of 3. Hmmm.

Another interesting difference is that there are fewer total negative months for LMBF-1 (24 vs. 33) and every year has an equal or fewer number of negative months. This should help in the psychology of sticking with a method long term but isn't itself responsible for greater returns. The big loser year, 2008, only had 2 negative months for LMBF-1 and 3 for LMBF.

Other things to note are the LMBF did produce better results than LMBF-1 for 2 years out of 9 (2007 & 2011). The total return for 2004 - 2012 are 102.50% for LMBF and 163.51% for LMBF-1. Those are the only years I have complete daily data for. I wish I could go back to year 2000 at least, but this does give us 9 years of data to look at and consider.


Table 1: LMBF Returns
22053
Note: IFTs/pos represents the number of IFTs in a year and the annual position relative to the 5 TSP Funds respectively. Both methods beat all 5 TSP funds for the last 2 years, but that is only 2 years out of 9.


Table 2: LMBF-1 Returns
22054
Note: The olive colored fund blocks represents months where the LMBF-1 chose a different fund from LMBF.


LMBF-1 does look like an interesting modification to pursue. The way it works, again is: 1) Determine the best fund on the penultimate (next to last) day of the month, 2) Make any necessary IFT before Noon Eastern, 3) come back next month and do it again.

I will track the LMBF-1 here and compare it to the LMBF as well as any others that interest me throughout the year.

[Hallatauer]

Interesting to see how one day makes such a difference. I'm really surprised how 12 times LMBF-1 chose a different fund 12 times. I wouldn't have thought 1 day difference would ever cause that except once or twice in 10 years. What external force happens at the end of the month/1st of the month to cause this difference... we'll probably never know. Being a long term investor, in both TSP and personal stock accounts, I never took a one day change as significant.

Thanks for taking the time to run the numbers and produce this info.

[Frixxxx]

Alternate Investing: Imagine if you were on the "S&P500 First Day of the Month Club" translate: In on the First, out the rest of the month.

http://static7.businessinsider.com/image/4e8841506bb3f76150000033/chart.jpg

[JTH]

Interesting to see how one day makes such a difference. I'm really surprised how 12 times LMBF-1 chose a different fund 12 times. I wouldn't have thought 1 day difference would ever cause that except once or twice in 10 years. What external force happens at the end of the month/1st of the month to cause this difference... we'll probably never know. Being a long term investor, in both TSP and personal stock accounts, I never took a one day change as significant.

Thanks for taking the time to run the numbers and produce this info.

That's one of the problems with with many self-created systems traders create. Sometimes they manipulate the data just enough to get the desired results (often by just a day.) This is why I stress the importance of long/multiple time frame based back-testing. More than a few times we've seen members post how great their system is, then when it goes to crap, they suddenly disappear from the forum...

[craigerv]

I agree with JTH. When designing a medium-term system, if one day makes a large difference in the result, it is unlikely to reproduce that result. Over time I can only assume that it will regress to a mean. Why not try the LMBF+/-(1-28) and see which date gives you the best return? If you tabulated that for 50 years I think you'd find that the results are fairly similar. It's the same system and acts on the same performance no matter which day you start unless you can align it with some other trend or logic. If you can statistically demonstrate the first day of any month is likely to be positive, then it may be an effect worth pursuing.

[Cactus]

I agree with JTH. When designing a medium-term system, if one day makes a large difference in the result, it is unlikely to reproduce that result. Over time I can only assume that it will regress to a mean. Why not try the LMBF+/-(1-28) and see which date gives you the best return? If you tabulated that for 50 years I think you'd find that the results are fairly similar. It's the same system and acts on the same performance no matter which day you start unless you can align it with some other trend or logic. If you can statistically demonstrate the first day of any month is likely to be positive, then it may be an effect worth pursuing.Yes, I think you are right. This could easily be a fluke of the small time span chosen and better results could be achieved over different days of the month in different time spans. I think it does show that one day can make can make large difference in your annual return, which surprised me, but maybe even that is merely a factor of a volatile market which we've had during this time.

Running the numbers with +/1 1-28 days is a good idea but better suited to a program than a spreadsheet. I'm too error prone with a spreadsheet which is why I thought of trying this to begin with.

[MrJohnRoss]

Thanks for testing this system out, Cactus. There is the possibility that better results were achieved for a very simple reason: because you were in the stronger fund on the first day of the month rather than waiting for day #2 to be invested in the stronger fund. Frixx'x chart has a lot to say about that, doesn't it?

You may very well be on to something important here. A nine year total return of 163.5% compared to 102.5% is nothing to sneeze at.

Keep up the good work,

JR

[Cactus]

Thanks for testing this system out, Cactus. There is the possibility that better results were achieved for a very simple reason: because you were in the stronger fund on the first day of the month rather than waiting for day #2 to be invested in the stronger fund. Frixx'x chart has a lot to say about that, doesn't it?Yes, it does. I like his chart. The fact that he is using the S&P500 gives him a wider time range of data to look at. That's a big plus. I'm looking at the TSP funds and we only have daily data for that going back to mid 2003. After that you're dealing with monthlies back to inception.

[Cactus]

OK,here are the monthly returns as of 1/30/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Jan-2013
0.12%
(0.63%)
5.45%
6.49%
4.77%



The best fund is S so LMBF-1 goes into the S Fund by noon eastern tomorrow. We'll see tomorrow how that compares with LMBF.

As for me, I think S has topped and is set for a pullback, but hey, I'm just recording the system here not putting my money on the line.

[seven]

I guess I've been doing somewhere between LBMF & LBMF-1. Being 12 or 13hrs ahead of the east coast it gets hard to do on the right day & I've been doing it a day early for awhile. It has worked out pretty good as I got a 20.75% return for 2012 so I think I'll just go ahead declare myself full on LBMF-1 (for now at least).

[Cactus]

That's awsome, seven! You beat LMBF for 2012 which itself had an impresive return. Did you by any chance follow the method for 2011? LMBF beat LMBF-1 hansomely that year, but it's the long term results that count. :)

[Sensei]

I guess I've been doing somewhere between LBMF & LBMF-1. Being 12 or 13hrs ahead of the east coast it gets hard to do on the right day & I've been doing it a day early for awhile. It has worked out pretty good as I got a 20.75% return for 2012 so I think I'll just go ahead declare myself full on LBMF-1 (for now at least).

Sounds like maybe we're in the same part of the world. I stay up way past my bedtime though. ZZZzzz...

[seven]

That's awsome, seven! You beat LMBF for 2012 which itself had an impresive return. Did you by any chance follow the method for 2011? LMBF beat LMBF-1 hansomely that year, but it's the long term results that count. :)

No, but I'm glad you asked as that got me looking closer into my history & I realized I didn't actually follow LMBF for all of 2012.

I was a new hire in 2011 and started in Lifecycle fund through Q1 of 2012 which is when I found out about LMBF. Initially, I was trying a modified version of LMBF I thought of, but I decided it was more work & didn't seem worth it so I gave up on it pretty quick. So, I've probably only been doing LMBF (or LMBF-1) for about 7 or 8 months.

[craigerv]

Looks like another good 1st day of the month for the LMBF-1.

[Hallatauer]

I went a day early a la LMBF-1 tho I had the same thought you had about the S Fund having a good run up... but the point of being mechanical is to ignore these signs and just follow the method. I'll take the +0.92 rise in the S Fund today instead of missing it like the non LBMF-1ers did. :)

[Cactus]

Yep, LMBF & LMBF-1 are both tracking The S Fund for Feb, but LMBF-1 benefited this time from getting on board a day earlier. It will be interesting to see how many times that happens this year.

You are right, Hallatauer, that the point of these types of methods is to follow them mechanically instead of inserting our own logic into them. I guess I'm still in the mode of analyzing them. :cheesy:

[Cactus]

OK,here are the monthly returns as of 2/27/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Feb-2013
0.12%
0.43%
1.44%
0.91%
(1.46%)



The best fund is C so LMBF-1 goes into the C Fund by noon eastern tomorrow. And to think just yesterday the F Fund was in the lead. What a difference a day makes. :blink: We'll have to see if this trend continues tomorrow for LMBF.

[Sensei]

Very interesting. When I see the C fund outperforming the S fund, it gives me bearish thoughts. Or it could mean that there is a rally ahead and the small caps have some catching up to do. Whatever the case may be, I doubt the C fund will string two months in a row as the top performer. Nevertheless, the system is what it is. Thanks for keeping it up.

BTW, do you have it on the auto tracker?

[Hallatauer]

Tho you may have nagging feelings about moving to the C Fund, it's the move to make. With possible furloughs on the gov't horizon and doubts about this rise being sustained, mechanical investing like this strategy ignores the news.

I made my interfund transfer request this morning so it will be in effect for Feb 28th. LBMF-1 in force.

Happy investing ya'll!

P.S. I have a buyer for my house and I will be retiring probably the end of April. Tho I will stop contributing to my TSP, I will stay invested and managing my money.

[czapor1967]

I'm giving it a shot, I just moved all into the "C" fund... woot!!! :D

[Cactus]

Interesting thought, Sensei. I went back to the charts at the beginning of this thread, and the C Fund is the only fund that has never had 2 consecutive months in LMBF and it only happened once for LMBF-1. Here is the count of the funds that have followed C in LMBF-1.



G

0


F

1



C

1



S

8



I

2




As you can see, 8 times out of 12 the S Fund follows C. That happens way more then any other fund. I don't know if this means anything, but since we never follow with the G fund and only once with the F fund I wouldn't consider C outperforming S to be a bearish sign. It looks more like S has some catching up to do. :laugh:

I don't have LMBF-1 on auto tracker, yet. I've been thinking about it, but am concerned that the name is too similar to LMBF and may cause confusion. LMBF-1 would show up a day before LMBF and someone not realizing this isn't the LMBF method they had been following might trade on the wrong signal. If LMBF-1 is worth persuing on auto tracker, the name may have to change to something like LMBF-1day to differentiate it some more. Any thoughts?

[czapor1967]

Interesting thought, Sensei. I went back to the charts at the beginning of this thread, and the C Fund is the only fund that has never had 2 consecutive months in LMBF and it only happened once for LMBF-1. Here is the count of the funds that have followed C in LMBF-1.



G




F

1



C

1



S

8



I

2




As you can see, 8 times out of 12 the S Fund follows C.


Well that's not very encouraging :worried:

[Cactus]

Well that's not very encouraging :worried:That's the problem with analysing these mechanical systems. Does it really mean anything? All I can say is that both LMBF & LMBF-1 have been outperforming me this year. I'm thinking of spliting the difference and going in 50:50 CS today.

[Hallatauer]

Oops.. today is the 28th.. so I will be in the C Fund starting yhe 1st. Lets see what happens.



Tho you may have nagging feelings about moving to the C Fund, it's the move to make. With possible furloughs on the gov't horizon and doubts about this rise being sustained, mechanical investing like this strategy ignores the news.

I made my interfund transfer request this morning so it will be in effect for Feb 28th. LBMF-1 in force.

Happy investing ya'll!

P.S. I have a buyer for my house and I will be retiring probably the end of April. Tho I will stop contributing to my TSP, I will stay invested and managing my money.

[Cactus]

This is the Alternate LMBF methods thread so how about some more alternates?

ILoveTDs described his seasonal variation here http://www.tsptalk.com/mb/longer-term-fund-strategies/5752-last-months-best-fund-method-strategy-3.html#post388869 where you follow LMBF for half the year and invest in the F Fund from May through October. That would be easy to test with LMBF-1 as all you have to do is substitute the F Fund monthly returns for those months.

Speaking of substitution, it was discused here http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post396828 that we seldom see consecutive months where C is the Best Fund and that S is the most common Fund to follow C. So why not go straight to the S Fund and skip C altogether. We can test that with LMBF-1 by substituting the monthly returns for S when ever C is chosen.

There appears to be some interest in avoiding equities during the traditionally weaker months of the year and in favoring the S Fund over C, so I will crunch the numbers for the years 2004 - 2012 like I did before and see what we get. For simplicity I'll call the seasonal variation SIM (Sell in May) and lets label the other one 'C->S'. Just for fun I'll also try combining them. Here are the numbers:



Year

LMBF-1

SIM

C -> S

SIM & C->S



2004

14.50%

16.51%

15.47%

16.51%



2005

5.68%

(3.66%)

5.68%

5.68%



2006

17.85%

21.03%

22.83%

24.07%



2007

10.51%

3.95%

11.45%

11.45%



2008

(10.15%)

1.22%

(9.52%)

(9.52%)



2009

18.05%

10.67%

28.17%

18.96%



2010

17.35%

28.53%

17.35%

17.35%



2011

8.69%

14.95%

8.69%

8.69%



2012

23.60%

18.40%

28.78%

21.77%



Total

163.51%

176.73%

218.20%

184.62%



It looks like the seasonal variation did improve returns overall (177% vs. 164%). It was also more volatile having years with smaller returns and even a negative return in a year where LMBF-1 was positive.

Now C->S looks more interesting. It matches or beats LMBF-1 every year and significantly improves the return. A 218% return for these years is the best we've seen yet. Do we have something here, or am I just fooling myself? You tell me. It looks to me like something worth persuing or maybe even using in your own system.

As for the combination of both alternates, I'll leave that for you to consider. It looks better than SIM alone, but not C->S so why bother.

[James48843]

Just remember- past performance is no guarantee of future results. Your mileage may vary. Do not use without first telling your doctor, and if your account lapses for more than four hours, seek immediate medical attention.

[craigerv]

Substituting S for C is more like using the LMBF as an equities on/off switch. It's like using the S&P 500 as your benchmark and either going into equities or out of equities based on its performance. I usually use the S fund because it tends to outperform the C fund. But that seems to be true in both directions, that is, that the S fund will also tend to take more losses in a down month than the C fund. If I were using the LMBF, I would certainly use it in this manner, just to tell me when to get into/out of the S Fund.

[Cactus]

Here are the monthly returns as of 3/27/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Mar-2013
0.11%
0.10%
3.33%
4.25%
0.53%



The best fund is S so LMBF-1 goes into the S Fund by noon eastern tomorrow. We are doing this today because the markets will be closed this Friday for Good Friday. Thursday is the last chance you have to make an IFT in March.

[seven]

Thanks for the reminder! Being overseas and not getting Friday off I forgot that the market was closed.


The best fund is S so LMBF-1 goes into the S Fund by noon eastern tomorrow. We are doing this today because the markets will be closed this Friday for Good Friday. Thursday is the last chance you have to make an IFT in March.

[rcknfrewld]

What about LMWF....last months worst fund...I have always thought that made more sense....low odds of a fund doing poorly back to back months

[craigerv]

I actually tried a few of those thinking the same, it doesn't work very well, especially in the really down years. I tried a few variations with stop losses but they were pretty random and mostly just not very effective.

[Cactus]

This sounds a lot like the 2nd Best Fund that I analyzed here: http://www.tsptalk.com/mb/longer-term-fund-strategies/7921-last-months-second-best-fund-method-2.html#post390873. That didn't work out very well either.

The thing about these types of systems is you are basically following a trend (~20 day SMA). When you decide to choose another fund instead, you break the connection to that trend. I guess you can preserve some of it by come up with a modification like: If the best fund is an equities fund (C, S, or I) replace it with the 2nd best or worst equities fund. That's basically what I did with the C>S substitution I analyzed earlier. I do like using the C Fund as an indicator for the S Fund, but C really doesn't show up as often as the other Funds in this system.

If we look at the LMWF so far this year we have these results:



Month

Fund

Return



Jan

F

-0.56%



Feb

F

0.51%



27-Mar

I

0.53%



YTD


0.48%




It looks to me like you are fighting the trend in this strong bull market and, so far a least, your not winning. :(

[Cactus]

Here are the results for the 1st Quarter of 2013 and it's no surprize that the Buy-and-Hold crowd are in the lead.

23128

Holding S and/or C Funds so far this year is the way to go. The results for the LMBF family of methods I'm tracking weren't too shabby either, though. I'd take them! They're doing better than I am. :blink: The LMBF method is now @ 155 placing it in the coveted top 20% crowd. :D

[Hallatauer]

Moved to the S fund for April... I made the move on Thurs so I will be in for Monday Apr 1.

[rcknfrewld]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be

[JTH]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be

I've gone down this road before, it's just not enough exposure and it doesn't protect you under bear market conditions.

2008 -6.13%
2012 2.63%

[rcknfrewld]

In those two combined years you would have beat index by circa 20%...not too shabby

[rcknfrewld]

Looks like I have jinxed the 1st of the month strategy...futures down...just like I planned...I fund don't let me down

[Cactus]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to beYes, Frixxxx pointed that out in this thread here: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post391788.

It's one of the ideas of why LMBF-1 often outperforms LMBF. It jumps into the leading fund a day early to already be there on the 1st of the month. :)

Of course this doesn't always work. Today could be one of those days where LMBF benefits by still being in C when it doesn't drop as much as S. :( Check out 2007 & 2011 for years where LMBF outperformed LMBF-1 .

[Hallatauer]

So as we approach the end of the month... looks like the I fund is the move to make for May. Prepared to transfer early next week.

[Cactus]

Yes, with the lead the I Fund has right now it looks like LMBF-1 will be going into I on Tuesday. We will have to see the closing prices Monday night to be sure, but it would take quite a one-day-change to upset this trend.

Looks like our S Fund is the big loser this month. :( So much for April being the 2nd best month for the market. Oh well, the question you have to ask yourself now is are you going to stick with the traditional LMBF/LMBF-1 or try ILoveTD's seasonal variant where you Sell-In-May and walk away. ILoveTD automatically has you in the F Fund from May through October and in LMBF the other months. I will track that here as LMBF-1SIM, but probably won't use it myself. It should be interesting to see the difference this summer.

[JTH]

Yes, with the lead the I Fund has right now it looks like LMBF-1 will be going into I on Tuesday. We will have to see the closing prices Monday night to be sure, but it would take quite a one-day-change to upset this trend.

Looks like our S Fund is the big loser this month. :( So much for April being the 2nd best month for the market. Oh well, the question you have to ask yourself now is are you going to stick with the traditional LMBF/LMBF-1 or try ILoveTD's seasonal variant where you Sell-In-May and walk away. ILoveTD automatically has you in the F Fund from May through October and in LMBF the other months. I will track that here as LMBF-1SIM, but probably won't use it myself. It should be interesting to see the difference this summer.

I'd hardly call the S-Fund's -.72% being the big loser and we still have 2 days to go. :)

[Cactus]

Sorry about that. I didn't mean to imply that the S Fund had lost a large amount, only that our chosen Fund for April had come in last place. At least so far.

[JTH]

Sorry about that. I didn't mean to imply that the S Fund had lost a large amount, only that our chosen Fund for April had come in last place. At least so far.

Nothing to be sorry about my friend, it's no secret I have a personal bias towards the S-Fund and equally against the I-Fund (within Europe's current situation.) May is a tricky Month to play all in all the LMBF system isn't something that strikes my fancy, but the long-term circuit protection it provides does have its advantages.

[Cactus]

Here are the monthly returns as of 4/29/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Apr-2013
0.12%
1.04%
1.67%
0.00%
4.60%



The best fund is I so LMBF-1 goes into the I Fund by noon eastern tomorrow. This is also the time where the seasonal varaiant branches off. LMBF-1SIM goes into the F Fund and stays there through October, syncing back up with LMBF-1 in November.

[PLANO]

Thanks Cactus, do you know if anyone has crunched the numbers using the seasonal adjustment?

[Cactus]

Yes. Here are the first numbers ILoveTDs ran against LMBF: http://www.tsptalk.com/mb/longer-term-fund-strategies/5752-last-months-best-fund-method-strategy-30.html#post388869. And here are the numbers I ran against LMBF-1: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods-3.html#post399058. I wasn't too excited about the results compared to LMBF-1C>S (substituting S for C). You can see the seasonal adjustment introduces a lot more yearly volatility in a method that already jumps around quite a bit month-to-month.

I will be posting the results here for the seasonal variant to see how this looks real time. Posting back-tested results on historical data is one thing; being invested in it in our continuing bull market is quite another. :D

If you are considering following this method, I would suggest you read JTH's recent blog on seasonallity here: http://www.tsptalk.com/mb/blogs/jth/2409-trading-stats-month-may-2013.html. I found it quite good.

[ILoveTDs]

Thanks for tracking these Cactus

[jonfresno]

Hi Cactus. Thanks for crunching these numbers. Really cool stuff. Love the thread.

Question along the lines of C--> S. What do you think about C or I --> S? I would think there isn't much correlation since it's a different "market", but, I guess I'm askin' if you have a chance and it's not too difficult, can you try it?

Thanks!

[Cactus]

Hello, Jonfresno.

Interesting idea to have all equities be an indicator for the S Fund. I'm not the only one who's been burned by the I Fund and FV, so why not avoid it altogether. Well, with C>S we saw a clear advantage in that S followed C as the best Fund 2 out of 3 times. This isn't the case with the I Fund, though. Here is the count of the number of times each fund followed the I Fund.

23805

As you can see, S has the most but they are all about equal. So I wouldn't expect much of a correlation.

It's easy enough to substitute one fund's return for another though, so let's run the numbers for CI>S and compare it to C>S. The results should be listed in the two tables below:

Table 1: LMBF-1 C > S
23801

Table2:LMBF-1 CI > S
23802
Note: The olive gray blocks indicate that months where the S Fund was substituted in.

Comparing the two tables it looks like CI>S beat C>S 4 out of 9 years from 2004 - 2012 and so far is in the lead this year. So this looks like a 50:50 split. It's interesting that the 2008 loss wasn't as great and the 2009 recovery was much greater for CI>S. So how do the total returns compare for 2004 - 2012? Here is a table comparing several of the LMBF variants.

Table 3: Total returns for 2004 - 2012
23803

C>S & CI>S are the two variants that scored the best returns so far with returns of 218% & 210% respectively. I'm frankly surprised that CI>S did this well. Maybe it is also worth following for those who are I Fund averse.

Well, CI>S is in the lead for 2013, but then it's been in the S Fund all year and the S Fund is in the lead. Check out the monthly returns through April in the table below:

Table 4: 2013 Monthly returns
23804

Holding the S and/or C Fund has definetly been the way to go so far this year and CI>S is right along with them. Is that what got you interested in this variant to begin with? I wouldn't put too much stock in that. It will change eventually.

Also of note is that LMBF took the lead from LMBF-1 in April. Of course that changed again after the 1st trading day of May. These type of systems do jump around a lot. It just goes to show you that you can't declare a winner until the end.

[jonfresno]

Wow, thanks, you're a wiz with this stuff!

No real reason went into my thinking other than just using the three funds to trigger whether to go into the S fund and seeing what popped out. You know, "what happens if you do this...". If I can stomach staying in the markert at this high level, I've got a 50/50 split of S & I, sort of using the C/I-->S in a wimpy way.

As a new guy, this site is just great. So many different strategies to use. I think I'd like to use the LMBF-1 C -->S, but it's tough, my emotions pull me out of the market after a couple % run-up worrying about a major correction.

