Percentage Theory and Calculating the EFA and the I FUND

[Frizz B.]

Hello everyone, I am back. It has been almost three years.

If you knew me before, I am a numbers man. I change my allocations according to my calculations, not what they say about the market. I now use a percentage theory, which I will explain later.

So here are my questions.

Question #1

Has anyone figured out how to explain why the EFA and the I fund does not give the same percentages at the end of the day. Ex. Oct 26th EFA went from 7089 to 7040 (-.69%), yet the I Fund went from 20.98 to 21.01 (+.14%)

Question #2

Has anyone figured out how to use this information to use as an advantage in changing your allocations in the I fund.

FrizzB.

[pyriel]

Frizz, Welcome back. I moved your post to the I fund since the questions you brought up is of importance to those who are trying to figure out the mystery of the I fund.

I can't wait for the answer!!!!!

Pyriel

[nnuut]

Hey, Frizz B. nice to have you back!:D
Norman

[mlk_man]

Hiya Frizz, how's that day trading going?

Are you sure EFA was down that day? I'm not seeing it: http://finance.yahoo.com/q/bc?s=EFA&t=5d

You also have to take into account the strength of the dollar. It fell pretty good that day. Down about .5%.

[fabijo]

Isn't the EAFE index calculated around noon EST, at the end of the day for the internationals? That is what the I Fund tracks.

EFA is an ETF that gets traded on American soil, so it continues to fluctuate with any currency movement, world news, or supply and demand all the way through 4pm EST. Also, EFA is meant to closely track the EAFE index by investing in a portfolio with roughly the same weights. EFA is not going to be the exact price of all the stocks it represents, but it will closely track the sum of their movements.

[tsptalk]

Welcome back Frizz B. There has been a lot of great work done by some members here on the mystery of the I fund. Here is one such thread...
http://www.tsptalk.com/mb/showthread.php?t=3111

[Frizz B.]

First, I will predict that the I fund will be down today, even though the EFA was up .33%.

[Frizz B.]

MLK, You were correct, I was off a day, it was Oct 27

27-Oct-06 70.40
26-Oct-06 70.89
down .49 or (-.69%), yet the I Fund went from 20.98 to 21.01 (+.14%)

My appolgies,

[Frizz B.]

First take the EFA (yesterday close (70.20) and divide the number by 3.367183324425, I came up with this number by taking an average of 30 days of the EFA and the I fund diffential, and kept on changing the # until I was happy with this number ), this will give you 20.85. This is the actual close Itha I use my I fund close. Now take the 20.85 and subtract it from the actual I fund close (20.92). It comes up a -7. This tells me that the I fund is 7 pts higher than it should be.

If you use this calculation and go back through August 1st, you will get a difference from -13 to positive 11.

Good examples I fund EFA /by # +, (-)
27-Oct-06 21.01 0.14% 7040 2091 -0.69% (10)
26-Oct-06 20.98 0.72% 7089 2105 0.77% 7
25-Oct-06 20.83 7035 2089
I fund EFA Div by # +, (-)
13-Oct-06 20.44 -0.39% 6905 2051 0.17% 7
12-Oct-06 20.52 0.93% 6893 2047 1.07% (5)
11-Oct-06 20.33 6820 2025 (8)
I fund EFA Div by # +, (-)
2-Oct-06 20.29 0.69% 6794 2018 0.28% (11)
29-Sep-06 20.15 0.00% 6775 2012 -0.22% (3)
28-Sep-06 20.15 6790 2017 2
I fund EFA Div by # +, (-)
20-Sep-06 19.90 0.30% 6701 1990 0.98% 0
19-Sep-06 19.84 -0.15% 6636 1971 -0.93% (13)
18-Sep-06 19.87 6698 1989 2

[Frizz B.]

Well, it did not lose today, but only gained 3 pts, .14%, 4 pts less than the EFA.

[Frizz B.]

