tsptalk
02-20-2004, 02:33 PM
A reprint of ealier post from old message board...
Posted by Shawn (mailto:cortezj29@yahoo.com)on February 13, 2004 at 11:48:38:
This is an analysis of the increase or decline in the S Fund from the previous trading day versus the increase or decline in the I fund from the previous trading day. The comparison is staggered taking the result from the S Fund and placing it against the result from the I Fund for the next trading date. For example, the S Fund from 2/1/04 versus the I fund from 2/2/04. For the 28 trading days comparable for 2004, there was a 71% correlation of either a positive or negative swing in the two funds. Specifically, there were 20 days where the correlation was in the same direction (13 of which were an increase in value and 7 of which were a decrease in value). Of the 8 days that the funds had a divergence, 6 of them involved a positive gain for the S Fund with a next trading day negative gain for the I Fund. Of 7 trading days where the S Fund increased by .10 cents or more, 5 resulted in a positive gain for the I Fund with an average of .09 cents. The two trading days where there was a negative gain for the I Fund averaged a loss of .03 cents. Based on this one would expect the result for the 2/13 I Fund to be negative given the -.06 cents posted for the S Fund on 2/12. The market for today (2/13) is down so it would be wise to be out of the I Fund before noon EST (at least 71% of the time).
I am considering tracking the result back 6 months for a better statistical foundation. I may also later compare the C Fund to the I Fund. Thoughts? Comments?
Posted by Shawn (mailto:cortezj29@yahoo.com)on February 13, 2004 at 11:48:38:
This is an analysis of the increase or decline in the S Fund from the previous trading day versus the increase or decline in the I fund from the previous trading day. The comparison is staggered taking the result from the S Fund and placing it against the result from the I Fund for the next trading date. For example, the S Fund from 2/1/04 versus the I fund from 2/2/04. For the 28 trading days comparable for 2004, there was a 71% correlation of either a positive or negative swing in the two funds. Specifically, there were 20 days where the correlation was in the same direction (13 of which were an increase in value and 7 of which were a decrease in value). Of the 8 days that the funds had a divergence, 6 of them involved a positive gain for the S Fund with a next trading day negative gain for the I Fund. Of 7 trading days where the S Fund increased by .10 cents or more, 5 resulted in a positive gain for the I Fund with an average of .09 cents. The two trading days where there was a negative gain for the I Fund averaged a loss of .03 cents. Based on this one would expect the result for the 2/13 I Fund to be negative given the -.06 cents posted for the S Fund on 2/12. The market for today (2/13) is down so it would be wise to be out of the I Fund before noon EST (at least 71% of the time).
I am considering tracking the result back 6 months for a better statistical foundation. I may also later compare the C Fund to the I Fund. Thoughts? Comments?