You know, I see that there's premium offers, but after seeing these options (LMBF & variations), and not to mention just picking a member who tends to do pretty darned well year after year, like ContrarianJeff, why would you pay? So many good minds to copy!

[Cactus]

You have plenty of options on this site. Some people are better suited to one method over another. For me, I think I'm better suited to following trends than trying to time the market. I also need a system that operates on a weekly to monthly time frame like our Sentiment Survey or one of the LMBF methods. I just don't have time to follow it every day or hourly like some folks on this site.

I'd encourage you to look around here, read what others are doing, and find a system you feel comfortable with and can stick to. The most important aspect of any system is that it take the emotions out of it. The market is geared to use your emotions against you and take your money. This year has not been a good example so far. It's just been up, up, up. That's not typical. Look at the monthly returns on the tables I posted. Some of them have rather large red numbers even in years that turned out good. Can you follow a system like this when the market does that to you? If not, you need to find something else.

Many people on this site use a combination of existing systems to build their own method. Don't be afraid to change and try someting new. It's all a learning experience. You just need to give it time to work.

[James48843]

.... It just goes to show you that you can't declare a winner until the end.

See, that's the beauty. It NEVER ends.

It just goes on, and on, and on, and on.

Month after month after month.

It never ends ....until you do.







The end.

[Cactus]

Here are the monthly returns as of 5/30/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-May-2013
0.11%
(1.62%)
3.83%
3.78%
(1.14%)


The best fund is C, so the following IFTs take place before noon eastern tomorrow, 5/31/13:


LMBF-1 : changes from the I Fund to the C Fund
LMBF-1 SIM : remains in the F Fund through October
LMBF-1 C>S : changes from the I Fund to the S Fund
LMBF-1 CI>S : remains in the S Fund

Note that the monthly returns for the C & S Funds are real close, so tomorrow’s results could push LMBF into a different fund than LMBF-1 since LMBF decides a day later. This does happen occasionally, though it’s not that common. The last time they diverged was in Jan 2011.

[Cactus]

Here are the results through May 31, 2013 and as you can see, we are starting to see more differentiation between the LMBF-1 variants.



G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)
(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)


YTD
0.62%
(0.76%)
15.38%
16.91%
6.46%
5.13%
6.72%
7.69%
16.91%
8.20%



The Buy-and-Hold crowd are still firmly in the lead. Holding S and/or C Funds has been the most profitable so far this year. Will this continue? I don't know. Volatility has started to pick at the end of May.

LMBF, LMBF-1, and C>S all took a significant loss in May by being fully invested in the I Fund which had the worst return of our 5 Funds. LMBF is on the TSPTalk AutoTracker and was in the top quintile (top 20%) for the 1st quarter of 2013. It has now fallen to the middle of the pack being at #585 out of 1104.

An interesting sidenote is that LMBF & LMBF-1 will be going into different Funds in June so we should be seeing even more differentiation between these two Methods. LMBF-1 has IFTed into the C Fund and LMBF should IFT into the S Fund by noon eastern Monday. This doesn't happen often, but when two funds are as close as the C & S Fund were on May 30 (only 0.05% difference) they can easily swap positions the next day.

The big surprize came with the SIM Method. It is invested in the F Fund which has been loosing money all month while the equity funds were going up. I felt sorry for those in the Sell-In-May crowd because it didn't seem to work this year. Well surprize, surprize. Come the end of the month, it didn't loose as much as the I Fund, so it is now better off than LMBF, LMBF-1, or C>S. That being the whole intent of this method, it did work for May!

Finally, we have CI>S. It is the clear winner of all the LMBF-1 variants to date. That is because it's been in the S Fund all year so it is, in effect, emmulating Buy-and-Hold so far. I have been asked to continue to post the IFTs for this method, so I will be doing that as well as analyzing it here. That will become more interesting when it leaves the S Fund.

On final note for those of you who feel bad about how much we lost this month. This is a monthly Set-It-And-Forget-It type plan and they do jump around a lot month to month. Take a look at the tables I published at the beginning of this thread and you can see it does produce months with large losses even in years that turned out rather well. If you can't handle that, these methods are not for you and you should probably look at something else. What ever you do, don't base your decision on emotion. That <b>doesn't</b> work. I can vouch for that. :)

[Cactus]

Here are the monthly returns as of 6/27/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Jun-2013
0.13%
(1.68%)

(0.92%)
(0.81%)
(2.28%)



The best fund is G, so the following IFTs take place before noon eastern tomorrow, 6/28/13:



LMBF-1 : changes from the C Fund to the G Fund
LMBF-1 SIM : remains in the F Fund through October
LMBF-1 C>S : changes from the S Fund to the G Fund
LMBF-1 CI>S : changes from the S Fund to the G Fund


Note that the G Fund was the only fund that was positive for June. Even the F Fund showed a loss. LMBF-1 SIM is hardcoded to the F Fund from May through October so it stays in the F Fund instead of joining the rest in the G Fund.

Also note that if we have another rally day tomorrow like we had today LMBF could end up in the C or S Fund instead of joining the LMBF-1 variants in the G Fund. That would be the second month in a row of divergence. We will have to wait and see what tomorrow brings.

[Cactus]

Well, it's the end of the 2nd quarter and time to see how our funds have done again. Here are the results through Jun 28, 2013 and as you can see we have some more losses.





G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%


May
0.12%
(1.78%)

2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)


YTD
0.76%
(2.28%)
13.83%
15.75%
3.51%
4.29%
5.29%
6.62%
15.75%
6.55%




There is no way around it, June was a bad month. Everything but the G Fund lost money. OK, but for most of the LMBF variants this makes two months in a row. Whats up with that? :mad: Well, if we look at the tables I posted at the start of this thread, http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods-5.html#post391621, we see that it does happen. LMBF had equivalent or worse losses in the same two months in 2010 & 2011 and still managed to end each year up better than 12%. :blink: That's way better than my track record; I can tell you that. These methods jump around a lot and they currently happen to be on the down side. Looking to the up side, all of them except SIM have moved to the G Fund, so they can't have losses for 3 months in a row. :p

So, that being the case, how do the different methods compare to each other now? I'm going to sound like a broken record, but things haven't changed much. The Buy-and-Hold crowd are still firmly in the lead. Holding S and/or C Funds has been the most profitable so far this year. On the other hand, any of the LMBF methods would come in third beating the G, F and I Funds.

LMBF-1 lost more than LMBF in June, closing the difference to only 1%. This was primarily due to them being invested in different funds this time round and LMBF-1 choosing the worse fund (C vs. S).

C>S also outperformed LMBF-1 by being in the S Fund and not losing as much. It's ironic that the C>S variant of LMBF-1 was originally intended to produce superior returns on the up side, but here it also produced a superior return on the downside. Is that a fluke? It bears investigation to see how often that happens. The argument has always been you can earn more with S over C on the way up but you also lose more on the way down.

SIM had the biggest disappointment among the variants. It lost more than the rest in June and has now fallen below C>S. The F Fund has not been kind to it this summer. On a positive note it is still above LMBF & LMBF-1 for the year, so I guess you have to say it's still working according to its original purpose.

CI>S is still the clear winner of all the LMBF-1 variants to date by having been in the S Fund all year. It's grip on the S Fund has come to an end, though, as next month it will join all the others, except SIM, in the G Fund. So one way or another CI>S will diverge from the S Fund next month. We will have to wait until then to see which comes out ahead. :cool:

[Hallatauer]

As we approach the end of the month,and unless there is a drastic change, the S fund is looking like the winner. We missed out on the S funds gains for July unfortunately but there are gonna be flops like this occasionally. Since this is a long term strategy, these tend to fall by the wayside over time. At least being in the G fund no losses were incurred.

[Cactus]

Thanks for posting, Hallatauer. You're right that we didn't lose anything in the G Fund for July, but the way I look at it, we also didn't recoup our losses from May & June. That really hurts right now. You've followed this system for a while, is it often like this? I'm wondering specifically if the summer months tend to jerk us around like this and mess us up emotionally. I gotta neutralize those emotions. They're telling me the run up is over and there is nothing left in the S Fund for August. That's exactly the thing that kept me out of the S Fund in February so I missed out on another 1% gain. :o

[Cactus]

Here are the monthly returns as of 7/30/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Jul-2013
0.17%
0.07%
5.10%
6.60%
5.60%



The best fund is S, so the following IFTs take place before noon eastern tomorrow, 7/31/13:



LMBF-1 : changes from the G Fund to the S Fund
LMBF-1 SIM : remains in the F Fund through October
LMBF-1 C>S : changes from the G Fund to the S Fund
LMBF-1 CI>S : changes from the G Fund to the S Fund

[Hallatauer]

If you start second guessing, letting emotion control your decisions, then why bother following a system? You have to be detached. Put the worry of what could have been behind you and know that the previous results have been great and that down or missed opportunities will always exist.

[Cactus]

Here are the results through the end of July, and as you can see, the LMBF variants basically came in last place. That's the price of safety.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%


YTD
0.94%
(2.15%)
19.64%
23.72%
8.98%
5.79%
5.48%
6.81%
15.96%
6.69%



There is no way around it, July was a bad month to be out of the market, which all the LMBF variants were. The S Fund alone made more in July than all but one of the variants made all year. That's got to hurt. Even the I Fund is doing better than most of the LMBF variants at this point for the year.

What can I say? These systems have had a bad stretch for 3 months. Most of them have had losses for 2 months and then they missed the great rebound in July. The system is what it is, so does this kind of stuff happen often? I don't know. It does bear investigation.

OK, enough of my whining. We all know by now that holding S and/or C Funds has been the way to go this year, and we haven't been able to beat the Buy-and-Hold crowd. That being the case, how do the different methods compare to each other?

The big winner this month was LMBF with a gain of 1.43%. It achieved this by still being invested in last month's fund, the S Fund, on the first day of the month. That worked in its favor this time as it pulled ahead of LMBF-1 and then jonied it in the same fund like it did in April.

As for the other LMBF variants, their relative position didn't change in July since they were all in the G Fund with the exception of SIM which was in the F Fund. The G & F Fund were within 0.05% of each other so there wasn't enough difference there to make a difference. SIM is still beating LMBF & LMBF-1 for the year. C>S is still beating all three of them, and CI>S still comes out on top of all of them. On the down side, CI>S has now fallen significantly behind the S Fund and won't outperform it in August because it is back in the S Fund. What a difference a month makes.

[mmk119]

Forgive me if this is the wrong thread for this...
Anyone do the contrarian view - Have you compared the performance of these methods vs moving into the last month's worst performing funds, still making your move on the last day of the month? Would this even come close to working?

[rcknfrewld]

i asked the same question and if I recall JTH said it had poor returns...page down to view I think

[PLANO]

I haven't crunched any numbers but I assume that would defeat the whole purpose of this method. The idea is to identify and then follow the trend, which you do by moving to the best fund each month. If you move to the worst fund each month...well...you've identified the other trend.

[Cactus]

Here is where Rcknfrewld asked that question followed by the reponses he got: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods-3.html#post400508

[Cactus]

We will have to wait for the final numbers tonight to be sure, but the way things look now all the LMBF-1 variants except LMBF-1 SIM will be going back into the G Fund tomorrow. The F, C, S, & I Funds are all negative for the month, and none of them appear to be making enough progress today to overcome that. The fund with the best chance would be I. If it could add ~0.5% today, it could ace out the G Fund, but I don't see that happening.

LMBF-1 SIM, of course, is hardwired to the F Fund through October.

[Cactus]

Here are the monthly returns as of 8/29/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Aug-2013
0.17%
(0.52%)
(2.59%)
(1.57%)
(0.45%)


The best fund is G, so the following IFTs take place before noon eastern tomorrow, 8/30/13.


LMBF-1 : changes from the S Fund to the G Fund
LMBF-1 SIM : remains in the F Fund through October
LMBF-1 C>S : changes from the S Fund to the G Fund
LMBF-1 CI>S : changes from the S Fund to the G Fund

[mmk119]

Cactus, rcknfrewld and PLANO;
appreciate the feedback. I was sure someone had already looked into this. I think I'll stick with LMBF-1.
thanks,
M

[Cactus]

Here are the results through the end of August, and as you can see, August was another month like June where, except for the G Fund, all funds were negative. That, as we now know, led to the tremendous equities rally in July while most of the LMBF family was in the safety of the G Fund. They, of course, joined the fun in the S Fund in August only to miss out on the gains. :mad:




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
LMWF-1


Jan
0.13%
(0.56%)

5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%
(0.56%)


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%
0.51%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%
0.88%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%
1.02%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)

(3.12%)
(3.12%)
2.71%
(1.78%)
2.71%


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%
5.29%


Aug
0.18%
(0.48%)

(2.89%)
(2.76%)
(1.31%)
(4.32%)
(2.76%)
(2.76%)
(2.76%)
(0.48%)
(0.48%)


YTD
1.12%
(2.62%)

16.18%
20.30%
7.56%
1.22%
2.57%
3.87%
12.77%
6.18%
7.95%



This is getting old. All was well with the LMBF family for the first four months of 2013 but since May it's been a downhill slide. The monthly allocations appear to have gotten 180 degrees out of sync, being out when they should be in and vice versa. Will this continue in September? Let's hope not, but hoping is no way to invest.

The question of the Last Month's Worst Fund was brought up in this thread again recently. So with 4 bad months, I decided to add LMWF-1 to our list this time around. Could it be any worse? Take a look; you'd be surprised. :eek:

OK, what are these numbers telling us? Really, it's nothing new. Buy-N-Hold the S and/or C Fund has been the way to go in 2013. Even with the losses they accrued in August, they are way in the lead. They just can't be beat. I'm sorry to be a broken record but so far it holds true. This doesn't appear to be the year for systems like LMBF. :(

Really?! How bad is it? Well, look at LMBF, LMBF-1 and C>S. They are worse off now than they were at the end of January. Their yearly gains are almost wiped out and they will be on hold in the G Fund earning zilch for September. Historically that's the weakest month of the year so maybe this time it's fortuitous. It's time that things turn around for these funds. LMBF is @ 782 out of 1053 on the AT. It's closing in on the bottom quarter -- not a goal we want it to achieve.

Things don't look that bad for CI>S but that is because it was in the S Fund until July. It essentially benefited from a Buy-N-Hold of the S Fund for most of the year and therefore has a higher base to fall from. I wouldn't count on this happening all the time.

SIM is still living up to its purpose to beat LMBF-1 by being in the F Fund during the weaker 6 months of the year. This month it claimed another victory by beating LMBF, LMBF-1 and C>S. Things definitely look good for SIM here.

Now for the disturbing news. LMWF-1 beat all methods except CI>S. :blink: What's up with that? This makes it look like there is nothing to any of these methods and simply throwing darts every month could produce equal results. Maybe it can, but remember that the last time we looked at LMWF-1 was this spring when things were going well for the LMBF family and poorly for LMWF-1. We've now had 4 months of poor performance for the LMBF family and LMWF-1 has caught up. How did it do it?

It's these 4 months that made me want to look at LMWF-1 again. Does it do well during down times? Let's see. It chose funds with better returns in April and May. May was a real score as most of the LMBF family was negative. June on the other hand was a loss with LMWF-1 choosing a fund that lost more than the others. That was made up in August where LMWF-1 chose a fund that lost less than the others.

The month that really made a difference was July. While the LMBF family was locked up in the safety of the G Fund, LMWF-1 was in equities. It chose the I Fund instead of the winning S Fund, but being in any of the equities (C, S, or I) during this rally was enough to score it the lead. That was quite a rally. Remember I said last month that the S Fund made more in July than all but one of the LMBF family made all year. What a difference a month can make. Will it happen again? The fund allocations did line up. The LMBF family, except for SIM, are in the G Fund for September and LMWF-1 is in the C Fund. I wouldn't advise it, but there you have it.

Well, I still think this is a 1 month fluke for LMWF-1 but I guess I better go back and back test it to compare the historical results to the LMBF family. Stay tuned.

In the mean time remember the contrarian rule: about the time most people give up on a system is when it turns around and starts to perform again..

[rcknfrewld]

i think the LMWM should be used if you want to stay in equities (C,S,I) all year...for some reason picking the previous months worst fund appeals to me...my twisted sense of odds feels that the fund wouldn't be worst two months in a row...I think you have to toss out G and F...no volitility there...or incorporate F somehow under certain conditions...who knows

[Cactus]

Except it's been in the F Fund for most of the year, not in equities. Here are the monthly allocations for 2013:



Jan
F


Feb
F


Mar
I


Apr
F


May
S


Jun
F


Jul
I


Aug
F


Sep
C

[rcknfrewld]

you should know what my next question will be then after reading your previous post...i'll give you a chance...before I ask it

[Cactus]

Well, if you want to be in equities all year you would just use a LMWF on the C, S and I Funds and not even consider the G & F Funds. That should be working pretty good so far this year of Buy-N-Hold.

On the other hand, if you are only interested in LMWF when an equity fund is chosen you could follow LMBF and when an equities fund is chosen, choose the worst of C,S, or I instead.

I think you had the former in mind so these would be their returns for 2013.

LMWEF-1 2013


Jan

C

5.18%



Feb

I

-0.99%



Mar

I

0.88%



Apr

I

5.32%



May

S

2.71%



Jun

I

-2.77%



Jul

I

5.29%



Aug

C

-2.89%



YTD


12.98%




Looks to me like you're still better off holding S and/or C this year.

[Cactus]

OK, Here are the back tested returns for LMWF-1. I felt the need to post the historical data in case anyone got too excited about the current returns.

25098

Some years don't look all that bad, but ouch look at the loss years. It lost more in 2008 than I did and that is hard to do. :sick:

As you can see from the table below comparing the running totals of several of the methods, LMWF-1 hasn't made up the losses yet and is negative over that 9 year stretch. Ouch! Do you really want to go there.

25099

[Hallatauer]

Great info and charts to ponder over. I was AFK the past week and didn't make the change to the G Fund. Looks like that worked in my favor as I have made back over half the losses I had in August. Considerng moving over to the G Fund now and maybe lock in the recovery.

[Cactus]

Good to hear from you, Hallatauer! It sounds like things are going your way. You'll be getting a big payoff today. Sometimes missing the IFT time pays off. :D

[Hallatauer]

Back in the G Fund as of this morning. Missing the move turned into a windfall. Aug as a 2.76% loss but I got the rebound and locked it in at 4.38%. Don't try this at home... this was a fluke. <g>
What's really been nice is that I've been taking payments via IRS 72t rule and my account is at it's highest ever.. a.k.a. I'm making more than I withdraw.

[Viva_La_Migra]

Back in the G Fund as of this morning. Missing the move turned into a windfall. Aug as a 2.76% loss but I got the rebound and locked it in at 4.38%. Don't try this at home... this was a fluke. <g>
What's really been nice is that I've been taking payments via IRS 72t rule and my account is at it's highest ever.. a.k.a. I'm making more than I withdraw.
That is the ultimate goal! Good work.

[Cactus]

Here are the monthly returns as of 9/27/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Sep-2013
0.17%
1.00%
3.76%
6.06%
8.45%


The best fund is I so the following IFTs take place before noon eastern Monday, 9/30/13:


LMBF-1 changes from the G Fund to the I Fund
LMBF-1 SIM remains in the F Fund through October
LMBF-1 C>S changes from the G Fund to the I Fund
LMBF-1 CI>S changes from the G Fund to the S Fund
LMWF-1 changes from the C Fund to the G Fund

[Hallatauer]

Made my move to the I Fund over the weekend. Looks like lots of turmoil this week as congress fights and we all lose. Guess having our money in the international markets is a good thing this month.

[Cactus]

It's the end of the 3rd quarter, so here are the returns through the end of September.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
LMWF-1


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%
(0.56%)


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%
0.51%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%
0.88%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%
1.02%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)
2.71%


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%
5.29%


Aug
0.18%
(0.48%)

(2.89%)
(2.76%)
(1.31%)
(4.32%)
(2.76%)
(2.76%)
(2.76%)
(0.48%)
(0.48%)


Sep
0.19%
0.99%
3.14%
5.89%
7.41%
0.56%
0.19%
0.19%
0.19%
0.99%
3.14%


YTD
1.32%
(1.65%)

19.83%
27.39%
15.53%
1.79%
2.77%
4.06%
12.98%
7.23%
11.34%



As you can see, what we speculated last month came to pass. Just like June's bust was followed by the tremendous equities rally in July, August's bust was followed by another recovery rally in September. And all while most of the LMBF methods were in the safety of the G Fund. Most of the LMBF family has been out of sync for the last 5 months now. This is getting more than old. It's getting downright depressing.

What can I say that I haven't repeatedly said already? This is the year to buy-N-hold C and/or S Funds. The LMBF family can't compete. LMBF and LMBF-1 are only beating out the G Fund (As of this writing LMBF has actually slipped below the G Fund and is solidly in the bottom quarter on the AutoTracker). :eek: Even the LMWF-1 is doing better than all but one of the LMBF family.

Are there any good signs? Well, yes, the same ones as before. CI>S is still holding up well because it's been in the S Fund most of the year, but even it slipped into the G Fund for July & August to miss the recovery rallies. SIM is still living up to its purpose to beat LMBF-1 by being in the F Fund during the weaker 6 months of the year. This paid off in a bigger gain for September. That adds to the reduced losses for May & August to make SIM a serious option to consider here. That is even more remarkable when you consider that the F Fund just isn't doing that great this year. :blink:

LMWF-1 once again gained the advantage by being in equities in September. It was actually in the worst of the lot, the C Fund, but since most of the LMBF family was in the safety of the G Fund, LMWF-1 was still able to extend it's lead. Again, the strategy of being in equities is paying off this year.

Well, I started looking at the monthly returns for LMBF & LMBF-1 because I wanted to get a feel of what they are like in the midst of deciding our investment instead of looking at the historical data of annual returns after the fact. From looking at this over the summer, it looks like a method that stopped working as soon as I looked into it. That's the story of my life. Once you find a pattern it stops working. Or does it?

Look at the monthly returns I posted in the tables (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-7.html#post391621) at the start of this thread. Have we been here before? In September of 2010 LMBF-1 was siting at 1.55%. That's worse than now. We should have given up on that method then, right? Except it finished the year in 2nd place at 17.35%, aced out only by the S Fund. LMBF was in even worse shape sitting at -1.95%. Get me out of this loser, right? Only it also pulled a nice recovery ending the year at 12.85%. That was below the S & C Funds but still not a bad comeback considering where it was in September. Then there is September 2004 where LMBF-1 was at 1.67% but finished the year at 14.51%, and LMBF was at 2.15% and finished at 13%.

When you look at the annual returns, those are the kind of numbers you want. They are just hard to see when you are sitting in September's returns. Will that happen this year? Who knows? Maybe these methods really have stopped working. My emotions are certainly telling me that. But we definitely have been here before. And as I pointed out earlier, the numbers do jump around a lot from month to month. If you can't stomach that, these methods are not for you.