My MY, my theory holds true, big turnaround, now instead of being 5 pts ahead, I is 20.89 to EFA 20.84, now it is 11pts behind I is 21.04 and my EFA is 21.15. Tommorrow should be a good day to sell shares in the I fund.

[Frizz B.]

Well, Well

The I fund went from 11pts behind, I is 21.04 and my EFA is 21.15.
Now the I fund is at 21.28 and my EFA is at 21.17
The I fund is 11 points higher than it should be and tommorrow will be a nice day to buy.

[VirginiaBob]

Keep it up Frizz B!! Excellent work.

[350zCommTech]

Well, Well

The I fund went from 11pts behind, I is 21.04 and my EFA is 21.15.
Now the I fund is at 21.28 and my EFA is at 21.17
The I fund is 11 points higher than it should be and tommorrow will be a nice day to buy.


IMHO, I think you might be looking for something that's not there, but I'm very much intrigued by your work. Keep it up.

[Frizz B.]

Believe me, it is there. I have been calculating this since Jan 1, 2006. Take a look at my chart. Try the calculations and see for yourself. Nothing is guarenteed. There are times when the differential is over the 10 mark and you get little change.

24 out of 27 times, 88.89% there is a change of 7 pt or higher
15 out of 27 times, 55.56% there is a change of 10 pt or higher
6 out of 27 times, 22.22% there is a change of 15 pt or higher
and
3 out of 27 times, 11.11% there is a change of 20 pt or higher
and there is
4 out of 27 times, 14.81% there is a change of 6 pt or lower, but never in the negative


DATE I FUND EFA DATE TURNAROUND
11/06/06 (11) 13 11/07/06 24
10/27/06 10 2 10/30/06 8
10/02/06 11 3 10/03/06 8
09/13/06 13 0 09/14/06 13
09/06/06 10 6 09/07/06 4
08/17/06 (4) 10 08/18/06 14
08/03/06 (11) 6 08/04/06 17
08/01/06 27 0 08/02/06 27
07/07/06 10 7 07/10/06 3
06/27/06 10 0 06/28/06 10
06/19/06 11 4 06/20/06 7
06/09/06 19 4 06/12/06 15
06/07/06 13 5 06/08/06 8
06/01/06 (13) (4) 06/02/06 9
05/23/06 21 (3) 05/24/06 24
05/14/06 12 1 05/15/06 11
05/12/06 12 1 05/15/06 11
05/11/06 15 12 05/12/06 3
05/05/06 (10) 0 05/06/06 10
05/01/06 11 (1) 05/02/06 12
04/04/06 (10) (9) 04/05/06 1
03/14/06 (10) (2) 03/15/06 8
03/10/06 (14) (5) 03/13/06 9
02/22/06 (11) 2 02/23/06 13
02/17/06 (10) (3) 02/21/06 7
01/30/06 (10) 0 01/31/06 10
01/11/06 (10) 7 01/12/06 17

[Frizz B.]

I could not find my account to make my changes so I am posting here.

G fund 92%
C fund 2%
S fund 2%
I fund 4%

[ATCJeff]

Here ya go Frizz.

http://www.tsptalk.com/mb/showthread.php?t=3484

[ayla]

First take the EFA (yesterday close (70.20) and divide the number by 3.367183324425, I came up with this number by taking an average of 30 days of the EFA and the I fund diffential, and kept on changing the # until I was happy with this number ),

Sounds very interesting. I was wondering if you have tried using a moving average of the EFA and I fund differential rather than a constant? Or maybe that is what you are already doing. It wasn't clear.

[Frizz B.]

Yes, I tried the 22 day, 50 day, 100 day averages, and I still watch it. When the market is up the way it is now, I stayed in the G fund. Now I try not to play anything less than 2 %.

What this calculation will do, it might give you an advantage is when to trade.
Today, the EFA was down around .6% at 9 am and with the -13 pts I felt it was a good time to get some stocks. Now the difference went from -13 to a +4. 17 pt swing.

[Locke]

The FVs are supposedly so ordinary folk dont use postdata(the data available to them)?

In all actuality, its a few guys at the top manipulating the returns to their benefit.