[Hallatauer]

As we look to the end of the month, being in the I Fund has been good to us. The C and S Funds have been better. We'll see what happens in the next 24 hrs but it looks like a a move back to domestic equities will be in order. C or C>S will rule.

[Cactus]

Looks like you are going to be right on the C Fund, Hallatauer. The I Fund may pull ahead of the S Fund, though. We will have to see this evening. I think I'd be more inclined to go with C>S than C, myself. There is more room for growth from here and I have just always liked it better since we discovered it.

[Cactus]

Deleted double post.

[Cactus]

Here are the monthly returns as of 10/30/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Oct-2013
0.19%
0.90%
5.00%
3.21%
4.21%


The best fund is C so the following IFTs take place before noon eastern tomorrow, 10/31/13:


LMBF-1 changes from the I Fund to the C Fund
LMBF-1 SIM changes from the F Fund to the C Fund
LMBF-1 C>S changes from the I Fund to the S Fund
LMBF-1 CI>S remains in the S Fund
LMWF-1 remains in the G Fund

[Hallatauer]

Looks like you are going to be right on the C Fund, Hallatauer. The I Fund may pull ahead of the S Fund, though. We will have to see this evening. I think I'd be more inclined to go with C>S than C, myself. There is more room for growth from here and I have just always liked it better since we discovered it.

I agree and have been doing the C>S regularly also since that option showed to give higher returns. Time to make my transfer!

[Cactus]

October is behind us, so here are the returns through the end of October.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
LMWF


Jan
0.13%
(0.56%)

5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%
(0.56%)


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%
0.51%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%
0.88%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%
1.02%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)
2.71%


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%
5.29%


Aug
0.18%
(0.48%)

(2.89%)
(2.76%)
(1.31%)
(4.32%)
(2.76%)
(2.76%)
(2.76%)
(0.48%)
(0.48%)


Sep
0.19%
0.99%
3.14%
5.89%
7.41%
0.56%
0.19%
0.19%
0.19%
0.99%
3.14%


Oct
0.19%
0.89%
4.60%
2.94%
3.38%
2.93%
3.38%
3.38%
2.94%
0.89%
0.19%


YTD
1.52%
(0.78%)
25.34%
31.13%
19.43%
4.78%
6.24%
7.58%
16.30%
8.18%
11.55%


Broken record time again. Buy-N-hold has been king this year. C and/or S Funds have been the way to go. Even the I Fund came up nicely in October. Equities certainly were the way to go. Fortunately most of the LMBF variants were in equities and were rewarded with gains. LMBF, LMBF-1, and C>S were so far down that October's returns were in the neighborhood of doubling their YTD standing from last month. Still, none of the LMBF variants can touch the C, S or even I Fund this year.

CI>S was in the S Fund for October which was actually the worst performing of our equity funds. This means that it didn't gain as much as those methods in the I Fund. Still, it started from a higher base and thus remains the leader among the LMBF variants this year.

SIM was in the F Fund by design from May - Oct and now returns to following LMBF-1 in Nov. You will remember that the idea behind the SIM variant is to follow LMBF-1 during the so called stronger 6 months of the year, and hold it in the F Funds for the rest. So did it work? It did this year. It is sitting almost 2% higher than LMBF-1 for the year. Also consider this is in a year where the F Fund hasn't been doing that well. It is still negative for the year and still managed its 2% advantage. It may be something to consider next May. :)

I will continue to post the LMWF-1 returns through the end of the year since there was recent interest in it. I don't have that much to say about it since I don't think it is a good choice (see previous postings). It was in the G Fund for Oct and remains there in Nov. That hurt it being out of equities for Oct. Of course it is sitting at a nice YTD return compared to most of the LMBF variants so what is there to complain about. We'll have to see if this is made up for in Nov.

[Cactus]

Here are the monthly returns as of 11/27/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Nov-2013
0.16%
(0.36%)
3.13%
2.52%
0.12%


The best fund is C so the following IFTs take place before noon eastern tomorrow, 11/29/13:


LMBF-1 remains in the C Fund
LMBF-1 SIM remains in the C Fund
LMBF-1 C>S remains in the S Fund
LMBF-1 CI>S remains in the S Fund
LMWF-1 changes from the G Fund to the F Fund

[Cactus]

Well, it looks like LMBF is going to remain in the C Fund just like LMBF-1. That's quite interesting. If you look at the tables at the beginning of this thread you will notice that has never happened for the LMBF before. For LMBF-1 there has been only one occurrence of being in the C Fund for two consecutive months; that being Nov & Dec 2009.

[weatherweenie]

Well, it looks like LMBF is going to remain in the C Fund just like LMBF-1. That's quite interesting. If you look at the tables at the beginning of this thread you will notice that has never happened for the LMBF before. For LMBF-1 there has been only one occurrence of being in the C Fund for two consecutive months; that being Nov & Dec 2009.
It looks like LMBF-1 was in the F fund for Nov '09 and the C fund for Dec '09.

[Cactus]

You're right! :o Thank you. It is showing Nov as being in the F Fund. It looks like a copy & paste error from the the LMBF table. I did change the color of the box indicating changes from LMBF but I forgot to change the letter to 'C'. It still has the 'F' from LMBF. At least the percentages are for the C Fund. Still, I need to post a corrected table. At this point I'll probable wait till after Dec so I can include the 2013 returns.

[Cactus]

OK, November is well behind us so it's past time I get out these results:




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
LMWF


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%
(0.56%)


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%
0.51%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%
0.88%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%
1.02%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)
2.71%


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%
5.29%


Aug
0.18%
(0.48%)

(2.89%)
(2.76%)
(1.31%)
(4.32%)
(2.76%)
(2.76%)
(2.76%)
(0.48%)
(0.48%)


Sep
0.19%
0.99%
3.14%
5.89%
7.41%
0.56%
0.19%
0.19%
0.19%
0.99%
3.14%


Oct
0.19%
0.89%
4.60%
2.94%
3.38%
2.93%
3.38%
3.38%
2.94%
0.89%
0.19%


Nov
0.18%
(0.35%)

3.05%
2.49%
0.75%
1.65%
3.05%
2.49%
2.49%
3.05%
0.18%


YTD
1.69%
(1.13%)
29.17%
34.40%
20.32%
6.51%
9.48%
10.26%
19.19%
11.48%
11.75%



It looks like all of the LMBF family of methods have done well for themselves again this month as they come off of the September lows. Do you remember September? The low for the LMBF methods was actually in August, but we were low in September as most of the methods were in the safety of the G Fund again while missing the relief rally for the second time. I was ready to give up after that, but as I pointed out back then, this had happened before only to finish the year well off their lows. It now looks like it is doing so again.

November follows October with some more impressive results. LMBF, LMBF-1, & SIM nailed it by spending November in the winning fund, the C Fund, and so they remained there in December. As I pointed out in a previous post, it is a rare occurrence for the C Fund to be the best fund for two consecutive months. It's never happened to LMBF before and it only happened once before to LMBF-1.

C>S & CI>S were in the S Fund which came in second place not too far behind the C Fund. Being in the S Fund didn't pay off this time, but that didn't hurt them too badly as the relative standing of the various methods hasn't changed from the previous month. It doesn't pay off every time but just enough to keep it ahead of LMBF-1 apparently.

As for LMWF, it missed out on the gains from equities again by being in the G Fund for the second month in a row. At least it wasn't in the F Fund which was the looser. Of course that means that's where it's headed for December. It is still ahead of all but one of the LMBF family, though, so we can't take too many pot shots at it.

Finally, we have the C, S, & I Funds themselves which are the clear winners this year. If you had held any one of these this year you would be ahead of all these methods. But then every year is different and January starts a new year. :)

Is anyone interested in following these methods in 2014? I can continue to post the IFTs here if you like. If you also want it on the AutoTracker for better accountability I can look into that too. My only hesitancy with that is with my schedule I may not be around at the end of each month to record the IFTs. Anyone can post them on this thread, but we would have to have backups if we went with the AT. I'm not connected 24 x 7 like many people here seem to be.

[ILoveTDs]

Keep up the good work if you can

[Hallatauer]

Cactus, if you would keep up with it the best you can, it would be most appreciated. I think there are many who follow this, and other threads, but never speak up or post. Which is fine. I just like to throw my 2 cents in and also acknowledge when someone else puts in an effort.

[Cactus]

OK, I have added the following four methods to the TSP AutoTracker.


LMBF1 Day
LMBF1 SIM
LMBF1 C>S
LMBF1 CI>S

Note that I am calling "LMBF-1" "LMBF1 Day" on the AT. I did this because it will show IFTs a day before LMBF and I didn't want someone mistaking the two with a casual glance and making the wrong trade. Hopefully this will make it clear enough. Tom also had to remove the '-' in front of the '1' as it wouldn't take it otherwise.

Here is a reminder of how the four methods work:

LMBF1 Day (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods.html#post391621): Look up the results of the 5 TSP funds on the next-to-last trading day of the month and IFT into the fund with the highest return before noon eastern on the last trading day of the month.

LMBF1 SIM (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-3.html#post399058): Follow "LMBF1 Day" Nov - April and the F Fund May - Oct.

LMBF1 C>S (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-3.html#post399058): Same as "LMBF1 Day" except choose the S Fund when the C Fund is the best.

LMBF1 CI>S (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-5.html#post407092): Same as "LMBF1 Day" except choose the S Fund when the C or I Fund is the best.

[Cactus]

Here are the monthly returns as of 12/30/13.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Dec-2013
0.19%
(0.44%)

2.13%
2.51%
1.40%



The best fund is S so the following IFTs take place before noon eastern tomorrow, 12/31/13:

LMBF-1 changes from the C Fund to the S Fund
LMBF-1 SIM changes from the C Fund to the S Fund
LMBF-1 C>S remains in the S Fund
LMBF-1 CI>S remains in the S Fund

[Hallatauer]

Staying in the S Fund... been following the LMBF-1 C>S and enjoying the returns. Happy New Year ya'll!

[Hallatauer]

Also, I don't remember when I switched from LMBF to LMBF-1 C>S.. spring 2013 but figured my return for the year.... 22.21% Damn good!

[Cactus]

WOW, Hallatauer, that's great!!! With results like that you can retire. Oh, wait a minute, you already have. :D

[Cactus]

Now that 2013 is behind us, here are the updated tables including 2013's returns. This now gives us 10 years of data to look at.

Table 1: LMBF Returns
26524


Table 2: LMBF-1 Day Returns
26525
Note: The olive colored fund blocks represents months where the LMBF-1 chose a different fund from LMBF. This table also corrects the Nov 2009 Fund label that appeared in post #2 of this thread.


Table 3: LMBF-1 SIM (seasonal variant) Returns
26526
Note: The olive colored fund blocks represents months where the SIM chose a different fund from LMBF-1.


Table 4: LMBF-1 C>S Returns
26527
Note: The olive colored fund blocks represents months where the C>S chose a different fund from LMBF-1.


Table 5: LMBF-1 CI>S Returns
26528
Note: The olive colored fund blocks represents months where the CI>S chose a different fund from LMBF-1.

[jonfresno]

Now that 2013 is behind us, here are the updated tables including 2013's returns. This now gives us 10 years of data to look at.

Hey Cactus, thanks SOO MUCH for taking the time to compile these figures. I think it's such a great asset for us all. Now if I can get a pair of those sticky pants that Birchtree has so I don't abandon the market and stay disciplined to the system - any system...

I used the "manual" approach for this, so buyer beware, but using your tables, I came up with these 10 year total returns:

85.57 - lmbf
118.34 - lmbf-1
125.91 lmbf-1 SIM
142.40 - lmbf-1 C>S
149.58 - lmbf-1 CI>S

Any way you cut it, pretty darned good if you ask me.

Thanks again, and Happy New Year!

[Cactus]

jonfresno, I think you summed all the returns. It's is even more impressive when you take compounding into effect. Here are some more stats for you.

Here are the annual returns of these Methods/Funds for 10 years:
26538

Here are the Running Totals:
26539

Here are some stats on the 3, 5, & 10 year returns:
26540

The Standard Deviations here is a measure of risk and volatility. If you want more information on that or on how to compute things like Total Return or Annualized return you can check out this thread (shameless plug) here: http://www.tsptalk.com/mb/ta-tools/18517-introduction-measuring-risk-tsp-funds.html

Note that the Annualized Return is what I term CAGR in that article.

[Cactus]

OK, December is finished so lets see how these Methods finished out the year.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
LMWF


Jan
0.13%
(0.56%)
5.18%
6.96%
4.45%
4.45%
4.45%
4.45%
6.96%
4.45%
(0.56%)


Feb
0.13%
0.51%
1.36%
1.00%
(0.99%)
0.66%
1.00%
1.00%
1.00%
1.00%
0.51%


Mar
0.13%
0.07%
3.75%
4.69%
0.88%
3.57%
3.75%
4.69%
4.69%
3.75%
0.88%


Apr
0.12%
1.02%
1.93%
0.65%
5.32%
1.27%
0.65%
0.65%
0.65%
0.65%
1.02%


May
0.12%
(1.78%)
2.34%
2.71%
(3.12%)

(4.67%)
(3.12%)
(3.12%)
2.71%
(1.78%)
2.71%


Jun
0.14%
(1.53%)

(1.34%)
(0.99%)
(2.77%)
(0.79%)
(1.34%)
(0.99%)
(0.99%)
(1.53%)
(1.53%)


Jul
0.18%
0.13%
5.10%
6.88%
5.29%
1.43%
0.18%
0.18%
0.18%
0.13%
5.29%


Aug
0.18%
(0.48%)

(2.89%)
(2.76%)
(1.31%)
(4.32%)
(2.76%)
(2.76%)
(2.76%)
(0.48%)
(0.48%)


Sep
0.19%
0.99%
3.14%
5.89%
7.41%
0.56%
0.19%
0.19%
0.19%
0.99%
3.14%


Oct
0.19%
0.89%
4.60%
2.94%
3.38%
2.93%
3.38%
3.38%
2.94%
0.89%
0.19%


Nov
0.18%
(0.35%)
3.05%
2.49%
0.75%
1.65%
3.05%
2.49%
2.49%
3.05%
0.18%


Dec
0.19%
(0.56%)
2.54%
2.94%
1.51%
2.54%
2.54%
2.94%
2.94%
2.54%
(0.56%)


YTD
1.89%
(1.68%)
32.45%
38.35%
22.13%
9.21%
12.26%
13.50%
22.70%
14.31%
11.12%



Well-oh-well didn't all these methods finish out the year nicely. They did in fact end up well off their lows as we have been speculating. Who would have thought that in September. Hope your emotions didn't scare you out at the bottom.

The best fund turned out to be the S Fund which helped C>S and CI>S extend their lead. As I pointed out when we researched the C>S method, C is followed by S 2/3 of the time so this was expected. It was the back-to-back C Fund months that was the surprise.

The C Fund wasn't that far behind in 2nd place, so the remaining LMBF variants performed almost as well as those in the S Fund. We had nice returns in December all the way around.

Of course this was a Buy-N-Hold year, so maybe it wasn't a good test for following these methods. The C, S, or I Funds are the clear winners this year. If you had held any one or combination of these all year you would be ahead of most all our methods. I say most all because CI>S did finally manage to squeak ahead of the I Fund in December. The fact remains it was easier to make money by parking your funds in equities and leaving it there all year. But who knew? It won't be like that every year.

Then there was LMWF. Last month it was still above all but one of the LMBF family. This month it finds itself below all but one of them. That's quite a drop in position, but not so much in return. It's more like the LMBF-1 methods caught up and overtook LMWF. Hey, 11+% is a respectable return. Still, I wouldn't recommend it. I won't be commenting on it further in 2014, so if you are still interested in it, feel free to post the IFTs and performance on this thread.

We will see how things go in 2014. Every year is different and maybe 2014 is more conducive to trading. :)

[Hallatauer]

Wow.... what a crappy month for equities. C,S,I all heavy in the red. At least the S Fund we have been in took the smallest hit out of the three. Unless there is a huge spike today, which isn't showing itself at all right now, the IFT looks like F Fund. We'll see the final numbers for the LMBF-1 month today after the COB.

[Cactus]

Here are the monthly returns as of 1/30/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Jan-2014
0.21%
1.47%
(2.82%)

(1.39%)
(3.53%)


The best fund is F so the following IFTs take place before noon eastern tomorrow, 1/31/2014:

LMBF-1 changes from the S Fund to the F Fund
LMBF-1 SIM changes from the S Fund to the F Fund
LMBF-1 C>S changes from the S Fund to the F Fund
LMBF-1 CI>S changes from the S Fund to the F Fund

[Cactus]

Here are the monthly returns as of 2/27/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Feb-2014
0.17%
0.62%
4.29%
5.66%
4.91%


The best fund is S so the following IFTs take place before noon eastern tomorrow, 2/28/2014:


LMBF-1 changes from the F Fund to the S Fund
LMBF-1 SIM changes from the F Fund to the S Fund
LMBF-1 C>S changes from the F Fund to the S Fund
LMBF-1 CI>S changes from the F Fund to the S Fund

Do you get the feeling we've been whipsawed from last month? Well 2 days ago the best fund was I so things do change from day to day.

[Cactus]

Here are the monthly returns as of 3/28/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


28-Mar-2014
0.17%
(0.13%)

0.05%
(2.22%)

(1.16%)


The best fund is G so the following IFTs take place before noon eastern Monday, 3/31/2014:


LMBF-1 changes from the S Fund to the G Fund
LMBF-1 SIM changes from the S Fund to the G Fund
LMBF-1 C>S changes from the S Fund to the G Fund
LMBF-1 CI>S changes from the S Fund to the G Fund

Looks like last month's reference to whipsawing proved valid. And here we go back into safety again for April.

Note: that a good day on Monday could put LMBF into the C Fund for April. It has already diverged from the LMBF-1 family in March, being in I instead of S. It looks like that will work out for LMBF this month.

[Cactus]

I pointed out in my last posts that we are being whipsawed again. This also happened last summer and begs the questions: 1) does this happen often? 2) Can we do anything about it? Well, in order to see we are being whipsawed, a fair amount of past performance must have already gone by and then we must ask: 3) is it too late to do anything about it?

I'll start by defining whipsawing. I see it as alternating months switching between equities (C, S, or I) and safety (G or F). The minimum amount of time it takes to see this is two months gone by as we make our choice for the third month. This was the case at the end of February (S to F to S).

So we can't take any action until the third month. Is this too late? Well, I don't know. The more basic question is what can we do? The way I see it we have three choices: 1) Do nothing -- keep following LMBF-1. 2) Don't participate. Stay put in the fund you are in until the whipsawing ends. 3) Choose a contrarian strategy opposite to the LMBF-1 choice to try to benefit from the whipsawing. Notice that if we implement 3 by choosing the best fund two months ago instead of the previous month (getting out of sync with the whipsaw) we end up with the same choice for the third month for options 2 and 3. Does this work?

I have posted two tables below. The first lists the LMBF-1. The second, labeled CWS (Contrarian WhipSaw), shows where we tried to do something about it. The olive colored fund blocks start at the third month of the whipsaw. I have left out the years 2004 & 2006 as they had no whipsawing.

27869

27870

The first thing I notice is there are 5 occurrences of single blocks and 4 out of 5 of them resulted in worse choices. That comes as no surprise as we pulled out right when the whipsawing ends and suffered the consequences. That would speak against options 2 and 3 and indicate that it probably is too late to do anything about whipsawing. For those wondering where I got only 5 blocks from, don't forget that Dec 2011 wraps around into Jan 2012 so those aren't single blocks.

OK, what about those runs of two or more months. Do they produce better results. Well, look at the numbers. Yes, the first months in the run do produce better results but they all end and that end produces worse results just like the single blocks. We always end worse off. But half the blocks are runs of two or more. How does that all average out? Look at the annual returns. You get better returns with CWS in a couple of years but for most of them you do worse.

The total returns for the years listed is: LMBF-1 119.23% , CWS 93.41%. That tells me this doesn't work and you are better off just following LMBF-1. Sure if you knew in advance when the whipsawing was going to start and stop you could do better, but then why use LMBF at all? Just time the market and be so kind as to tell the rest of us. :D

[userque]

I pointed out in my last posts that we are being whipsawed again. This also happened last summer and begs the questions: 1) does this happen often? 2) Can we do anything about it? Well, in order to see we are being whipsawed, a fair amount of past performance must have already gone by and then we must ask: 3) is it too late to do anything about it?

Has anyone considered basing the trading decision on fund performances as of the middle of the month AND the end of the month?

In the middle of the month, you would enter the best performing fund since the start of the month. At the end of the month, you would enter the best performing fund SINCE the middle of the month.

This would utilize both of your IFT's rather than see one go to 'waste' each month.

Has anyone ran the numbers on something like this?

(Variations include using a set date for the 'middle.' Using the start of the month rather than the end. And entering the WORST fund rather than the best.)

:blink:

[Cactus]

Yes, that's been mentioned several times on the Last Month's Best Fund Method Strategy thread. Here is a time (post 339 on 12/06/2012) where ILoveTDs computed some returns: http://www.tsptalk.com/mb/longer-term-strategies/5752-last-months-best-fund-method-strategy-29.html#post385079

They seam to produce more disapointing results because you are more likely to just be chasing gains instead of following an intermediate (~20 day) trend.

[Hallatauer]

Just got back from a two week trip with mostly no internet access to see a disappointing month again. Just have to remind myself my goals are long term. A bad month or two is to be expected.

[userque]

Yes, that's been mentioned several times on the Last Month's Best Fund Method Strategy thread. Here is a time (post 339 on 12/06/2012) where ILoveTDs computed some returns: http://www.tsptalk.com/mb/longer-term-strategies/5752-last-months-best-fund-method-strategy-29.html#post385079

They seam to produce more disapointing results because you are more likely to just be chasing gains instead of following an intermediate (~20 day) trend.

Thanks! Link worked. Should have known you guys would have thought of it already:o

[ILoveTDs]

Also were the LMBF-1 SIM came from

[Cactus]

With the first quarter behind us, here are the results for the first three months of 2014:




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)

0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)

0.85%
(0.69%)

(0.57%)

1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)


YTD
0.58%
2.06%
1.83%
2.70%
0.75%
(3.15%)

(1.98%)
(1.98%)
(1.98%)
(1.98%)


The first thing you will notice is that all 5 TSP funds are positive for the year while all the LMBF Methods are negative. OUCH! What happened?

Well, this isn't the first quarter of 2013. You will remember last year the LMBF family wasn't doing as well as Buy-N-Hold of C and/or S. Yes, but at least we were making money. True, but in 2013 it was hard not to make money and this is not 2013.

The thing to notice here is that we did see results like this in 2013, but that happened from June through September. We didn't go negative because we started from a higher base later in the year, but we did lose money. Why? Whipsawing! We were in the market to lose the money and out of the market for the recovery. Simply put -- we zigged when we should have zagged. We were repeatedly out of sync with what's going on for months at a time. Is there anything we can do about it? Not really. Check out my analysis on whipsawing a couple of post back (Post #110) to see why. Just keep in mind that the whipsawing does stop eventually. If you can't live with that, this method is not for you.

The next thing to notice is that the four LMBF-1 Methods have not diverged from each other but they have diverged from LMBF in March and April. LMBF went into the I Fund in March while the LMBF-1 family went into the S Fund. This proved advantageous for LMBF as the I Fund didn't lose as much as the S Fund. LMBF actually made money in March because it was still in the February allocation (F Fund) on the first trading day of March. That helped to make up (but not quite) for the 3% hit it took on the first trading day in February while it was still in the S Fund.

Now in April LMBF and the LMBF-1 family have really diverged, of course, as LMBF remains in equities (C Fund this time) while the LMBF-1 family heads to the safety of the G Fund. It remains to be seen which method made the wiser choice, but it does look like LMBF-1 is still being whipsawed while LMBF just broke out of it. April has historically been a good month for equities. Let's see if this helps LMBF propel past LMBF-1 in May.

[Cactus]

Here are the monthly returns as of 4/29/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Apr-2014
0.19%
0.65%
0.44%
(3.04%)
1.15%


The best fund is I so the following IFTs take place before noon eastern Tomorrow, 4/30/2014:


LMBF-1 changes from the G Fund to the I Fund
LMBF-1 SIM changes from the G Fund to the F Fund
LMBF-1 C>S changes from the G Fund to the I Fund
LMBF-1 CI>S changes from the G Fund to the S Fund

We are finally getting some separation in the LMBF-1 family with LMBF-1 CI>S heading into S and LMBF-1 SIM heading into F.

Note that LMBF-1 SIM will be in the F Fund until November.

[ILoveTDs]

Thanks for keeping the thread alive Cactus

[Cactus]

With April behind us, here are the results for the first four months of 2014.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)
0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)
1.51%
0.44%
0.20%
0.20%
0.20%
0.20%


YTD
0.78%
2.98%
2.59%
0.17%
2.28%
(2.72%)

(1.79%)
(1.79%)
(1.79%)
(1.79%)



Just like last month, the first thing you will notice is that all 5 TSP funds are positive for the year while all the LMBF Methods are negative. Things are getting better for the LMBF Methods, though. They all had positive returns in April, so their YTD is not as negative as last month. Also notice that the S Fund suffered quite a loss in April and is barely hanging on to its positive YTD. That is something you may want to consider if you are following one of the >S variants.

Speaking of the variants, how do they compare to each other? Well, that's hard to say because all the LMBF-1 variants were in the same funds through April and we only started to get separation there in May. That leaves us comparing LMBF to LMBF-1. As we can see from the table, LMBF came out ahead by being in the C Fund instead of the G Fund. This helped bring the difference between the two methods to under 1% now. It would have been even better had LMBF stayed in the I Fund from the previous month, but that's not how these methods work. After all, it could also have been worse if LMBF had chosen the S Fund. We did not have gains across all equities. This under performance of the S Fund with respect to the C & I is something we want to keep an eye on.

With a 3rd of the year behind us what can we say about the LMBF methods now compared to last year. 2014 is a different year from 2013. Anyone can see that. It is not a buy and hold year like 2013 was. Still, if you did buy and hold any of our 5 Funds you would be better off than any of the LMBF Methods today. That doesn't speak too well for us right now: different year, different market, same results.

I could throw in the explanation of the whipsaw we endured this year, but that is just making excuses and may still be going on for LMBF-1 for all we know. The whipsaw or any excuses are just a part of the method and must be considered together over the long term. The system either works or it doesn't. You've seen the historical returns from previous posts in this thread. Do they work? Maybe I'm wrong, but I don't think 2014 is any different. Maybe it's another 2005 where the returns aren't that great, but that's still too early to tell. It could equally well turn into a year like 2011 where LMBF keeps you from losing as much as holding equities all year.

We will just have to keep following these methods to see what happens. It certainly is more interesting (and I think realistic) than the previous year where the markets only went up, up, and up.

[Cactus]

Here are the monthly returns as of 5/29/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-May-2014
0.19%
1.23%
2.16%
1.82%
1.67%


The best fund is C so the following IFTs take place before noon eastern Tomorrow, 5/30/2014:

LMBF-1 changes from the I Fund to the C Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S changes from the I Fund to the S Fund
LMBF-1 CI>S Remains in the S Fund

Looks like we are getting even more separation between the funds this month.

[JTH]

Here are the monthly returns as of 5/29/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-May-2014
0.19%
1.23%
2.16%
1.82%
1.67%



The best fund is C so the following IFTs take place before noon eastern Tomorrow, 5/30/2014:

LMBF-1 changes from the I Fund to the C Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S changes from the I Fund to the S Fund
LMBF-1 CI>S Remains in the S Fund

Looks like we are getting even more separation between the funds this month.


Thanks for keeping the thread alive Cactus

+1 I love this thread, this is a great opportunity for the casual investor to steer clear of the large downtrends. I can't remember what the back-tested results were, if you ever get a chance, please post them again since there are always new members needing to learn. :)

[jonfresno]

+1 I love this thread, this is a great opportunity for the casual investor to steer clear of the large downtrends. I can't remember what the back-tested results were, if you ever get a chance, please post them again since there are always new members needing to learn. :)

A co-worker turned me on to this site and the LMBF thread and I was hooked. Along came Cactus with the "alternatives" and was blown away with his calculating prowess. These two threads are worth the price of admission alone.

Great job, and I am so appreciative that you are willing to hash out the numbers for the different whacky variances some of us come up with. Thanks so much!

[Cactus]

Regarding the back-tested results, here are 10 years of annual returns for our TSP Funds and these methods.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM


2004
4.30%
4.30%
10.82%
18.03%
20.00%
13.00%
14.50%
15.47%
16.46%
16.51%


2005
4.49%
2.40%
4.96%
10.45%
13.63%
2.38%
5.68%
5.68%
1.91%
(3.66%)


2006
4.93%
4.40%
15.79%
15.30%
26.32%
7.07%
17.85%
22.83%
18.46%
21.03%


2007
4.87%
7.09%
5.54%
5.49%
11.43%
10.97%
10.51%
11.45%
8.11%
3.95%


2008
3.75%
5.45%
(36.99%)

(38.32%)
(42.43%)
(11.06%)
(10.15%)
(9.52%)
(7.64%)
1.22%


2009
2.97%
5.99%
26.68%
34.85%
30.04%
9.66%
18.05%
28.17%
38.86%
10.67%


2010
2.81%
6.71%
15.06%
29.06%
7.94%
12.85%
17.35%
17.35%
14.38%
28.53%


2011
2.45%
7.89%
2.11%
(3.38%)

(11.81%)
12.22%
8.69%
8.69%
11.78%
14.95%


2012
1.47%
4.29%
16.07%
18.57%
18.62%
19.27%
23.60%
28.78%
24.56%
18.40%


2013

1.89%
(1.63%)
32.45%
38.35%
22.13%
9.21%
12.26%
13.50%
22.70%
14.31%


The original posting was here: Post #104 (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-2.html#post436465) and also included running totals and some stats on the 3, 5 & 10 year returns.

If you are interested in the monthly performance of these methods you can find tables showing 10 years of this data here: Post #102 (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-2.html#post436382)

Finally, if you need a reminder on how these methods work, check that out here: Post #97 (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-3.html#post435474)

[Hallatauer]

Damn... been so busy with life that I forgot about my IFT for June. Submitted. Not going to fret as one day difference is a make or break. Presently trying to get our new home liveable. Builder is over a month late and is scrambling to get it all finished, permits and CoO's done by Friday. Once we're in and settled, life will be more relaxing... retirement is a beautiful thing.

[Cactus]

Good to hear that life is good and has been keeping you busy in retirement, Hallatauer. Still, it will be better once the new house is done. :)

As for the June IFT, you are right, there's nothing to fret over. It's just like moving from LMBF-1 to LMBF for June. :D

LMBF should also be in the C Fund for June.

[jonfresno]

Hey Cactus,

Not sure the juice is worth the squeeze for this one, but....

Any chance I can beg you to run another variance to the family? What if we went to F when the G fund comes up the winner? Like how there's C-->S or CI-->S, the system does G-->F. Just eyeballing the data, it seems to catch some potential whipsaw action between the two most conservative funds.

Thanks!

[Cactus]

Jonfresno, I'll look into G-->F after I finish the latest back-testing I'm working on.

It bothers me that we don't have daily price data for our Funds past June 2003. That's why all my back-testing goes back to 2004. It's the last year with complete daily data. I always wanted to go back to 2000 to see how LMBF performed during the dot-com bust. I think I found a way to do that.

I do have monthly data that goes back to 1988. I can use that to back-test a version of LMBF that has zero latency. That is, I use the previous month's whole month return to determin next month's whole month investment. We can't actually trade like this, of couse, since we are always at the mercy of the 1 day lag (latency), but I'm hoping it's a good indicator of the LMBF methods in general and can be used to show how they behaved before 2004.

So far it's looking pretty good. LMBF0, as I call it, is in the same ball park as LMBF & LMBF-1 for 2004 - 2013. It also appears to have done a good job of stemming losses from the dot-com bust. I'm going to compute returns back to 1988 and post them here after I double-check my numbers.

[userque]

Hey guys, been wanting to tell you this for a while now, just didn't have the heart. This post I made a minute ago elsewhere pretty much explains what I'm talking about:


Hi JTH,

How did you come up with the percentages? (I could cross check the numbers and answer my own question, but it's easier just to ask, and the odds favor that you used simple addition :)) If you used simple addition, you will get faulty results:


Suppose, an account has $100 first of the year, ends year up 10% for the year at $110, ends second year up 10% (for that year) at $121.

Simple addition says total percentages over the two year span is 20% (10%+10%). But as you can see, it is actually 21% ($100 into $121).

The differences/errors are amplified with higher account amounts (used internally by the tsptalk spreadsheet) and time (number of years span lasts).

To do this correctly is more complicated and requires more work. (Using a pseudo account balance for each trader that runs to whole time span, etc.)


They also do these simple addition of percentages in the alternative LMBF forums...also getting incorrect conclusions...guess I'll finally let them know as well by copying this to them.

To any sensitive readers: not trying to fight :rolleyes: (as so many times helpful (albeit: critical) information leads to on this site) just thought you would like accurate information. There is no easy way to tell someone: "Sorry, that's not correct if you did it like this..." But I tried.

:)

​<end quote>

[Cactus]

Yes, Userque, you can't simply add up your returns to total them or average them because your balance is different for each one and leads to erroneous results. You aren't figuring your subsequent gains/losses from your previous gains/losses. The classic example is losing 50% one year and earning 50% the next does not get you back to where you were. That is why you need to compute stuff like annualized returns instead of simple means. That's explained here: http://www.tsptalk.com/mb/ta-tools/18517-introduction-measuring-risk-tsp-funds-2.html#post428667. Post #2 is probably what you want.

If this is not what you are referring to, feel free to give another example. I'm no finance person and we don't want people led astray. :)

[Cactus]

Back-tested results for the LMBF0 indicator method


Here are 26 years of back-tested returns for the zero-latency LMBF method, LMBF0. It sets the whole next month to last month's best fund. This is only an indicator method that uses the TSP Fund monthly return data. We can't actually trade LMBF0 since we always have a 1 day lag between determining the best fund and exercising an IFT into it, but this gives us more data to back-test against since TSP Fund daily data only goes back to June 2003. Another caveat is that the S & I Funds only go back to January 2001 so they aren't used in LMBF0 before then. Have a look; analysis to follow.



Year
G
F
C
S
I
LMBF
LMBF-1
LMBF0


1988
8.81%
3.63%
11.84%




7.39%


1989
8.81%
13.89%
31.03%




23.47%


1990
8.90%
8.00%
(3.15%)




0.57%


1991
8.15%
15.75%
30.77%




11.80%


1992
7.23%
7.20%
7.70%




0.72%


1993
6.14%
9.52%
10.13%




3.56%


1994
7.22%
(2.96%)
1.33%




0.64%


1995
7.03%
18.31%
37.41%




29.43%


1996
6.76%
3.66%
22.85%




26.96%


1997
6.77%
9.60%
33.17%




9.52%


1998
5.74%
8.70%
28.44%




31.25%


1999
5.99%
(0.85%)
20.95%




9.70%


2000
6.42%
11.67%
(9.14%)




(6.46%)


2001
5.39%
8.61%
(11.94%)

(9.04%)
(21.94%)


3.85%


2002
5.00%
10.27%
(22.05%)
(18.14%)
(15.98%)


(1.65%)


2003
4.11%
4.11%
28.54%
42.92%
37.94%


38.73%


2004
4.30%
4.30%
10.82%
18.03%
20.00%
13.00%
14.50%
15.48%


2005
4.49%
2.40%
4.96%
10.45%
13.63%
2.38%
5.68%
5.70%


2006
4.93%
4.40%
15.79%
15.30%
26.32%
7.07%
17.85%
8.18%


2007
4.87%
7.09%
5.54%
5.49%
11.43%
10.97%
10.51%
13.78%


2008
3.75%
5.45%
(36.99%)

(38.32%)
(42.43%)
(11.06%)
(10.15%)
(11.39%)


2009
2.97%
5.99%
26.68%
34.85%
30.04%
9.66%
18.05%
15.06%


2010
2.81%
6.71%
15.06%
29.06%
7.94%
12.85%
17.35%
17.35%


2011
2.45%
7.89%
2.11%
(3.38%)

(11.81%)
12.22%
8.69%
9.95%


2012
1.47%
4.29%
16.07%
18.57%
18.62%
19.27%
23.60%
23.63%


2013
1.89%
(1.63%)

32.45%
38.35%
22.13%
9.21%
12.26%
12.66%

[Cactus]

Analyzing LMBF0 (Part 1)


Now that we have back-tested results for LMBF0 in the previous post, let's see how it compares to LMBF and LMBF-1.

Looking at the 3 tables below, we see their 10, 5, and 3 year returns. The Annualized Return is computed using a CAGR (Compound Annual Growth Rate). The Standard Deviation is a measure of volatility or risk as outlined here: http://www.tsptalk.com/mb/ta-tools/18517-introduction-measuring-risk-tsp-funds-2.html#post428666



10 Year (2004 - 13)
G
F
C
S
I
LMBF
LMBF-1
LMBF0


Annualized Return
3.39%
4.66%
7.44%
10.43%
7.08%
8.26%
11.46%
10.66%


Standard Deviation
1.19%
2.61%
17.86%
20.99%
20.57%
7.74%
8.85%
8.86%





5 Year (2009 - 13)
G
F
C
S
I
LMBF
LMBF-1
LMBF0


Annualized Return
2.32%
4.60%
18.00%
22.50%
12.39%
12.59%
15.88%
15.64%


Standard Deviation
0.56%
3.35%
10.47%
15.01%
14.46%
3.60%
5.12%
4.65%





3 Year (2011 - 13)
G
F
C
S
I
LMBF
LMBF-1
LMBF0


Annualized Return
1.94%
3.44%
16.22%
16.59%
8.51%
13.49%
14.68%
15.26%


Standard Deviation
0.40%
3.92%
12.40%
17.04%
15.24%
4.22%
6.36%
5.91%


From these 3 tables we see that both the annualized return and risk (standard deviation) for LMBF0 are within the same ballpark values as LMBF and LMBF-1. Most values are in fact between the two. This assures us that LMBF0 is a good indicator method for LMBF and LMBF-1. Also notice that all 3 methods show similar relationships to the TSP Funds. All 3 methods outperformed the C Fund over the last 10 years at half the risk while they underperformed the C Fund over the last 5 & 3 years but still incurred only half the risk.

The 10 year produced better results for us than the 5 & 3 year because it includes the 2008 economic downturn while the 5 & 3 year do not. This would indicate that our methods tend to perform more by reducing losses than they do by increasing gains. 2013 confirmed this view on the positive side. If you bought-and-held C and/or S Funds during 2013 you would have done much better than our methods. It's not always like that. 2012 was also a good year, and our methods beat all 5 TSP funds. So which is it? Will these trends continue over time? How do the methods perform longer term? Let's find out in part 2 of this analysis.

[Cactus]

Analyzing LMBF0 (Part 2)


The 2 tables below use LMBF0 to extend our back-testing to the last 13 & 14 years. I chose 13 years to include all the S & I Fund data available. I also chose 14 years to include year 2000 so we would include all of the dot-com bust. Let's see how we fared.



13 Year (2001 - 13)

G
F
C
S
I
LMBF0


Annualized Return
3.72%
5.34%
4.66%
8.45%
4.59%
11.04%


Standard Deviation
1.23%
2.89%
19.42%
22.72%
22.57%
11.64%





14 Year (2000 - 13)

G
F
C
LMBF0


Annualized Return
3.91%
5.78%
3.61%
9.69%


Standard Deviation
1.37%
3.22%
19.16%
12.14%


Here we now see the results of 2 economic downturns. The risk for LMBF0 has gone up but it is still half of that of the S Fund and slightly more than half of the C Fund. More importantly it is producing greater returns than either C or S. Including the 2nd economic downturn shows us how well LMBF0 works at stemming losses. It is what is giving us superior results. Still don't believe me? Check out the F & C Funds. That's right, F is the winner. F doesn't produce the great annual returns we see in C but it also doesn't have those massive losses. In the end you would have been better off buy-and-holding F all those years instead of C. We saw the same thing last year for the years 2004 - 2012. Gains are great, but losses are deadly. Remember that the next time LMBF0 has a dog of a year like it did in 1992.

Speaking of 1992, let's go all the way back to 1988 and see what we get over 26 years.



26 Year (1988 - 13)

G
F
C
LMBF0


Annualized Return
5.46%
6.66%
10.30%
10.92%


Standard Deviation
2.10%
4.87%
17.93%
11.80%


Not bad, I'd like 10 - 11% a year over all that time. Looks like you get it from both LMBF0 and the C Fund, but LMBF0 does it with a lot less risk. That's what comes from following a trend.

Finally, let's cut out those 2 economic downturns and look at the data around the dot-com boom.



12 Year (1988 - 99)

G
F
C
LMBF0


Annualized Return
7.29%
7.70%
18.66%
12.37%


Standard Deviation
1.08%
6.08%
12.88%
11.22%





10 Year (1990 - 99)

G
F
C
LMBF0


Annualized Return
6.99%
7.51%
18.18%
11.83%


Standard Deviation
0.92%
6.23%
13.40%
11.69%


Wow, now that was the time to buy-and-hold the C Fund. LMBF0 had no advantage over the C Fund during this boom time. It produced inferior returns and gave no real advantage in containing risk. I think this shows that our initial premise was correct. The LMBF family of methods works primarily to reduce losses, not magnify gains. There are years where it wins over all the TSP Funds (1996, 1998, 2007, 2011, 2012), but its primary strength is in stemming losses in down years.

So, if you are certain we are going to have another decade like the 90s, from here, you will want to buy-and-hold equities. On the other hand, if you are concerned we are going to have a correction/downturn/crash in the next year or two or five you may want to look into something, like this, that lessens your losses if/when that happens.

[userque]

Yes, Userque, you can't simply add up your returns to total them or average them because your balance is different for each one and leads to erroneous results. You aren't figuring your subsequent gains/losses from your previous gains/losses. The classic example is losing 50% one year and earning 50% the next does not get you back to where you were. That is why you need to compute stuff like annualized returns instead of simple means. That's explained here: http://www.tsptalk.com/mb/ta-tools/18517-introduction-measuring-risk-tsp-funds-2.html#post428667. Post #2 is probably what you want.

If this is not what you are referring to, feel free to give another example. I'm no finance person and we don't want people led astray. :)

Exactly! Thanks for the postings and civil response!:) Some believe (or want others to believe?) that what you've shown here, is not possible to do:blink:. However, these posts aren't the ones I saw that caused me to initially have concerns.

I'm tied up right now, but I'll find those posts shortly tonight and quote them.

[userque]

This is the Alternate LMBF methods thread so how about some more alternates?

ILoveTDs described his seasonal variation here http://www.tsptalk.com/mb/longer-term-fund-strategies/5752-last-months-best-fund-method-strategy-3.html#post388869 where you follow LMBF for half the year and invest in the F Fund from May through October. That would be easy to test with LMBF-1 as all you have to do is substitute the F Fund monthly returns for those months.

Speaking of substitution, it was discused here http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post396828 that we seldom see consecutive months where C is the Best Fund and that S is the most common Fund to follow C. So why not go straight to the S Fund and skip C altogether. We can test that with LMBF-1 by substituting the monthly returns for S when ever C is chosen.

There appears to be some interest in avoiding equities during the traditionally weaker months of the year and in favoring the S Fund over C, so I will crunch the numbers for the years 2004 - 2012 like I did before and see what we get. For simplicity I'll call the seasonal variation SIM (Sell in May) and lets label the other one 'C->S'. Just for fun I'll also try combining them. Here are the numbers:



Year
LMBF-1
SIM
C -> S
SIM & C->S


2004
14.50%
16.51%
15.47%
16.51%


2005
5.68%
(3.66%)
5.68%
5.68%


2006
17.85%
21.03%
22.83%
24.07%


2007
10.51%
3.95%
11.45%
11.45%


2008
(10.15%)
1.22%
(9.52%)
(9.52%)


2009
18.05%
10.67%
28.17%
18.96%


2010
17.35%
28.53%
17.35%
17.35%


2011
8.69%
14.95%
8.69%
8.69%


2012
23.60%
18.40%
28.78%
21.77%


Total
163.51%
176.73%
218.20%
184.62%


It looks like the seasonal variation did improve returns overall (177% vs. 164%). It was also more volatile having years with smaller returns and even a negative return in a year where LMBF-1 was positive.

Now C->S looks more interesting. It matches or beats LMBF-1 every year and significantly improves the return. A 218% return for these years is the best we've seen yet. Do we have something here, or am I just fooling myself? You tell me. It looks to me like something worth persuing or maybe even using in your own system.

As for the combination of both alternates, I'll leave that for you to consider. It looks better than SIM alone, but not C->S so why bother.

Cactus,

I found this one and stopped searching further. It appears cumulative percentages, rather than an overall percentage gain/loss are being used to rank systems.

[Cactus]

Yes, Userque, the Total does represent the cumulative return over the 9 years indicated. That is the way I found multiyear results presented when I came to this site and I think is what most people here understand a total to be. I gather you are concerned that people will mistake this as a one year return which of course would be an incorrect understanding. That result is over 9 years. I figured the size of the return would be enough for people to realize this. That could be a foolish assumption on my part. I may need to label the results better or present it differently.

By overall percentage I assume you mean an annualized return, though I could be mistaken there as well. I do find annualized returns to be more appropriate as a metric but am afraid would confuse some people when placed at the bottom of a list like this, maybe not. I think the larger values of the cumulative returns make the differences more apparent. But then maybe that itself is misleading.

I'm not the best of communicators, and throwing around terms like this doesn't help many people so I thought it best if I describe it with an example. I know this will be a painful oversimplification to many of you, but I've gotten several comments by people saying I'm speaking over their head so please bear with me. The whole point is to understand after all.

Table 1 below shows that we invested $100 (initial balance) in each of the 4 methods indicated. They were invested for 9 years (2004 - 2012) and no further contributions were made. Once a year the indicated percentage is added to the current balance.

Table 1



LMBF-1

SIM

C -> S

SIM & C->S



Initial Balance

$100

$100

$100

$100



2004

14.50%

16.51%

15.47%

16.51%



2005

5.68%

-3.66%

5.68%

5.68%



2006

17.85%

21.03%

22.83%

24.07%



2007

10.51%

3.95%

11.45%

11.45%



2008

-10.15%

1.22%

-9.52%

-9.52%



2009

18.05%

10.67%

28.17%

18.96%



2010

17.35%

28.53%

17.35%

17.35%



2011

8.69%

14.95%

8.69%

8.69%



2012

23.60%

18.40%

28.78%

21.77%



Final Balance

$263.51

$276.73

$318.20

$284.62



Final - Initial

$163.51

$176.73

$218.20

$184.62



Gain

163.51%

176.73%

218.20%

184.62%



Annualized Return

11.37%

11.97%

13.73%

12.32%




The Final Balance shows how much money we have in each account after year 9 (2012). When we subtract our initial balance from this amount we get our earnings over the 9 years. To figure the Gain as a percentage we divide our earnings by the initial balance and multiply by 100. This is what I originally called the Total. I hope that helps and didn't throw too many new terms at you.

The Annualized Return is a little more complicated to compute and is described here: http://www.tsptalk.com/mb/ta-tools/18517-introduction-measuring-risk-tsp-funds-2.html#post428667. Post #2 is what you want. The annualized return is called CAGR (Compound Annual Growth Rate) in that example.

One thing you want to understand about the Annualized Return is you can take that value and substitute it for all 9 years and get the same Final Balance as when we used the actual annual return rates. If not, you or I did something wrong somewhere.

Another thing to notice is in the context of comparing the relative performance of these 4 methods you get the same ranking whether you use the Cumulative Total or the Annualized Return.

[jonfresno]

Analyzing LMBF0 (Part 2)


The 2 tables below use LMBF0 to extend our back-testing to the last 13 & 14 years. I chose 13 years to include all the S & I Fund data available. I also chose 14 years to include year 2000 so we would include all of the dot-com bust. Let's see how we fared.



13 Year (2001 - 13)

G

F

C

S

I

LMBF0



Annualized Return

3.72%

5.34%

4.66%

8.45%

4.59%

11.04%



Standard Deviation

1.23%

2.89%

19.42%

22.72%

22.57%

11.64%






14 Year (2000 - 13)

G

F

C

LMBF0



Annualized Return

3.91%

5.78%

3.61%

9.69%



Standard Deviation

1.37%

3.22%

19.16%

12.14%



Here we now see the results of 2 economic downturns. The risk for LMBF0 has gone up but it is still half of that of the S Fund and slightly more than half of the C Fund. More importantly it is producing greater returns than either C or S. Including the 2nd economic downturn shows us how well LMBF0 works at stemming losses. It is what is giving us superior results. Still don't believe me? Check out the F & C Funds. That's right, F is the winner. F doesn't produce the great annual returns we see in C but it also doesn't have those massive losses. In the end you would have been better off buy-and-holding F all those years instead of C. We saw the same thing last year for the years 2004 - 2012. Gains are great, but losses are deadly. Remember that the next time LMBF0 has a dog of a year like it did in 1992.

Speaking of 1992, let's go all the way back to 1988 and see what we get over 26 years.



26 Year (1988 - 13)

G

F

C

LMBF0



Annualized Return

5.46%

6.66%

10.30%

10.92%



Standard Deviation

2.10%

4.87%

17.93%

11.80%



Not bad, I'd like 10 - 11% a year over all that time. Looks like you get it from both LMBF0 and the C Fund, but LMBF0 does it with a lot less risk. That's what comes from following a trend.

Finally, let's cut out those 2 economic downturns and look at the data around the dot-com boom.



12 Year (1988 - 99)

G

F

C

LMBF0



Annualized Return

7.29%

7.70%

18.66%

12.37%



Standard Deviation

1.08%

6.08%

12.88%

11.22%






10 Year (1990 - 99)

G

F

C

LMBF0



Annualized Return

6.99%

7.51%

18.18%

11.83%



Standard Deviation

0.92%

6.23%

13.40%

11.69%



Wow, now that was the time to buy-and-hold the C Fund. LMBF0 had no advantage over the C Fund during this boom time. It produced inferior returns and gave no real advantage in containing risk. I think this shows that our initial premise was correct. The LMBF family of methods works primarily to reduce losses, not magnify gains. There are years where it wins over all the TSP Funds (1996, 1998, 2007, 2011, 2012), but its primary strength is in stemming losses in down years.

So, if you are certain we are going to have another decade like the 90s, from here, you will want to buy-and-hold equities. On the other hand, if you are concerned we are going to have a correction/downturn/crash in the next year or two or five you may want to look into something, like this, that lessens your losses if/when that happens.

Hey Cactus, incredible info. Sounding like a broken record, but thank you so much for providing this to the community.

So it seems if you have that kind of long-term horizon, you could go with equities, but as you clearly show and state, the risk is higher with a shorter time horizon. My takeaway is that if you are within 10-12 years of retirement, as I am (or hope to be!), the low risk level makes one of the LMBF choices a great option.

Now that being said, why aren't you and I religiously following this system?!?!? :toung: All last year I thought the markets were overbought, too high, a correction is coming, and the markets steamrolled me. I thought I could "out-think" the system and the market, and make better entry points. Nope. It beat me even with the whipsaw months.

So, if not now, when??

Once again, thanks, I really appreciate it.

[userque]

Cactus,

In my opinion, that's an excellent explanation! :)

[Cactus]

So it seems if you have that kind of long-term horizon, you could go with equities, but as you clearly show and state, the risk is higher with a shorter time horizon. My takeaway is that if you are within 10-12 years of retirement, as I am (or hope to be!), the low risk level makes one of the LMBF choices a great option.

Now that being said, why aren't you and I religiously following this system?!?!? :toung: All last year I thought the markets were overbought, too high, a correction is coming, and the markets steamrolled me. I thought I could "out-think" the system and the market, and make better entry points. Nope. It beat me even with the whipsaw months.

So, if not now, when??
This (Post #136) is a great post and I think should be linked to when ever we see someone not following their own system. We see a lot of that posted around the forum. Unfortunately, it usually goes something like: I would have done better if I had stuck to my system. :(

To answer you question, Jonfresno, the truth is because I'm stupid and think I can second guess the system. That is down in print. Look at my monthly posts for 2013 on this thread, especially the ones where Hallatauer responded and said: "you can't second guess a mechanical system or it won't work. you either follow it or you don't". He's a smart man. listen to him.

Some people will look at a bunch of systems and make decisions based on the relative position of some majority of them. I'm not sure that works. You are not going to get the results of LMBF from only following it on certain days in certain months. The differences between LMBF & LMBF-1 point out how big a difference 1 day makes.

I can't speak for anyone else but as for me I think more decisions are based on changing gut instinct than TA or following some trend or system. I say changing because for me it does change every time I read all these wonderful posts on the forum. That means I'm not consistent and probably more emotional with my trades. And we all know that the number 1 tool the market uses against you is your emotions.

If not now, when? Good question. Now would be good for me because I'm too busy to pay attention to what's going on and likely to get busier soon. Excuse: I'm currently being held prisoner by the belief that we have a correction coming this Summer. Some folks thought that all last year and missed the year it was hard too lose. Looks like I have some more losses coming. :rolleyes:

[jonfresno]

This (Post #136) is a great post and I think should be linked to when ever we see someone not following their own system. We see a lot of that posted around the forum. Unfortunately, it usually goes something like: I would have done better if I had stuck to my system. :(

To answer you question, Jonfresno, the truth is because I'm stupid and think I can second guess the system. That is down in print. Look at my monthly posts for 2013 on this thread, especially the ones where Hallatauer responded and said: "you can't second guess a mechanical system or it won't work. you either follow it or you don't". He's a smart man. listen to him.

Some people will look at a bunch of systems and make decisions based on the relative position of some majority of them. I'm not sure that works. You are not going to get the results of LMBF from only following it on certain days in certain months. The differences between LMBF & LMBF-1 point out how big a difference 1 day makes.

I can't speak for anyone else but as for me I think more decisions are based on changing gut instinct than TA or following some trend or system. I say changing because for me it does change every time I read all these wonderful posts on the forum. That means I'm not consistent and probably more emotional with my trades. And we all know that the number 1 tool the market uses against you is your emotions.

If not now, when? Good question. Now would be good for me because I'm too busy to pay attention to what's going on and likely to get busier soon. Excuse: I'm currently being held prisoner by the belief that we have a correction coming this Summer. Some folks thought that all last year and missed the year it was hard too lose. Looks like I have some more losses coming. :rolleyes:

Great self-analysis. I'm guilty of waiting for the correction as well. I'm no theater buff, but it's beginning to remond me of a play my wife took me to many years ago, I think it was called Waiting for Ganot (or Godot). The chap, like the correction, never came...

The only "system" I'm quite good at is buying high and selling low. Works every time.

I think it's tough at times to let a system "play out" when you're a bit older and have accumulated a decent balance in the account. The smallest dip wipes out a pretty large chunk of change. I remember James, gatekeeper of the original LMBF, freaking out last year when the markets went on a huge tear, and he got out. I felt the same way, and it's truly gutwrenching.

I'll get into the system after the correction - I swear this time!!

[Cactus]

Jonfresno had an interesting idea: have the G Fund be an indicator for the F Fund so whenever LMBF is G we go to F. I must say I've been burned too many times by heading to F for safety, but what do the numbers say? Here they are in the tables below.

Table 1: LMBF-1
29088

Table 2: LMBF-1 G -> F
29083
Note: The olive gray blocks indicate months where the F Fund was substituted in.

Well, comparing the 2 tables we see that there are substitutions in 8 out of the 10 years and in all but 1 of those 8 the result was superior to LMBF-1 alone. The increase wasn't great, as can be seen in table 3 below, but you can combine G->F with C->S or CI->S for better results if you want to. It's not like those methods are mutually exclusive.

Table 3: Total returns for 2004 - 2013


Year
LMBF
LMBF-1
C -> S
CI -> S
SIM
G -> F


2004
13.00%
14.50%
15.47%
16.46%
16.51%
13.49%


2005
2.38%
5.68%
5.68%
1.91%
(3.66%)
6.75%


2006
7.07%
17.85%
22.83%
18.46%
21.03%
18.59%


2007
10.97%
10.51%
11.45%
8.11%
3.95%
10.85%


2008
(11.06%)

(10.15%)
(9.52%)
(7.64%)
1.22%
(9.43%)


2009
9.66%
18.05%
28.17%
38.86%
10.67%
18.67%


2010
12.85%
17.35%
17.35%
14.38%
28.53%
17.35%


2011
12.22%
8.69%
8.69%
11.78%
14.95%
11.12%


2012
19.27%
23.60%
28.78%
24.56%
18.40%
23.60%


2013
9.21%
12.26%
13.50%
22.70%
14.31%
13.10%


10 Year Gain
121.15%
195.82%
261.16%
280.92%
216.32%
212.03%


Annualized Return
8.26%
11.46%
13.70%
14.31%
12.21%
12.05%


RISK
7.74%
8.85%
10.80%
12.15%
9.24%
8.61%



I think I will add G -> F to the Monthly Returns when I post them and see how it behaves this year.

[jonfresno]

Jonfresno had an interesting idea: have the G Fund be an indicator for the F Fund so whenever LMBF is G we go to F. I must say I've been burned too many times by heading to F for safety, but what do the numbers say? Here they are in the tables below.

Table 1: LMBF-1
29088

Table 2: LMBF-1 G -> F
29083
Note: The olive gray blocks indicate months where the F Fund was substituted in.

Well, comparing the 2 tables we see that there are substitutions in 8 out of the 10 years and in all but 1 of those 8 the result was superior to LMBF-1 alone. The increase wasn't great, as can be seen in table 3 below, but you can combine G->F with C->S or CI->S for better results if you want to. It's not like those methods are mutually exclusive.

Table 3: Total returns for 2004 - 2013


Year
LMBF
LMBF-1
C -> S
CI -> S
SIM
G -> F


2004
13.00%
14.50%
15.47%
16.46%
16.51%
13.49%


2005
2.38%
5.68%
5.68%
1.91%
(3.66%)
6.75%


2006
7.07%
17.85%
22.83%
18.46%
21.03%
18.59%


2007
10.97%
10.51%
11.45%
8.11%
3.95%
10.85%


2008
(11.06%)

(10.15%)
(9.52%)
(7.64%)
1.22%
(9.43%)


2009
9.66%
18.05%
28.17%
38.86%
10.67%
18.67%


2010
12.85%
17.35%
17.35%
14.38%
28.53%
17.35%


2011
12.22%
8.69%
8.69%
11.78%
14.95%
11.12%


2012
19.27%
23.60%
28.78%
24.56%
18.40%
23.60%


2013
9.21%
12.26%
13.50%
22.70%
14.31%
13.10%


10 Year Gain
121.15%
195.82%
261.16%
280.92%
216.32%
212.03%


Annualized Return
8.26%
11.46%
13.70%
14.31%
12.21%
12.05%


RISK
7.74%
8.85%
10.80%
12.15%
9.24%
8.61%



I think I will add G -> F to the Monthly Returns when I post them and see how it behaves this year.

Once again, thank you SO MUCH for taking the time to do this, I really appreciate it. I figured it wouldn't be much, but every little but counts. And like you said, you could combine it with the other methods.

Thanks again! :)

[Cactus]

Here are the monthly returns as of 6/27/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Jun-2014
0.17%
(0.01%)
2.10%
4.01%
0.69%


The best fund is S so the following IFTs take place before noon eastern Monday, 6/30/2014:

LMBF-1 Changes from the C Fund to the S Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the C Fund to the S Fund

Looks like the ">S" methods were a good choice this past month. :cool:

[Hallatauer]

Great month to recover from some losses earlier in the year. Riding the S fund wave for month of July. :)

[Cactus]

With the second quarter behind us here is how we stand mid year:




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)

0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)
0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)
1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


YTD
1.17%
4.37%
7.18%
6.21%
5.06%
0.75%
1.97%
4.35%
4.14%
(0.46%)

2.68%



I'm busy looking for a new place to live so I don't have much to say today.

You will notice that all the methods, except SIM are finally positive for the year. That may sound like strange statement to make. You would hope they would be positive, but as of last month all the methods except the newly added G>S were still negative. June was good to us -- very good. Who would have thought? Definetly not me -- I sat out June in the F Fund waiting for a decent dip that never materialized. Shows what I know. I need to follow one of these methods. They are doing better than I am.

Those methods choosing the S Fund really made out in June. ">S" takes the lead once again. Is the S Fund catching up or will the C Fund resume the lead. That's anybodies guess, but as of July everyone except SIM is in the S Fund.

The other thing to notice is that we are still in a bull market and buy-N-hold is still beating us . We had those dips in Jan & Mar but the equity funds still beat us. Shoot, even the F Fund is beating us. We will have to see how long that will last. Remember the year is only half over and a lot can happen in the second half.

[Cactus]

Here are the monthly returns as of 7/30/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND



30-Jul-2014
0.19%
(0.22%)

0.64%
(2.37%)

(1.11%)


The best fund is C so the following IFTs take place before noon eastern tomorrow, 7/31/2014:


LMBF-1 Changes from the S Fund to the C Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the S Fund to the C Fund


Looks like the S Fund got spent in June so we transitioned from C to S and now back to C.

[Hallatauer]

Rough month as I follow the LMBF-1 C>S... I remain in the S Fund... hoping for a bounce back month. Over the years I notice the the S usually follows the C fund, just higher volatility. This past month they went in opposite directions. Doubt this means anything in the long run, just an observation.

[Cactus]

Here are the monthly returns as of 8/28/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


28-Aug-2014
0.18%
1.11%
3.65%
4.38%
(0.24%)



The best fund is S so the following IFTs take place before noon eastern tomorrow, 8/29/2014:


LMBF-1 Changes from the C Fund to the S Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the C Fund to the S Fund


Looks like the ">S" methods were a good choice again this month. Anybody else feel like we are playing ping pong between the C & S Funds.

[Cactus]

With the year 2/3 over here are the standings through August:




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)
0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)

1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


Jul
0.19%

(0.19%)
(1.37%)
(4.38%)
(1.95%)
(4.58%)
(4.38%)
(4.38%)
(4.38%)
(0.19%)
(4.38%)


Aug
0.20%
1.12%
4.01%
4.98%
(0.14%)

(0.04%)
4.01%
4.98%
4.98%
1.12%
4.01%


YTD
1.57%
5.34%
9.94%
6.62%
2.86%
(3.90%)
1.41%
4.75%
4.54%
0.46%
2.12%


August was good to us -- very good. I'll take it!

Those are some interesting results. You will notice, once again, that the C and S Funds are beating all our methods. We are still in a bull market, and buy-N-hold reigns supreme. This could end when we get that long awaited correction, but that hasn't happened yet.

As for our Methods, C>S & CI>S are in the lead easily out-pacing LMBF-1. That frankly surprises me given that the S Fund has been lagging the C Fund all year. It looks like these ">S" methods really do have an advantage. They are beating LMBF-1 even when S lags C.

Speaking of an advantage, what happened to LMBF? It is really lagging LMBF-1. Does one day make that much difference? I'm afraid it really does here. The lion's chunk of LMBF's loss came from still being in the S Fund on the first trading day in February when it earned a 3.05% loss. Ouch! That could happen to anyone, though. It did me, but the LMBF-1 family was already in the F Fund and avoided that loss.

LMBF was able to make up a large part of that loss by being in different funds from LMBF-1 in March & April. That didn't work in August, though, as LMBF was stuck in the G Fund while the LMBF-1 family was in equities when the C & S Funds recovered from their July losses. They should both be in the S Fund for September.

That makes 3 times so far this year that LMBF & LMBF-1 were in different funds. That's not all that uncommon. It's happened 4 times in the last 10 years. Only 3 of those years saw them in the sames funds all year. So you see, one day does make a difference.

[Hallatauer]

Makes me dizzy knowing one day does make a difference because it really shouldn't. Somethng odd in the chaos theory realm. In any case, happy with the up month wiping out July's dump. Makes me really happy to see my account continually rising despite withdrawing 2k every month.

[Hallatauer]

Numbers are ugly for equities this past month... looks like were all bailing out for Oct.

[Cactus]

Yep! Unless the C Fund can do better than +1% tomorrow, LMBF-1 will be heading into the G Fund on Tuesday. Is anyone still following these methods? September is really trying our patience with them. Of course it did last year too if I remember correctly. I will have to go back in this thread and check up on that.

[Cactus]

Interesting, check out post 83 (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-6.html#post425797) of this thread. That is were I posted the 2013 results through September. I was bummed out by the results back then as well, but they did come back by the end of the year. Looking at that analysis it seams September is often a disappointing time of the year for these methods. So what does that mean? Skip this method for September? It's nothing that easy. Last year it was 4 months of whipsaws that got us there. This year it's a bad September. So you either follow the method or you don't. That's what it always comes down to or you are only following emotions.

[Mapper]

LMBF is basically a method of following a MA...whichever 30 day MA is on top gets the nod. However, the predefined trading day (1st, or 2nd, day of each month) adds a slightly confounding element. You'd expect better results during a clear trend, but I guess this is just another way we can verify volatility has been on rise.

It would be interesting, though time consuming, to look at 30 day MA crossovers among the TSP funds. Place your bets on whichever fund's 30 day MA has just "taken the lead".

[jonfresno]

Interesting, check out post 83 (http://www.tsptalk.com/mb/longer-term-strategies/15018-alternate-lmbf-methods-6.html#post425797) of this thread. That is were I posted the 2013 results through September. I was bummed out by the results back then as well, but they did come back by the end of the year. Looking at that analysis it seams September is often a disappointing time of the year for these methods. So what does that mean? Skip this method for September? It's nothing that easy. Last year it was 4 months of whipsaws that got us there. This year it's a bad September. So you either follow the method or you don't. That's what it always comes down to or you are only following emotions.

Well, now would it be twisting these methods into a pretzel if say you take LMBF-1 C>S, but you make sure you're in the stock fund for October even if September was a dog? Sort of like hoping for a whipsaw, but only for October since October tends to be a relatively strong month? Could you - would you be willing to have a go at this if you think it's possible?

[Cactus]

Well looking at LMBF-1 C>S, the only years October was not in equities are 2008 & 2011. I guess you want to hard code those to the S Fund. 2011 would give you a nice return of 14% instead of the 0.11% you actually got from the F Fund. 2008 on the other hand gives you a loss of 21% instead of the 0.31% gain from the G Fund. I don't think you want to go there.

Sounds to me like you are expecting a rebound in October this time. I'm expecting that as well and plan to go into October invested. But you must realize that doing this is abandoning the method for the period of time that you do this. Before anyone considers following me, check out my returns. I'm still at the bottom of the AT so you may be better off doing the opposite of what I do. :)

[jonfresno]

Well looking at LMBF-1 C>S, the only years October was not in equities are 2008 & 2011. I guess you want to hard code those to the S Fund. 2011 would give you a nice return of 14% instead of the 0.11% you actually got from the F Fund. 2008 on the other hand gives you a loss of 21% instead of the 0.31% gain from the G Fund. I don't think you want to go there.

Sounds to me like you are expecting a rebound in October this time. I'm expecting that as well and plan to go into October invested. But you must realize that doing this is abandoning the method for the period of time that you do this. Before anyone considers following me, check out my returns. I'm still at the bottom of the AT so you may be better off doing the opposite of what I do. :)

Yes, you're correct - just lookin' for a justification to stay in while not abandoning the system even though I'd be abandoning the system....:D

I swore I'd follow the system, but I do want to be invested to start October, and I have a hard time swallowing September's loss.

Thanks for pointing out the years and what would have happened, much appreciated.

Onward into the October storm......

[Cactus]

Here are the monthly returns as of 9/29/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Sep-2014
0.17%
(0.56%)

(1.13%)
(4.08%)
(3.71%)


The best fund is G so the following IFTs take place before noon eastern tomorrow, 9/30/2014:


LMBF-1 Changes from the S Fund to the G Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Changes from the S Fund to the G Fund
LMBF-1 CI>S Changes from the S Fund to the G Fund
LMBF-1 G>F Changes from the S Fund to the F Fund

[Hallatauer]

Well looking at LMBF-1 C>S, the only years October was not in equities are 2008 & 2011. I guess you want to hard code those to the S Fund. 2011 would give you a nice return of 14% instead of the 0.11% you actually got from the F Fund. 2008 on the other hand gives you a loss of 21% instead of the 0.31% gain from the G Fund. I don't think you want to go there.

Sounds to me like you are expecting a rebound in October this time. I'm expecting that as well and plan to go into October invested. But you must realize that doing this is abandoning the method for the period of time that you do this. Before anyone considers following me, check out my returns. I'm still at the bottom of the AT so you may be better off doing the opposite of what I do. :)

I'm sticking with the method and moving to the G Fund as indicated.

[Cactus]

I'm sticking with the method and moving to the G Fund as indicated.It's looking like a wise choice, as once again I play the fool. Congratulations, Hallatauer, on sticking to your system.

[Cactus]

With the 3rd quarter behind us, here are the results through September.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)
0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)

1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


Jul
0.19%
(0.19%)

(1.37%)
(4.38%)
(1.95%)
(4.58%)
(4.38%)
(4.38%)
(4.38%)
(0.19%)
(4.38%)


Aug
0.20%
1.12%
4.01%
4.98%
(0.14%)

(0.04%)
4.01%
4.98%
4.98%
1.12%
4.01%


Sep
0.18%
(0.58%)

(1.40%)
(5.10%)
(3.82%)
(5.43%)
(5.10%)
(5.10%)
(5.10%)
(0.58%)
(5.10%)


YTD
1.75%
4.73%
8.41%
1.18%

(1.06%)
(9.12%)
(3.76%)
(0.60%)
(0.79%)
(0.12%)
(3.09%)


Well, like last year at this time things look pretty bad for our methods right now. It did pick up last year, though. Will it this year? I don't know. All I can say at this point is all the methods headed to safety for October and as of today are better off for it. If you stayed in the market, like I did, you are hurting.

Unlike last year, this is not a buy-and-hold year, so how do our methods stack up? At this point, not too good. So far you still would have done better holding any of our funds, except maybe I, than following any of the methods. Of course that could all change if October crashes but who wants to bet on that? I'm just saying that these methods work better at protecting us in bad years than maximizing gains in good years.

Among the various methods, C>S & CI>S are still doing better than LMBF-1. That continues to surprises me in a year where the C Fund is doing so much better than the S Fund, but here you have it. The last thing to note is that SIM has pulled into the lead and is beating all the other methods. It looks like it is really living up to it's intended purpose right now.

[Hallatauer]

Phew... glad I stayed with method and went G Fund. As a retiree the last thing I need is huge losses as I no longer contribute.

[Cactus]

Wow, looks like the whole LMBF-1 family will be heading into the S Fund for November. That was quite a come back for the S Fund. A few days ago the F Fund was in the lead.

[Cactus]

Here are the monthly returns as of 10/30/2014.



Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-Oct-14

0.19%

1.07%

1.26%

2.68%

(2.55%)




The best fund is S so the following IFTs take place before noon today, 10/31/2014:


LMBF-1 Changes from the G Fund to the S Fund
LMBF-1 SIM Changes from the F Fund to the S Fund
LMBF-1 C>S Changes from the G Fund to the S Fund
LMBF-1 CI>S Changes from the G Fund to the S Fund
LMBF-1 G>F Changes from the F Fund to the S Fund

[Cactus]

Here are the results through October.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)

0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)
1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


Jul
0.19%
(0.19%)

(1.37%)
(4.38%)
(1.95%)
(4.58%)
(4.38%)
(4.38%)
(4.38%)
(0.19%)
(4.38%)


Aug
0.20%
1.12%
4.01%
4.98%
(0.14%)

(0.04%)
4.01%
4.98%
4.98%
1.12%
4.01%


Sep
0.18%
(0.58%)

(1.40%)
(5.10%)
(3.82%)
(5.43%)
(5.10%)
(5.10%)
(5.10%)
(0.58%)
(5.10%)


Oct
0.20%
0.96%
2.45%
4.11%
(0.63%)

(1.28%)
0.20%
0.20%
0.20%
0.96%
0.96%


YTD
1.95%
5.73%
11.06%
5.34%
(1.69%)

(10.28%)
(3.57%)
(0.40%)
(0.59%)
0.84%
(2.16%)


Well, it still looks pretty bad for our methods right now, but then they were in safety all months and not earning much. They are all in the S Fund for November so there is hope for improvement. LMBF should be joining us in the S Fund on Monday. I know, It's already there on the AT but that is because no one updated it or the LMBF thread for October. I'm wondering if James got discouraged and abandoned it. I don't know. I'm just projecting because that is how I feel right now.

Among the various methods, C>S & CI>S continue to do better than LMBF-1. That is still surprising when the C Fund is doing better than the S Fund, but here you have it.

The real winner this year is SIM. It is beating all the other methods. In fact, it is the only one that is positive for the year. It is really living up to it's intended purpose this year.

The last thing to note is that jonfresno's G->F increased its lead over LMBF-1 in October by being in the F Fund instead of G. Looks like we may have something there, especially if we combine it with C>S or CI>S. Good job on pointing that one out, jonfresno.

[Hallatauer]

Interesting twist to add G-> F as an additional method. Generally when stocks fall, bonds rise, ergo, if you are leaving stocks expecting them to fall... the bond fund would make sense.

[Cactus]

Here are the monthly returns as of 11/26/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


26-Nov-2014
0.15%
0.58%
2.95%
2.25%
1.00%


The best fund is C so the following IFTs take place before noon eastern Friday, 11/28/2014:


LMBF-1 Changes from the S Fund to the C Fund
LMBF-1 SIM Changes from the S Fund to the C Fund
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the S Fund to the C Fund

[Hallatauer]

Still slightly perplexed that the S fund has continued to be less volatile than the C fund. However, not blowing my nose at a 2.25% rise.

Happy Thanksgiving all!

[Cactus]

That was quite a drop the S Fund took yesterday in relation to the C Fund. Looks like LMBF will be joining us in the C Fund on Monday.

[Boghie]

That was quite a drop the S Fund took yesterday in relation to the C Fund. Looks like LMBF will be joining us in the C Fund on Monday.

Good to hear from you Cactus. I am going to be putting my calculations for Burro's Ark CAGR on his thread today. Wondering if they are close to your calculations???
I use a spreadsheet and MoneyChimp's CAGR to get mine. Yours seems smoother, but I haven't came close to what is known. I must be doing something wrong when using your spreadsheet functions. Not a very good Excel guy...

[Cactus]

Boghie, here are the numbers I come up with given your entries for 2008 - 2014.

31404

This treats the 2014 numbers as if they are the year end values. I assumed you were doing the same. There is no inflation calculated into these numbers like you have for your returns. I included the SSD (Sample Standard Deviation) because it looks like that is what you are using for risk. I use the PSD (Population Standard Deviation) and thought moneychimp did the same. I could be wrong on that.

The values look close for the 5 TSP funds but are off for some of the users and L Funds. You will want to look at my numbers and see if I typed them in correctly.

If you don't want to use a spreadsheet you may want to write a script or program that crunches the numbers for you. You could write it to accept manual input if you only have a few entries like here or you can write it to accept a file of data for larger entries. Just a thought ;)

You are doing well with your system. Keep up the good work.

[Cactus]

Here are the results through November:



G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)

0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)
1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


Jul
0.19%
(0.19%)

(1.37%)
(4.38%)
(1.95%)
(4.58%)
(4.38%)
(4.38%)
(4.38%)
(0.19%)
(4.38%)


Aug
0.20%
1.12%
4.01%
4.98%
(0.14%)

(0.04%)
4.01%
4.98%
4.98%
1.12%
4.01%


Sep
0.18%
(0.58%)

(1.40%)
(5.10%)
(3.82%)
(5.43%)
(5.10%)
(5.10%)
(5.10%)
(0.58%)
(5.10%)


Oct
0.20%
0.96%
2.45%
4.11%
(0.63%)

(1.28%)
0.20%
0.20%
0.20%
0.96%
0.96%


Nov
0.17%
0.74%
2.70%
1.33%
0.51%
1.35%
1.33%
1.33%
1.33%
1.33%
1.33%


YTD
2.12%
6.52%
14.06%
6.74%
(1.19%)

(9.07%)
(2.28%)
0.93%
0.73%
2.18%
(0.85%)



As you can see, it's pretty much the same as last month. All our methods gained over 1.3% and C>S & CI>S even turned positive for the year. Other than that it's more of the same. Buy & Hold still reigns supreme and SIM is still the clear winner among our methods this year.

The one remaining question is: with one month left, can all the LMBF-1 methods turn positive for the year? Well, they are all in the market for December, so given a decent Santa Clause rally it is possible.

What more can I say. Oh, I see that James posted the LMBF IFT for December after missing it for October and November. So it looks like LMBF is still alive and with us even if its AT is hopelessly off for 2014. That's one problem with the AT. If you miss an entry you can't go back and correct it afterwards. It's that way by design so we can't cheat and postdate our IFTs, but it also means we can't state what an IFT should have been if we weren't able to record the IFT. The same thing can happen to me. I can't guarantee that I will be here at the end of every month to record the IFTs, so feel free to post them in this thread if it becomes clear I'm not around or even if I am around. :D

[Cactus]

We'll get the final numbers at the end of the day, but right now it looks like all the LMBF-1 methods will IFT into the S Fund tomorrow.

[Cactus]

Here are the monthly returns as of 12/30/2014.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Dec-2014
0.18%
0.06%
0.79%
1.76%
(3.28%)


The best fund is S so the following IFTs take place before noon eastern tomorrow, 12/31/2014:


LMBF-1 Changes from the C Fund to the S Fund
LMBF-1 SIM Changes from the C Fund to the S Fund
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the C Fund to the S Fund

We all go into 2015 invested in the S Fund. Happy investing everyone.

[Hallatauer]

Easy as most of us were in the S Fund for Dec. Not a great year for me but still in the positive... 3.27%. Looks like we all would have been better if when had just stayed in the S Fund, 7.80% or even the C Fund at a huge 13.78% but that's the nature of the game I guess. Lets hope for an awesome 2015!

[Cactus]

OK, December is finished so lets see how these Methods finished out the year.




G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.21%
1.58%
(3.45%)

(1.91%)
(4.03%)
(1.82%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)
(1.91%)


Feb
0.18%
0.62%
4.58%
5.43%
5.58%
(2.82%)
0.62%
0.62%
0.62%
0.62%
0.62%


Mar
0.19%
(0.15%)
0.85%
(0.69%)

(0.57%)
1.51%
(0.69%)

(0.69%)
(0.69%)
(0.69%)
(0.69%)


Apr
0.20%
0.90%
0.75%
(2.47%)

1.51%
0.44%
0.20%
0.20%
0.20%
0.20%
0.90%


May
0.20%
1.21%
2.35%
1.52%
1.72%
1.35%
1.72%
1.72%
1.52%
1.21%
1.72%


Jun
0.19%
0.14%
2.07%
4.45%
0.99%
2.19%
2.07%
4.45%
4.45%
0.14%
2.07%


Jul
0.19%
(0.19%)

(1.37%)
(4.38%)
(1.95%)
(4.58%)
(4.38%)
(4.38%)
(4.38%)
(0.19%)
(4.38%)


Aug
0.20%
1.12%
4.01%
4.98%
(0.14%)

(0.04%)
4.01%
4.98%
4.98%
1.12%
4.01%


Sep
0.18%
(0.58%)

(1.40%)
(5.10%)
(3.82%)
(5.43%)
(5.10%)
(5.10%)
(5.10%)
(0.58%)
(5.10%)


Oct
0.20%
0.96%
2.45%
4.11%
(0.63%)

(1.28%)
0.20%
0.20%
0.20%
0.96%
0.96%


Nov
0.17%
0.74%
2.70%
1.33%
0.51%
1.35%
1.33%
1.33%
1.33%
1.33%
1.33%


Dec
0.18%
0.21%
(0.24%)
0.99%
(4.13%)

(1.09%)
(0.24%)
0.99%
0.99%
(0.24%)

(0.24%)


YTD
2.31%
6.73%
13.78%
7.80%
(5.27%)

(10.06%)
(2.52%)
1.93%
1.73%
1.94%
(1.09%)


Not too good as it turns out. This wasn't a Buy-N-Hold year but you still would have been better off holding any of our Funds except the I Fund this year. Ouch, that hurts when even the G Fund beats you. So this wasn't the year for these methods.

Comparing the methods to each other, we still see that the SIM, C>S, and CI>S options produce better results that LMBF-1 alone. It also helps that their returns were positive. The new G>F option also produced a better return even if the return was still negative. This option is probably better combined with one of the >S options.

Finally, notice that LMBF really had a hard time this year. Of course it could have gone the other way and LMBF-1 could have fallen hard. Comparing these two shows how much of a difference one day can make over time.

[Cactus]

OK, here are the 3, 5, & 10 Year returns for you folks who like numbers. Note that things don't look that great for these methods on the 3 & 5 year returns which only include up years, but look better on the 10 year which includes 2008's returns. These methods help us more in down years than up years where buy-N-hold prevails.

3 Year Returns:


3 Year (2012 - 14)
G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Mean
1.89%
3.13%
20.77%
21.57%
11.83%
6.14%
11.11%
14.74%
16.33%
11.55%
11.87%


Standard Deviation
0.34%
3.51%
8.31%
12.65%
12.17%
12.17%
10.69%
11.00%
10.35%
7.00%
10.12%


Annualized Return
1.89%
3.07%
20.49%
20.93%
11.13%
5.42%
10.59%
14.21%
15.85%
11.33%
11.41%


Total Return
5.78%
9.49%
74.92%
76.84%
37.24%
17.15%
35.26%
48.99%
55.48%
37.97%
38.27%



5 Year Returns:


5 Year (2010 - 14)
G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.19%
4.80%
15.89%
18.08%
6.32%
8.70%
11.88%
14.05%
15.03%
15.63%
12.82%


Standard Deviation
0.46%
3.42%
9.69%
14.82%
13.17%
9.94%
8.77%
8.99%
8.22%
8.53%
8.16%


Annualized Return
2.18%
4.74%
15.50%
17.13%
5.49%
8.21%
11.52%
13.70%
14.73%
15.31%
12.51%


Total Return
11.41%
26.06%
105.51%
120.51%
30.64%
48.36%
72.52%
90.03%
98.79%
103.84%
80.30%



10 Year Returns:


10 Year (2005 - 14)
G
F
C
S
I
LMBF
LMBF-1
C>S
CI>S
SIM
G>F


Mean
3.19%
4.93%
9.54%
11.82%
7.06%
6.25%
10.13%
12.89%
13.48%
11.13%
10.95%


Standard Deviation
1.18%
2.67%
17.91%
20.96%
20.69%
9.34%
9.77%
11.40%
12.76%
9.65%
9.50%


Annualized Return
3.19%
4.90%
7.72%
9.44%
4.58%
5.82%
9.68%
12.29%
12.77%
10.72%
10.52%


Total Return
36.85%
61.30%
110.41%
146.40%
56.43%
76.02%
151.85%
218.81%
232.74%
176.77%
171.94%

[Cactus]

Here are the monthly returns as of 1/29/2015.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Jan-2015
0.17%
1.77%
(1.72%)

(0.34%)
1.73%



The best fund is F so the following IFTs take place before noon eastern today, 1/30/2015:


LMBF-1 Changes from the S Fund to the F Fund
LMBF-1 SIM Changes from the S Fund to the F Fund
LMBF-1 C>S Changes from the S Fund to the F Fund
LMBF-1 CI>S Changes from the S Fund to the F Fund
LMBF-1 G>F Changes from the S Fund to the F Fund


Note that volatility is high and the I Fund almost took the lead from the F Fund. It may get there tomorrow. Who knows.

[jonfresno]

Hey Cactus, thanks for posting the numbers and updating the auto-tracker.

A few weeks ago James came up with what I thought was an interesting idea/variant on the LMBF method. Not sure if you've tried this yet, but James idea was to NOT EFT into a stock fund if it was a case where two of the three stock funds were in the red. In the most recent instance his idea would have kept us out of the stock funds this month avoiding a loss (granted the I fund might eek out a gain, but none of the methods would have IFT'd into the I fund).

Anyway, just thought I'd post it here to see what you think. You can see James' original post in the LMBF thread.

[Cactus]

Yes, I saw the original post. I was going to wait until James clarified the rules and settled on what exactly he wanted instead of working on something only to have him tweak it some more. For example, if you look at his original post he stated: "two out of three of the stock/bond funds are in negative territory." Does he mean 2 out of the 3 stock funds (C, S & I) or does he mean 2 out of the 4 funds F, C, S & I. If it's the latter you might as well say any 2 funds since G doesn't go negative (heaven help us if it did). So if C & S are positive and F & I are negative we go to G. That is the way I understand his tweak. Also further down he mentions avoiding "F". What does that mean? Does he mean if LMBF is F we go to G? Does he mean we don't even use F but only the other 4 funds? This isn't clear yet and may not even have been decided until it occurs. Anyways, if I look at producing any back-tested results it would be based on LMBF-1 instead of LMBF. Remember I originally developed LMBF-1 because it was a lot easier to work with and less error prone than working with historical LMBF data in spreadsheets.

[RealMoneyIssues]

If it's the latter you might as well say any 2 funds since G doesn't go negative (heaven help us if it did).

Amen... but that might be a way for the government to take more of our money... Doesn't one of the Scandinavian countries have negative interest rates... Utopia (stopping now before I get banned)

[jonfresno]

Yes, I saw the original post. I was going to wait until James clarified the rules and settled on what exactly he wanted instead of working on something only to have him tweak it some more. For example, if you look at his original post he stated: "two out of three of the stock/bond funds are in negative territory." Does he mean 2 out of the 3 stock funds (C, S & I) or does he mean 2 out of the 4 funds F, C, S & I. If it's the latter you might as well say any 2 funds since G doesn't go negative (heaven help us if it did). So if C & S are positive and F & I are negative we go to G. That is the way I understand his tweak. Also further down he mentions avoiding "F". What does that mean? Does he mean if LMBF is F we go to G? Does he mean we don't even use F but only the other 4 funds? This isn't clear yet and may not even have been decided until it occurs. Anyways, if I look at producing any back-tested results it would be based on LMBF-1 instead of LMBF. Remember I originally developed LMBF-1 because it was a lot easier to work with and less error prone than working with historical LMBF data in spreadsheets.

OK, Catus, since James is MIA on this, I'm going to have a go at the interpretation game.......

I think James was just using the stock funds as the litmus test as to which fund to IFT into. I think he meant that if say C and I were negative, and S came out on top, similar to December, you would IFT into G. S fund had a nice gain early on in the month, but the trend was definitely heading down.

As far as the F fund, I think he was just tossing that out when it came to the decision IF 2 out of the 3 stock funds were down, and the third one outperformed all the other funds including the F fund.

So, if F wins for the month, you IFT to F. If S wins overall, and 2 of the 3 stock funds are positive, you IFT into S, if C and I are in the red, you IFT into G.

James? James? Hello, hello. testing. testing, is this thing on?? Did I get this right? I'll take a no response as a big "yes", you got it right...:nuts:

Now, as you stated, you could run this using LMBF-1, and the other alternates (LMBF-1 G-->F, LMBF -1 C--S, etc.).

[Cactus]

OK, I'll see if I can work up an LMBF-1 tonight where we go to G if 2 or 3 of the stock funds are negative.

[Cactus]

OK, Here are the results of the 2or3 modification compared to LMBF-1.

Table 1: LMBF-1 Returns32289

Table 2: LMBF-1 forced to G when 2 or 3 stock funds are negative32290
Note: The olive colored fund blocks represents months where the two funds differ.

As you can see we have:
1 year with better results: 2004
3 years with no change: 2006, 2009, 2013
7 years with worse results: 2005, 2007, 2008, 2010, 2011, 2012, 2014

That doesn't look like an improvement. It looks like spending more time in G is keeping us out of the market in more good months than bad. It didn't even help in 2008.

Here are the annualize returns over the 11 years covered.


LMBF-1

2 or 3



10.11%

8.53%



This doesn't seem to buy us anything. Looks like James has already figured this out because he went back to the old LMBF rules for February.

[jonfresno]

OK, Here are the results of the 2or3 modification compared to LMBF-1.

Table 1: LMBF-1 Returns32289

Table 2: LMBF-1 forced to G when 2 or 3 stock funds are negative32290
Note: The olive colored fund blocks represents months where the two funds differ.

As you can see we have:
1 year with better results: 2004
3 years with no change: 2006, 2009, 2013
7 years with worse results: 2005, 2007, 2008, 2010, 2011, 2012, 2014

That doesn't look like an improvement. It looks like spending more time in G is keeping us out of the market in more good months than bad. It didn't even help in 2008.

Here are the annualize returns over the 11 years covered.


LMBF-1

2 or 3



10.11%

8.53%



This doesn't seem to buy us anything. Looks like James has already figured this out because he went back to the old LMBF rules for February.

Thanks so much for running the numbers. My eyes aren't the best, but I do see that it seems if you go into the F fund if it is the winner for the month, and to G only when 2 of the 3 stock funds are negative and F is not the winner, the numbers might be a bit more comparable, but again, nothing earth shattering.

Much appreciated!!

[Hallatauer]

Man... what a sucky month to have left the S Fund for the F Fund. Down .86% as opposed to being up 6.5%. these are the times I try not to pull my hair out.

[Cactus]

Yes, it looks like we are getting whipsawed again. :sick:

We won't have the final numbers until tonight, but all the methods should IFT back into the S Fund by Noon tomorrow.

[Cactus]

Here are the monthly returns as of 2/26/2015.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


26-Feb-2015
0.12%
(1.06%)

6.06%
6.53%
5.66%


The best fund is S so the following IFTs take place before noon eastern Friday, 2/27/2015:


LMBF-1 Changes from the F Fund to the S Fund
LMBF-1 SIM Changes from the F Fund to the S Fund
LMBF-1 C>S Changes from the F Fund to the S Fund
LMBF-1 CI>S Changes from the F Fund to the S Fund
LMBF-1 G>F Changes from the F Fund to the S Fund

[Cactus]

Here are the results of our methods for the 1st two months of the year:




G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.18%
2.13%
(2.99%)

(1.85%)
1.19%
(1.85%)

(1.85%)
(1.85%)
(1.85%)
(1.85%)


Feb
0.13%
(0.91%)
5.75%
6.05%
5.97%
(0.91%)
(0.91%)
(0.91%)
(0.91%)
(0.91%)


YTD
0.31%
1.20%
2.58%
4.09%
7.24%
(2.74%)
(2.74%)
(2.74%)
(2.74%)
(2.74%)


As you can see they aren't doing too well. They had a bad year last year, and that is continuing this year. All methods are negative, but then they haven't separated yet. They are still together for March as well and back in the S Fund. It looks like we are being whipsawed and it's anyone's guess how long that will last.

[Cactus]

Looks like all methods stay in the S Fund for April. I'm glad we finally picked a winner.

[Cactus]

Here are the monthly returns as of 3/30/2015.



Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-Mar-15

0.15%

0.32%

(0.71%)

1.65%

(0.28%)




All our methods remain in the S Fund for April.

[Cactus]

With the first quarter behind us, here are the results for the 1st 3 months of 2015:




G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.18%
2.13%
(2.99%)

(1.85%)
1.19%
(1.85%)

(1.85%)
(1.85%)
(1.85%)
(1.85%)


Feb
0.13%
(0.91%)

5.75%
6.05%
5.97%
(0.91%)

(0.91%)
(0.91%)
(0.91%)
(0.91%)


Mar
0.16%
0.47%
(1.57%)
1.24%
(1.43%)

1.24%
1.24%
1.24%
1.24%
1.24%


YTD
0.47%
1.68%
0.97%
5.39%
5.70%
(1.53%)

(1.53%)
(1.53%)
(1.53%)
(1.53%)


As you can see, our methods picked a winner in the S Fund for March. Unfortunately all the methods are still negative for the year while all our TSP funds are positive. Things still don't look good for our methods this year. They haven't even separated themselves out yet. What can I say -- things look boring. Let's see what April brings.

[burrocrat]

Let's see what April brings.

the answer is showers, which leads to may flowers. didn't you pay attention as a kid?

[Cactus]

Unfortunately, these last couple of years those April showers were the results of my tears. April has not been good to me. :( This would be a good time for CRAP to catch up. :D

[Cactus]

OK, we will have to wait until tonight to get the final figures, but the I Fund is far enough ahead today to already be called the winner for April. That being the case, the following IFTs take place before noon tomorrow, 4/30/2015:


LMBF-1 Changes from the S Fund to the I Fund
SIM Changes from the S Fund to the F Fund
C>S Changes from the S Fund to the I Fund
CI>S Remains in the S Fund
G>F Changes from the S Fund to the I Fund

[Cactus]

Here are the monthly returns as of 4/29/2015:



Date

G Fund

F Fund

C Fund

S Fund

I Fund



29-Apr-15

0.15%

(0.26%)

1.99%

0.01%

4.90%




The I Fund is indeed the winner for April so the IFTs pointed out yesterday do take place before noon today.

[Cactus]

Here are the returns through April:




G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.18%

2.13%

(2.99%)

(1.85%)

1.19%

(1.85%)

(1.85%)

(1.85%)

(1.85%)

(1.85%)



Feb

0.13%

(0.91%)

5.75%

6.05%

5.97%

(0.91%)

(0.91%)

(0.91%)

(0.91%)

(0.91%)



Mar

0.16%

0.47%

(1.57%)

1.24%

(1.43%)

1.24%

1.24%

1.24%

1.24%

1.24%



Apr

0.15%

(0.28%)

0.96%

(1.50%)

4.11%

(1.50%)

(1.50%)

(1.50%)

(1.50%)

(1.50%)



YTD

0.62%

1.40%

1.94%

3.81%

10.05%

(3.00%)

(3.00%)

(3.00%)

(3.00%)

(3.00%)




That's a lot of red in that chart. Not much to crow about here. Our methods just aren't that hot this year. It's about time for another bounce, don't you think?

[Cactus]

We will have to wait until tonight to get the final figures, but it looks like the S Fund is the winner for May. That being the case, the following IFTs take place before noon tomorrow, 5/29/2015:


LMBF-1 Changes from the I Fund to the S Fund
SIM Remains in the F Fund til November
C>S Changes from the I Fund to the S Fund
CI>S Remains in the S Fund
G>F Changes from the I Fund to the S Fund

[Cactus]

Here is the monthly return as of 5/28/15:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



28-May-15

0.15%

(0.43%)

1.93%

2.36%

0.34%



The S Fund is indeed the winner.

[Hallatauer]

End of April I didn't make the transfer to the I Fund and left it in the S Fund... got the rise by luck. Leaving it there for June.

[Cactus]

Way to go, Hallatauer! Some people seem to have all the luck. :)

[Cactus]

Here are the returns through May:




G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.18%

2.13%

(2.99%)

(1.85%)

1.19%

(1.85%)

(1.85%)

(1.85%)

(1.85%)

(1.85%)



Feb

0.13%

(0.91%)

5.75%

6.05%

5.97%

(0.91%)

(0.91%)

(0.91%)

(0.91%)

(0.91%)



Mar

0.16%

0.47%

(1.57%)

1.24%

(1.43%)

1.24%

1.24%

1.24%

1.24%

1.24%



Apr

0.15%

(0.28%)

0.96%

(1.50%)

4.11%

(1.50%)

(1.50%)

(1.50%)

(1.50%)

(1.50%)



May

0.17%

(0.26%)

1.29%

1.84%

(0.42%)

(0.42%)

(0.42%)

1.84%

(0.26%)

(0.42%)



YTD

0.79%

1.13%

3.26%

5.71%

9.59%

(3.41%)

(3.41%)

(1.22%)

(3.26%)

(3.41%)



CI>S really differentiated itself form the pack this month, but none of our methods are doing that well this year. They are all negative while all the TSP Funds are positive. Here's looking up at the G Fund for ya. :suspicious:

[Cactus]

We will have to wait until tonight to get the final figures, but it looks like after the carnage in the market today the G Fund is the only fund showing green for the month of June. Even the rally in the F Fund wouldn't be enough to get it out of the red. That being the case, the following IFTs take place before noon tomorrow, 6/30/2015:


LMBF-1 Changes from the S Fund to the G Fund
SIM Remains in the F Fund til November
C>S Changes from the S Fund to the G Fund
CI>S Changes from the S Fund to the G Fund
G>F Changes from the S Fund to the F Fund

And to think that Friday the S Fund was still in the lead. What a difference a day makes.

[Cactus]

Here is the monthly return as of 6/29/15:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



29-June-15

0.16%

(1.11%)

(2.20%)

(1.22%)

(2.13%)



The G Fund is indeed the winner.

[Cactus]

Here are the returns for the first half of the year:



G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.18%

2.13%

(2.99%)

(1.85%)

1.19%

(1.85%)

(1.85%)

(1.85%)

(1.85%)

(1.85%)



Feb

0.13%

(0.91%)

5.75%

6.05%

5.97%

(0.91%)

(0.91%)

(0.91%)

(0.91%)

(0.91%)



Mar

0.16%

0.47%

(1.57%)

1.24%

(1.43%)

1.24%

1.24%

1.24%

1.24%

1.24%



Apr

0.15%

(0.28%)

0.96%

(1.50%)

4.11%

(1.50%)

(1.50%)

(1.50%)

(1.50%)

(1.50%)



May

0.17%

(0.26%)

1.29%

1.84%

(0.42%)

(0.42%)

(0.42%)

1.84%

(0.26%)

(0.42%)



May

0.17%

(1.07%)

(1.93%)

(0.71%)

(2.80%)

(0.71%)

(0.71%)

(0.71%)

(1.07%)

(0.71%)



YTD

0.96%

0.05%

1.26%

4.96%

6.52%

(4.10%)

(4.10%)

(1.92%)

(4.29%)

(4.10%)



What a horrible month! The G Fund was the only positive one of the month. Well at least our five TSP funds are positive for the year. That's more than I can say for our LMBF-1 methods. They're still all negative for the year and the year is half over. The best one of the lot is CI>S which is only losing half that of the others. There seams to be something to avoiding the I Fund. SIM is the worst of the lot so far. So much for Sell In May. Most of that is due to the poor showing of the F Fund in June. It is barely positive for the year.

Well, we shouldn't see much improvement next month since most of these systems are in the G Fund for July. G>F is in F so it will differentiate itself from the pack whatever happens.

[Cactus]

We will have to wait until tonight to get the final figures, but it looks like the C Fund is the winner for July. That being the case, the following IFTs take place before noon tomorrow, 7/31/2015:


LMBF-1 Changes from the G Fund to the C Fund
SIM Remains in the F Fund til November
C>S Changes from the G Fund to the S Fund
CI>S Changes from the G Fund to the S Fund
G>F Changes from the F Fund to the C Fund

[Cactus]

Here is the monthly return as of 7/30/15:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-July-15

0.19%

0.45%

2.33%

(0.43%)

0.95%



The C Fund is indeed the winner for July.

[Cactus]

Here are the monthly returns as of 8/28/2015.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


28-Aug-2015
0.16%
(0.05%)

(5.24%)
(5.23%)
(6.77%)


The best fund is G so the following IFTs take place before noon eastern Monday, 8/31/2015:


LMBF-1 Changes from the C Fund to the G Fund
LMBF-1 SIM Remains in the F Fund till November
LMBF-1 C>S Changes from the S Fund to the G Fund
LMBF-1 CI>S Changes from the S Fund to the G Fund
LMBF-1 G>F Changes from the C Fund to the F Fund

[Cactus]

We will have to wait until tonight to get the final figures, but it looks like the F Fund is the winner for September. That being the case, the following IFTs take place before noon tomorrow, 9/30/2015:



LMBF-1 Changes from the G Fund to the F Fund
SIM Remains in the F Fund til November
C>S Changes from the G Fund to the F Fund
CI>S Changes from the G Fund to the F Fund
G>F Remains in the F Fund


Congratulations to G>F! That has paid off for it again. That's the 2nd time this year. The previous month was July.

[Cactus]

Here is the monthly return as of 9/30/15:



Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-Sep-15

0.17%

0.72%

(4.30%)

(6.35%)

(7.03%)



The F Fund is indeed the winner for September.

[Cactus]

Here are the returns through the 3rd Quarter of the year:



G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.18%

2.13%

(2.99%)

(1.85%)

1.19%

(1.85%)

(1.85%)

(1.85%)

(1.85%)

(1.85%)



Feb

0.13%

(0.91%)

5.75%

6.05%

5.97%

(0.91%)

(0.91%)

(0.91%)

(0.91%)

(0.91%)



Mar

0.16%

0.47%

(1.57%)

1.24%

(1.43%)

1.24%

1.24%

1.24%

1.24%

1.24%



Apr

0.15%

(0.28%)

0.96%

(1.50%)

4.11%

(1.50%)

(1.50%)

(1.50%)

(1.50%)

(1.50%)



May

0.17%

(0.26%)

1.29%

1.84%

(0.42%)

(0.42%)

(0.42%)

1.84%

(0.26%)

(0.42%)



Jun

0.17%

(1.07%)

(1.93%)

(0.71%)

(2.80%)

(0.71%)

(0.71%)

(0.71%)

(1.07%)

(0.71%)



Jul

0.19%

0.74%

2.10%

(0.12%)

2.08%

0.19%

0.19%

0.19%

0.74%

0.74%



Aug

0.18%

(0.11%)

(6.03%)

(5.80%)

(7.36%)

(6.03%)

(5.80%)

(5.80%)

(0.11%)

(6.03%)



Sep

0.18%

0.75%

(2.47%)

(4.80%)

(5.02%)

0.18%

0.18%

0.18%

0.75%

0.75%



YTD

1.51%

1.44%

(5.24%)

(5.98%)

(4.33%)

(9.55%)

(9.32%)

(7.27%)

(2.96%)

(8.53%)



It was another horrible month for equities. It's time for a bounce here, wouldn't you say?

So, is anyone sill following these methods? Looking at the YTD things haven't gotten any better. There's still a lot of red in there.

What can we say? Our methods didn't lose anything this month because none of them were in equities. C>S still does better than LMBF-1 and CI>S still does better than both of them. But that doesn't buy you anything because they are all worse than our equity funds. This is not a buy-N-hold year but you would still do better to B&H than follow these methods. What do you think?

On the positive side, SIM is doing better then the other methods and all 3 equity funds. But why stop there? If you had B&H F Fund all year you would be doing even better and be positive to boot. This is just not the year for our methods. But I said that last year as well; and the year before that was disappointing too. It does look like another case of a system falling apart as soon as I analyze it. Does that mean it's time for it to turn around? I don't know. All I see is we are on course to having our worst year ever.

One more positive note is G>F. For the second time this year it parted company with LMBF-1 and on both occasions it profited from that course of action. By itself G>F isn't doing that great this year, but it still remains a viable option for a jump to safety move in some other system if you have one.

[Cactus]

Sorry, these are late. I got busy and totally spaced it out. The best you can do now is get in Monday before noon. That will be going back to LMBF instead of LMBF-1.

Here are the monthly returns as of 10/29/2015.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Oct-2015
0.16%
(0.10%)

8.97%
5.75%
7.06%


The best fund is C so the following IFTs take place before noon eastern Friday, 10/30/2015:


LMBF-1 Changes from the F Fund to the C Fund
LMBF-1 SIM Changes from the F Fund to the C Fund
LMBF-1 C>S Changes from the F Fund to the S Fund
LMBF-1 CI>S Changes from the F Fund to the S Fund
LMBF-1 G>F Changes from the F Fund to the C Fund

[Cactus]

Here are the monthly returns as of 11/27/2015.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-Nov-2015
0.16%
(0.31%)

0.77%
2.18%
(0.57%)


The best fund is S so the following IFTs take place before noon eastern Monday, 11/30/2015:


LMBF-1 Changes from the C Fund to the S Fund
LMBF-1 SIM Changes from the C Fund to the S Fund
LMBF-1 C>S Remains in the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the C Fund to the S Fund

[Cactus]

Here are the results through November:



G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.18%

2.13%

(2.99%)

(1.85%)

1.19%

(1.85%)

(1.85%)

(1.85%)

(1.85%)

(1.85%)



Feb

0.13%

(0.91%)

5.75%

6.05%

5.97%

(0.91%)

(0.91%)

(0.91%)

(0.91%)

(0.91%)



Mar

0.16%

0.47%

(1.57%)

1.24%

(1.43%)

1.24%

1.24%

1.24%

1.24%

1.24%



Apr

0.15%

(0.28%)

0.96%

(1.50%)

4.11%

(1.50%)

(1.50%)

(1.50%)

(1.50%)

(1.50%)



May

0.17%

(0.26%)

1.29%

1.84%

(0.42%)

(0.42%)

(0.42%)

1.84%

(0.26%)

(0.42%)



Jun

0.17%

(1.07%)

(1.93%)

(0.71%)

(2.80%)

(0.71%)

(0.71%)

(0.71%)

(1.07%)

(0.71%)



Jul

0.19%

0.74%

2.10%

(0.12%)

2.08%

0.19%

0.19%

0.19%

0.74%

0.74%



Aug

0.18%

(0.11%)

(6.03%)

(5.80%)

(7.36%)

(6.03%)

(5.80%)

(5.80%)

(0.11%)

(6.03%)



Sep

0.18%

0.75%

(2.47%)

(4.80%)

(5.02%)

0.18%

0.18%

0.18%

0.75%

0.75%



Oct

0.17%

0.02%

8.45%

5.61%

7.07%

0.02%

0.02%

0.02%

0.02%

0.02%



Nov

0.17%

(0.24%)

0.31%

1.75%

(0.86%)

0.31%

0.31%

1.75%

1.75%

0.31%



YTD

1.86%

1.21%

3.08%

1.03%

1.55%

(9.25%)

(9.03%)

(5.63%)

(1.25%)

(8.24%)



They are not much to look at I'm afraid. You'd be better off in any of our TSP funds than following our methods. Looks like the SIM variant came through again against the other LMBF-1 methods. This looks like the worst year yet for our methods.

[Cactus]

Well it looks like the G Fund is the winner for December. The C Fund came close yesterday but just could not pull it off today. So that being the case the following IFT's for January will take place before noon eastern tomorrow, Dec 31, 2015.


LMBF-1 Changes from the S Fund to the G Fund
LMBF-1 SIM Changes from the S Fund to the G Fund
LMBF-1 C>S Changes from the S Fund to the G Fund
LMBF-1 CI>S Changes from the S Fund to the G Fund
LMBF-1 G>F Changes from the S Fund to the F Fund

[userque]

Well it looks like the G Fund is the winner for December. The C Fund came close yesterday but just could not pull it off today. So that being the case the following IFT's for January will take place before noon eastern tomorrow, Dec 31, 2015.


LMBF-1 Changes from the S Fund to the G Fund
LMBF-1 SIM Changes from the S Fund to the G Fund
LMBF-1 C>S Changes from the S Fund to the G Fund
LMBF-1 CI>S Changes from the S Fund to the G Fund
LMBF-1 G>F Changes from the S Fund to the F Fund



I believe the markets are open tomorrow, 31 DEC 2015. ? :blink:

Or am I missing something. :)

[Cactus]

I believe the markets are open tomorrow, 31 DEC 2015. ? :blink:

Or am I missing something. :)
They better be or I messed up again. :eek: Even if they are only open half a day your TSP IFT should go through as long as you get it in on time.

Remember that the LMBF-1 methods choose their Best Fund on the penultimate trading day so you can get your IFT in by the end of the month. That is what the -1 means. We throw away the last day to enter the new month invested in the new fund. This was the initial difference between these methods and James' LMBF which entered after the first day of the month.

[userque]

They better be or I messed up again. :eek: Even if they are only open half a day your TSP IFT should go through as long as you get it in on time.

Remember that the LMBF-1 methods choose their Best Fund on the penultimate trading day so you can get your IFT in by the end of the month. That is what the -1 means. We throw away the last day to enter the new month invested in the new fund. This was the initial difference between these methods and James' LMBF which entered after the first day of the month.

Ahh, right. I remember now. Thanks. :)

I think it's a full day tomorrow.

[Cactus]

Here are the results through Dec 30, 2015.


Date
G FUND
F FUND
C FUND
S FUND
I FUND


30-Dec-2015
0.18%
(0.48%)

(0.64%)
(3.15%)
(0.71%)


Unfortunately the G Fund is indeed the winner.

[Cactus]

OK, 2015 is behind us, so here are the returns for the last year:



G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.18%
2.13%
(2.99%)

(1.85%)
1.19%
(1.85%)

(1.85%)
(1.85%)
(1.85%)
(1.85%)


Feb
0.13%
(0.91%)
5.75%
6.05%
5.97%
(0.91%)
(0.91%)
(0.91%)
(0.91%)
(0.91%)


Mar
0.16%
0.47%
(1.57%)

1.24%
(1.43%)
1.24%
1.24%
1.24%
1.24%
1.24%


Apr
0.15%
(0.28%)

0.96%
(1.50%)
4.11%
(1.50%)

(1.50%)
(1.50%)
(1.50%)
(1.50%)


May
0.17%
(0.26%)
1.29%
1.84%
(0.42%)

(0.42%)
(0.42%)
1.84%
(0.26%)

(0.42%)


Jun
0.17%
(1.07%)

(1.93%)
(0.71%)
(2.80%)
(0.71%)
(0.71%)
(0.71%)
(1.07%)
(0.71%)


Jul
0.19%
0.74%
2.10%
(0.12%)
2.08%
0.19%
0.19%
0.19%
0.74%
0.74%


Aug
0.18%
(0.11%)

(6.03%)
(5.80%)
(7.36%)
(6.03%)
(5.80%)
(5.80%)
(0.11%)
(6.03%)


Sep
0.18%
0.75%
(2.47%)

(4.80%)
(5.02%)

0.18%
0.18%
0.18%
0.75%
0.75%


Oct
0.17%
0.02%
8.45%
5.61%
7.07%
0.02%
0.02%
0.02%
0.02%
0.02%


Nov
0.17%
(0.24%)

0.31%
1.75%
(0.86%)

0.31%
1.75%
1.75%
0.31%
0.31%


Dec
0.18%
(0.30%)

(1.57%)
(3.91%)
(2.03%)
(3.91%)
(3.91%)
(3.91%)
(3.91%)
(3.91%)


YTD
2.04%
0.91%
1.46%
(2.92%)

(0.51%)
(12.80%)
(11.33%)
(9.32%)
(6.45%)
(11.82%)


Ouch, that is ugly. There is a lot of red in that there chart.

[Cactus]

Ok, for you people who like numbers, here are the last 3, 5, & 10 year stats for our returns.



3 Year (2013 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.08%
2.00%
15.90%
14.41%
5.45%
(1.02%)

1.37%
5.04%
3.27%
0.06%


Standard Deviation
0.17%
3.50%
12.74%
17.48%
11.95%
10.29%
10.14%
13.28%
8.53%
10.21%


Annualized Return
2.08%
1.94%
15.20%
13.13%
4.80%
(1.55%)

0.85%
4.22%
2.92%
(0.45%)



Total Return
6.37%
5.95%
52.90%
44.79%
15.10%
(4.58%)
2.58%
13.19%
9.01%
(1.36%)





5 Year (2011 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.03%
3.64%
13.17%
11.68%
4.63%
5.85%
8.31%
10.29%
8.63%
6.98%


Standard Deviation
0.34%
3.56%
11.31%
15.58%
13.39%
12.51%
13.21%
12.79%
9.38%
12.24%


Annualized Return
2.03%
3.58%
12.63%
10.65%
3.78%
5.09%
7.50%
9.52%
8.21%
6.26%


Total Return
10.58%
19.21%
81.22%
65.87%
20.41%
28.19%
43.59%
57.60%
48.37%
35.48%





10 Year (2006 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.95%
4.78%
9.20%
10.48%
5.65%
8.28%
11.19%
12.36%
10.85%
9.09%


Standard Deviation
1.14%
2.84%
18.03%
21.42%
20.67%
11.94%
13.43%
14.14%
10.10%
11.70%


Annualized Return
2.94%
4.74%
7.36%
8.03%
3.20%
7.59%
10.34%
11.47%
10.39%
8.43%


Total Return
33.65%
58.95%
103.39%
116.57%
36.96%
107.81%
167.50%
196.07%
168.75%
124.63%



This doesn't look good folks. These methods were supposed to help us in down years but this year they were far worse. They were even worse than they were in 2008. What do you think? Is anyone still interested in these?

[OBGibby]

Ok, for you people who like numbers, here are the last 3, 5, & 10 year stats for our returns.



3 Year (2013 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.08%
2.00%
15.90%
14.41%
5.45%
(1.02%)

1.37%
5.04%
3.27%
0.06%


Standard Deviation
0.17%
3.50%
12.74%
17.48%
11.95%
10.29%
10.14%
13.28%
8.53%
10.21%


Annualized Return
2.08%
1.94%
15.20%
13.13%
4.80%
(1.55%)

0.85%
4.22%
2.92%
(0.45%)



Total Return
6.37%
5.95%
52.90%
44.79%
15.10%
(4.58%)
2.58%
13.19%
9.01%
(1.36%)





5 Year (2011 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.03%
3.64%
13.17%
11.68%
4.63%
5.85%
8.31%
10.29%
8.63%
6.98%


Standard Deviation
0.34%
3.56%
11.31%
15.58%
13.39%
12.51%
13.21%
12.79%
9.38%
12.24%


Annualized Return
2.03%
3.58%
12.63%
10.65%
3.78%
5.09%
7.50%
9.52%
8.21%
6.26%


Total Return
10.58%
19.21%
81.22%
65.87%
20.41%
28.19%
43.59%
57.60%
48.37%
35.48%





10 Year (2006 - 15)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.95%
4.78%
9.20%
10.48%
5.65%
8.28%
11.19%
12.36%
10.85%
9.09%


Standard Deviation
1.14%
2.84%
18.03%
21.42%
20.67%
11.94%
13.43%
14.14%
10.10%
11.70%


Annualized Return
2.94%
4.74%
7.36%
8.03%
3.20%
7.59%
10.34%
11.47%
10.39%
8.43%


Total Return
33.65%
58.95%
103.39%
116.57%
36.96%
107.81%
167.50%
196.07%
168.75%
124.63%



This doesn't look good folks. These methods were supposed to help us in down years but this year they were far worse. They were even worse than they were in 2008. What do you think? Is anyone still interested in these?

The 10-year looks good...Keep it going if you can...

[Cactus]

Well, it looks like the F Fund is our winner for January. No surprise really. That being the case the following IFT's will take place before noon eastern tomorrow, Jan 29, 2016. That will put you in the new fund on Monday for February.


LMBF-1 Changes from the G Fund to the F Fund
LMBF-1 SIM Changes from the G Fund to the F Fund
LMBF-1 C>S Changes from the G Fund to the F Fund
LMBF-1 CI>S Changes from the G Fund to the F Fund
LMBF-1 G>F Remains in the F Fund

[Cactus]

Here are the actual numbers through yesterday's close.

Date
G FUND
F FUND
C FUND
S FUND
I FUND


28-Jan-2016
0.17%
1.16%
(7.25%)

(11.41%)
(7.58%)


The F Fund is indeed the winner.

[Cactus]

Here are the returns through Feb 26, 2016:



Date
G FUND
F FUND
C FUND
S FUND
I FUND


26-Feb-2016
0.13%
0.54%
0.68%
0.85%
(2.82%)


The winner for February is the S Fund. That being the case the following IFT's will take place before noon eastern Monday, Feb 29, 2016.


LMBF-1 Changes from the F Fund to the S Fund
LMBF-1 SIM Changes from the F Fund to the S Fund
LMBF-1 C>S Changes from the F Fund to the S Fund
LMBF-1 CI>S Changes from the F Fund to the S Fund
LMBF-1 G>F Changes from the F Fund to the S Fund

Note that three funds were close this month. If we had chosen a day earlier the C Fund would have won and the day before that the F Fund was still in the lead. Be careful out there.

[Cactus]

Here is the monthly return as of 3/30/16:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-Mar-16

0.14%

0.69%

7.01%

7.83%

7.13%



The winner for March is the S Fund. Since that is what all our systems chose last month there will be no IFTs this month as they all remain in the S Fund for April.

It's nice to pick the actual winner once in a while. :)

[Cactus]

With March now behind us here are the returns for the 1st Quarter of the year:


G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.19%

1.49%

(4.96%)

(8.72%)

(5.62%)

0.19%

0.19%

0.19%

0.19%

1.19%



Feb

0.15%

0.68%

(0.12%)

0.50%

(2.82%)

0.68%

0.68%

0.68%

0.68%

0.68%



Mar

0.15%

0.93%

6.79%

8.24%

6.59%

8.24%

8.24%

8.24%

8.24%

8.24%



YTD

0.49%

3.13%

1.37%

(0.70%)

(2.24%)

9.19%

9.19%

9.19%

9.19%

10.60%



Wow! That's quite a come back from the poor showing our methods made last year. That's good because they have a lot to make up for. Last years returns were some of the worst we have ever seen. I suspect that most everyone, including myself, has given up on them and moved on to something else. That's understandable but unfortunately that also means that we didn't get to benefit from this quarter's come back. Hopefully you are doing better. I'm not.

On a side note check out these methods on the AutoTracker. As of today you will notice that they finished the quarter in the top 10 out of 1112 for the Full Year Non PS members AT. Before you get too excited, though, please remember last year.

[offroad]

of course I found this discussion three years later from when it started. Good job on doing so well this quarter as my strategy of sticking to F is not even close to yours. You got my attention on the AUTOTRACKER

Integrated approach seems to be to use the LMBF-1 strategy for the bearish years, and then switch to other strategy on bullish years; or if I just plain chicken out if I take a loss. Usually dont buy unless the market is down at 11am in the morning (buy low sell high), so will be a little cautious when getting into this new strategy.

Last year was 8.71% for LMBF ? Why is that bad? My personal was not much higher than that.

[Cactus]

Last year was 8.71% for LMBF ? Why is that bad? My personal was not much higher than that.8.71% is the return for Cactus which reflects my actual IFTs. You can click AutoTracker in the upper left of my post to see I didn't follow the LMBF-1 methods last year or so far this year.

The actual returns for these methods for 2015 are as follows:



Actual

AutoTracker



LMBF-1

-12.80%

-13.92%



LMBF-1 SIM

-6.45%

-7.65%



LMBF-1 C>S

-11.33%

-12.94%



LMBF-1 CI>S

-9.32%

-10.97%



LMBF-1 G>F

-11.82%

NA



The actuals differ from the AutoTracker because I messed up recording the IFT last November. The AutoTracker reflects what you got if you depended on me to make the IFT announcement. The Actuals reflects what you got if followed the system yourself and made your IFTs on time.

As a point of protocol, anyone can post the end of month IFTs here. It doesn't have to be me. I've been pretty consistent so far but there are times when I won't be around to record the IFT. I'll try to let you know by posting here when it's something I can anticipate. Last November it was because I got real busy with work and totally spaced it out. :embarrest:

P.S. James' actual LMBF Method returned -10.16% last year but it was abandoned in the S Fund in March and no further IFTs were posted for the year.

[offroad]

So LMBF says to not follow it in 2015?


Sent from my iPhone using Tapatalk

[Cactus]

Yes, 2015 was a big let down. That is why I don't think anyone is still following it in 2016 even with its comeback.

If anyone out there is still following this system please post a reply here to let us know.

[Cactus]

Here is the monthly return as of 4/28/16:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



28-Apr-16

0.13%

0.27%

0.90%

2.35%

2.44%



The S Fund slipped below the I Fund yesterday making the I Fund the winner for April. That means the following IFTs take place before noon today, 29-Apr-16.

LMBF-1 Changes from the S Fund to the I Fund
LMBF-1 SIM Changes from the S Fund to the F Fund
LMBF-1 C>S Changes from the S Fund to the I Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the S Fund to the I Fund

[Cactus]

Here are the returns throug April:




G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.19%

1.49%

(4.96%)

(8.72%)

(5.62%)

0.19%

0.19%

0.19%

0.19%

1.49%



Feb

0.15%

0.68%

(0.12%)

0.50%

(2.82%)

0.68%

0.68%

0.68%

0.68%

0.68%



Mar

0.15%

0.93%

6.79%

8.24%

6.59%

8.24%

8.24%

8.24%

8.24%

8.24%



Apr

0.14%

0.41%

0.39%

1.73%

1.89%

1.73%

1.73%

1.73%

1.73%

1.73%



YTD

0.63%

3.55%

1.77%

1.02%

(0.39%)

11.08%

11.08%

11.08%

11.08%

12.52%




Wow, our methods are really on fire this year. They are close to all making up for last years big loss. Will this continue through the Summer months? We'll have to wait and see. As for now you can see that our methods are still in the top ten on the AutoTracker. Don't get too excited. There is only one direction to go from the top. :worried:

Notice that we are finally getting some divergence as CI>S remained in the S Fund this month instead of following most of the heard into the I Fund and SIM will now be in the F Fund through October. We'll have to see which one made the better choice. :)

[Cactus]

Here is the monthly return as of 5/27/16:



Date
G FUND
F FUND
C FUND
S FUND
I FUND


27-May-2016
0.13%
(0.02%)

1.89%
1.52%
0.32%


The C Fund is the winner for May. That means the following IFTs take place before noon Tuesday, 31-May-16.


LMBF-1 Changes from the I Fund to the C Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Changes from the I Fund to the S Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the I Fund to the C Fund

If you are going to make a change be aware that TSP is going to be down for maintenance from 1:00 A.M. Sat to 6:00 A.M. Tues. It's either hurry up or wait. :D

[Cactus]

Here are the returns through May:



G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.19%

1.49%

(4.96%)

(8.72%)

(5.62%)

0.19%

0.19%

0.19%

0.19%

1.49%



Feb

0.15%

0.68%

(0.12%)

0.50%

(2.82%)

0.68%

0.68%

0.68%

0.68%

0.68%



Mar

0.15%

0.93%

6.79%

8.24%

6.59%

8.24%

8.24%

8.24%

8.24%

8.24%



Apr

0.14%

0.41%

0.39%

1.73%

1.89%

1.73%

1.73%

1.73%

1.73%

1.73%



May

0.15%

0.08%

1.80%

1.81%

0.27%

0.27%

0.27%

1.81%

0.08%

0.27%



YTD

0.78%

3.63%

3.60%

2.85%

(0.12%)

11.38%

11.38%

13.09%

11.17%

12.83%




Looks like our systems are still going strong. All of them are beating any of the individual funds. CI>S really made out this month by going with the S Fund which just happened to be the winner.

[Cactus]

Here is the monthly return as of 6/29/16:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



29-Jun-16

0.15%

1.82%

(1.08%)

(1.68%)

(4.23%)



The F Fund is the winner for June so the following IFTs take place before noon today, 30-Jun-16.

LMBF-1 Changes from the C Fund to the F Fund
LMBF-1 SIM Remains in the F Fund through October
LMBF-1 C>S Changes from the S Fund to the F Fund
LMBF-1 CI>S Changes from the S Fund to the F Fund
LMBF-1 G>F Changes from the C Fund to the F Fund

[Cactus]

Here are the returns through the 2nd Quarter of the year:


G

F

C

S

I

LMBF-1

C>S

CI>S

SIM

G>F



Jan

0.19%

1.49%

(4.96%)

(8.72%)

(5.62%)

0.19%

0.19%

0.19%

0.19%

1.49%



Feb

0.15%

0.68%

(0.12%)

0.50%

(2.82%)

0.68%

0.68%

0.68%

0.68%

0.68%



Mar

0.15%

0.93%

6.79%

8.24%

6.59%

8.24%

8.24%

8.24%

8.24%

8.24%



Apr

0.14%

0.41%

0.39%

1.73%

1.89%

1.73%

1.73%

1.73%

1.73%

1.73%



May

0.15%

0.08%

1.80%

1.81%

0.27%

0.27%

0.27%

1.81%

0.08%

0.27%



Jun

0.15%

1.80%

0.26%

(0.13%)

(3.33%)

0.26%

(0.13%)

(0.13%)

1.80%

0.26%



YTD

0.93%

5.50%

3.87%

2.71%

(3.44%)

11.68%

11.24%

12.95%

13.18%

13.12%



Looks like SIM really made out in June. It is now in the lead. All our methods are doing well this year compared to the five TSP funds. Let's see if the second half of the year is as profitable as the first half was.

[Cactus]

Well, it looks like the S Fund is our winner for July. That being the case, the following IFT's will take place before noon eastern tomorrow, Jul 29, 2016. That will put you in the new fund on Monday for August.



•LMBF-1

Changes from the F Fund to the S Fund



•LMBF-1 SIM

SIM Remains in the F Fund through October



•LMBF-1 C>S

Changes from the F Fund to the S Fund



•LMBF-1 CI>S

Changes from the F Fund to the S Fund



•LMBF-1 G>F

Changes from the F Fund to the S Fund

[Cactus]

Here is the monthly return as of 7/28/16:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



28-Jul-16

0.11%

0.37%

3.52%

5.06%

3.15%



So the S Fund is indeed the winner for July.

[Cactus]

Here is the monthly return as of 8/30/16:


Date

G Fund

F Fund

C Fund

S Fund

I Fund



30-Aug-16

0.12%

(0.12%)

0.36%

1.12%

0.28%



The S Fund is the winner for August so all our methods stay where they are at for another month.

[Cactus]

Here is the monthly return as of 9/29/2016.



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Sep-2016
0.13%
0.20%
(0.77%)
0.01%
0.92%


The best fund is I so the following IFTs take place before noon eastern tomorrow, 9/30/2016:


LMBF-1 Changes from the S Fund to the I Fund
LMBF-1 SIM Remains in the F Fund till November
LMBF-1 C>S Changes from the S Fund to the I Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the S Fund to the I Fund

[Cactus]

Here are the returns through the 3rd Quarter of the year:




G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.19%
1.49%
(4.96%)

(8.72%)
(5.62%)
0.19%
0.19%
0.19%
0.19%
1.49%


Feb
0.15%
0.68%
(0.12%)
0.50%
(2.82%)

0.68%
0.68%
0.68%
0.68%
0.68%


Mar
0.15%
0.93%
6.79%
8.24%
6.59%
8.24%
8.24%
8.24%
8.24%
8.24%


Apr
0.14%
0.41%
0.39%
1.73%
1.89%
1.73%
1.73%
1.73%
1.73%
1.73%


May
0.15%
0.08%
1.80%
1.81%
0.27%
0.27%
0.27%
1.81%
0.08%
0.27%


Jun
0.15%
1.80%
0.26%
(0.13%)

(3.33%)
0.26%
(0.13%)

(0.13%)
1.80%
0.26%


Jul
0.13%
0.64%
3.69%
5.40%
5.07%
0.64%
0.64%
0.64%
0.64%
0.64%


Aug
0.13%
(0.11%)

0.14%
0.80%
0.08%
0.80%
0.80%
0.80%
(0.11%)
0.80%


Sep
0.13%
(0.04%)
0.02%
0.90%
1.24%
0.90%
0.90%
0.90%
(0.04%)
0.90%


YTD
1.32%
6.01%
7.87%
10.11%
2.80%
14.31%
13.86%
15.61%
13.72%
15.79%


Looks like SIM has fallen from first to last among our methods, but all our methods are doing well compared to the five TSP funds. Looks loke this was the year for LMBF-1.

[Cactus]

Here is the monthly return as of 10/28/2016:



Date
G FUND
F FUND
C FUND
S FUND
I FUND


28-Oct-2016
0.12%
(0.82%)

(1.81%)
(4.25%)
(2.05%)


Unfortunately the G Fund was the only one positive for the month making it the de facto winner in October. That means the following IFTs take place before noon Monday, 31-Oct-16.


LMBF-1 Changes from the I Fund to the G Fund
LMBF-1 SIM Changes from the F Fund to the G Fund
LMBF-1 C>S Changes from the I Fund to the G Fund
LMBF-1 CI>S Changes from the S Fund to the G Fund
LMBF-1 G>F Changes from the I Fund to the F Fund

[offroad]

have not been watching this and will need to. This is a pretty interesting method. Anything happen all month for this in November?

[Cactus]

Not much is happening in November since none of these methods are in the market. Most of them are in the G Fund so they are just ploding along.



Year to Date
LMBF-1
C>S
CI>S
SIM
G>F


21-Nov-16

12.11%
11.67
11.27
13%
10.78%


LMBF-1 G>F usually does well in these bail to safety moves but not this time. It was in the lead last month. Since the election it is falling like a rock with the F Fund as investments continue to rotate out of bonds.



November

G Fund

F Fund

C Fund

S Fund

I Fund



21-Nov-16

0.11%

(2.34%)

3.61%

7.69%

(2.28%)



As it stands today the S Fund is way in the lead and could be the LMBF for December. That decision will be based on the closing value of our funds next Tuesday, Nov 29.

All in all these methods have done well for themselves all year. That's good because they have a lot to make for from last year.

[offroad]

reward favors the bold. aka S fund holders.

[Cactus]

Here is the monthly return as of 29-Nov-2016.



Date

G Fund

F Fund

C Fund

S Fund

I Fund



29-Nov-2016

0.15%

(2.08%)

3.96%

8.22%

(1.87%)



The best fund is S so the following IFTs take place before noon today, 30-Nov-2016:

•LMBF-1 Changes from the G Fund to the S Fund
•LMBF-1 SIM Changes from the G Fund to the S Fund
•LMBF-1 C>S Changes from the G Fund to the S Fund
•LMBF-1 CI>S Changes from the G Fund to the S Fund
•LMBF-1 G>F Changes from the F Fund to the S Fund

[Cactus]

Here are the returns through November:



G
FC
S
I
LMBF-1
C>S
CI>SSIM
G>F

Jan
0.19%
1.49%
(4.96%)
(8.72%)

(5.62%)0.19%

0.19% 0.19% 0.19% 1.49%


Feb
0.15%

0.68% (0.12%)

0.50%(2.82%)
0.68%0.68%0.68%0.68%

0.68%




Mar
0.15%
0.93%

6.79%8.24%6.59%8.24%
8.24%8.24%8.24%8.24%



Apr
0.14%
0.41%

0.39%1.73%1.89%1.73%
1.73%1.73%1.73%1.73%



May
0.15%
0.08%

1.80%1.81%0.27%0.27%
0.27%1.81%0.08%0.27%



Jun
0.15%
1.80%

0.26%(0.13%)
(3.33%)
0.26%(0.13%)
(0.13%)1.80%0.26%



Jul
0.13%
0.64%

3.69%5.40%5.07%
0.64%0.64%0.64%0.64%0.64%



Aug
0.13%

(0.11%)0.14%
0.80%
0.08%

0.80%
0.80%
0.80%
(0.11%)0.80%



Sep
0.13%

(0.04%)0.02%
0.90%
1.24%

0.90%
0.90%
0.90%
(0.04%)0.90%



JOct
0.14%
(0.74%)(1.82%)
(3.86%)(2.03%)
(2.03%)(2.03%)
(3.86%)
(0.74%)(2.03%)




Nov
0.16%

(2.35%)
3.71%7.95%
(1.99%)
0.16%0.16%0.16%0.16%
(2.35%)



YTD
1.62%
2.75%
9.84%14.28%
(1.29%)
12.16%11.72%11.32%13.05%
10.76%



Looks like equities bounced back while we were in safety mode. Ouch, that happens sometimes with these methods. You got to learn to accept it if you want to follow these systems.

G>F really got burned in the F Fund this time round putting it in last place amoung our methods. It usually works out for the better but not this time round.

SIM has done well for itself this year and leads all our methods. All our methods have done well this year and are beating all the TSP Funds except for the S Fund.

[Cactus]

Here are the monthly returns as of Dec 29, 2016:



Date
G FUND
F FUND
C FUND
S FUND
I FUND


29-Dec-2016
0.19%
(0.09%)

2.45%
2.18%
2.91%



The best fund is I so the following IFTs take place by noon eastern tomorrow, Dec 30, 2016.


LMBF-1 Changes from the S Fund to the I Fund
LMBF-1 SIM Changes from the S Fund to the I Fund
LMBF-1 C>S Changes from the S Fund to the I Fund
LMBF-1 CI>S Remains in the S Fund
LMBF-1 G>F Changes from the S Fund to the I Fund

[Cactus]

OK, 2016 is behind us, so here are the returns for the last year:



G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Jan
0.19%
1.49%
(4.96%)

(8.72%)
(5.62%)
0.19%
0.19%
0.19%
0.19%
1.49%


Feb
0.15%
0.68%
(0.12%)
0.50%
(2.82%)
0.68%
0.68%
0.68%
0.68%
0.68%


Mar
0.15%
0.93%
6.79%
8.24%
6.59%
8.24%
8.24%
8.24%
8.24%
8.24%


Apr
0.14%
0.41%
0.39%
1.73%
1.89%
1.73%
1.73%
1.73%
1.73%
1.73%


May
0.15%
0.08%
1.80%
1.81%
0.27%
0.27%
0.27%
1.81%
0.08%
0.27%


Jun
0.15%
1.80%
0.26%
(0.13%)

(3.33%)
0.26%
(0.13%)

(0.13%)
1.80%
0.26%


Jul
0.13%
0.64%
3.69%
5.40%
5.07%
0.64%
0.64%
0.64%
0.64%
0.64%


Aug
0.13%
(0.11%)
0.14%
0.80%
0.08%
0.80%
0.80%
0.80%
(0.11%)

0.80%


Sep
0.13%
(0.04%)
0.02%
0.90%
1.24%
0.90%
0.90%
0.90%
(0.04%)

0.90%


Oct
0.14%
(0.74%)

(1.82%)
(3.86%)
(2.03%)
(2.03%)
(2.03%)
(3.86%)
(0.74%)
(2.03%)


Nov
0.16%
(2.35%)

3.71%
7.95%
(1.99%)
0.16%
0.16%
0.16%
0.16%
(2.35%)


Dec
0.20%
0.16%
1.98%
1.81%
3.44%
1.81%
1.81%
1.81%
1.81%
1.81%


YTD
1.82%
2.91%
12.01%
16.35%
2.10%
14.19%
13.74%
13.34%
15.10%
12.77%


It looks like our methods did quite well last year. They all beat the C Fund and came in second to the S Fund which was last years winner.

As for comparison among themselves, LMBF-1 SIM was the clear winner. LMBF-1 G>F came in last due to being in the F Fund in November which was clearly not the place to be. Betting against the G Fund didn't pay off for it that month. Speaking about betting against LMBF-1, the LMBF-1 C>S & LMBF-1 CI>S methods also did worse betting against LMBF-1 this year. On average they do better but not this year.

[Cactus]

Ok, for you people who like numbers, here are the last 3, 5, & 10 year stats for our returns:



3 Year (2014 - 16)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.06%
3.52%
9.08%
7.08%
(1.23%)

(0.38%)
1.45%
1.92%
3.53%
(0.05%)


Standard Deviation
0.20%
2.41%
5.44%
7.88%
3.05%
11.12%
10.24%
9.25%
8.87%
10.07%


Annualized Return
2.06%
3.49%
8.94%
6.78%
(1.27%)

(0.99%)
0.93%
1.49%
3.16%
(0.55%)


Total Return
6.30%
10.84%
29.31%
21.76%
(3.77%)

(2.94%)
2.80%
4.55%
9.77%
(1.64%)





5 Year (2012 - 16)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
1.91%
2.64%
15.15%
15.63%
7.41%
6.95%
9.32%
10.60%
8.66%
7.31%


Standard Deviation
0.28%
2.85%
9.99%
13.64%
10.90%
12.94%
13.39%
12.84%
9.40%
12.37%


Annualized Return
1.91%
2.60%
14.73%
14.84%
6.87%
6.14%
8.48%
9.83%
8.24%
6.58%


Total Return
9.90%
13.71%
98.79%
99.74%
39.41%
34.68%
50.26%
59.79%
48.56%
37.49%





10 Year (07 - 16)
G
F
C
S
I
LMBF-1
C>S
CI>S
SIM
G>F


Mean
2.64%
4.63%
8.82%
10.58%
3.22%
7.92%
10.28%
11.85%
10.26%
8.51%


Standard Deviation
0.97%
2.90%
17.92%
21.45%
19.50%
11.69%
12.91%
14.01%
9.65%
11.35%


Annualized Return
2.63%
4.59%
7.00%
8.13%
1.02%
7.25%
9.49%
10.97%
9.84%
7.89%


Total Return
29.68%
56.69%
96.75%
118.54%
10.70%
101.35%
147.71%
183.27%
155.59%
113.61%



Well, not much to say here. They look a lot like last years comparison. Our methods only win in the 10 Year average.