Who wouldn't?

[Frizz B.]

In my FrizzB account talk is my percentage chart. This is the chart I use to make my allocations. Although the I fund hit 21.28 my calculations on the EFA has only gone as high as 20.17. This is what I now use for the high of the I fund. For every 9 pts the EFA goes down, I can add 1 %.

[Frizz B.]

The EFA 21.02 is 6 pts lower than the I fund 21.08, not enough for me to make a change in my account. I think the I fund will lose pts today, but if it gains any more points it will be a good day to buy.

[Frizz B.]

Here is the differential between the EFA and the I fund with the calculations that I use, with the difference for each day. Notice that it has hit zero twice

11/17 0
11/16 (3)
11/15 (3)
11/14 0
11/13 6
11/10 2
11/9 3
11/8 (4)
11/7 11
11/6 (11)

[Frizz B.]

The I fund is a minus 5 pts to the EFA. EFA is at 21.09 to the I 31.04, and with the EFA starting up today, I believe that the I fund will make a good jump today. Hopefully it will pick up the 5 points and gain a couple. So I feel that it is a good day to take some off the table in this fund.

[Frizz B.]

My mistake,
I stated "The I fund is a minus 5 pts to the EFA. EFA is at 21.09 to the I 31.04, (actually 21.04) and with the EFA starting up today, I believe that the I fund will make a good jump today. Hopefully it will pick up the 5 points and gain a couple. So I feel that it is a good day to take some off the table in this fund.

The I fund did pick up the 4 pts and added one for 11/22, and now the I fund is at 21.31 and the EFA is at 21.17, (14 pts higher than what it should be).

If the EFA fund is down for Monday, it will be a great day to buy.
If the EFA fund is up for the day, it might be a good day to buy.

[Frizz B.]

At EFA time 11:30, I have 70.95, which in my calculations is 21.08, and with the I fund being 14 points higher at the close on Friday than the EFA (I=21.31, EFA=21.17), I am going to go a little higher on my percentage of the I fund. In my Percentage theory, I would go 6% at 21.08, but I went 10% on the I fund looking to take some off the table tommorrow if the I fund gives up the 14 points and hopefully gives up some extra points at close today. I am lookinng at an extra 4 to 10 point fall in the I fund.

[Frizz B.]

11/28/06 at 8:50 AM

At closing on the 27th EFA closed at 21.00 down .83% and the I fund closed at 21.16 down .70%.

Although the I fund went down, it picked up 2 more points on the EFA, it is now 16 points to high. At 11:50 AM, EFA time, the EFA was 21.07, (70.95) up .35%, but I still went from 10% to 12% on the I fund. I knew the I fund was 16 points to high and in my I fund theory I was hoping that the I fund would drop the 16 points and a little extra.

11/28/06 at 10:00 PM

HOLDING TRUE TO FORM

AT CLOSING BELL

EFA closed at 21.18 (71.33), a gain of .89%, and the I Fund closed at 21.12 a loss of .19%. The pendulum has swung again. The I fund went from a +16 to a –6 points, a swing of 22 points.

WHAT TO DO TOMMORROW
(11/29/2006)

If the EFA is up, I will take a little off the table, if the EFA is down, not sure what I will do. The EFA would have to be down over 1% for me to add funds to my account.

[Frizz B.]

11/29/06 at 5:39 AM

Tom’s comment in his market post this morning.

“The weakness in the dollar has been making headlines lately. I thought it was interesting that the I fund ended the day in the red.”

I was not surprised at all, I even bought more I fund shares. I have been charting the I fund vs the EFA. With the weakness in the dollar, the EFA did well, up .89%. Since I had the I fund 16 points to high, I felt that the I fund would drop in price, no matter what the EFA did for the day.

“With the dollar down 0.50% yesterday and the late rally in U.S. stocks, the I fund should get that loss back today in fair value alone” “

I hope this is true, with the I fund now at a –6, and if the EFA has a good day, the I fund, HOPEFULLY will have a good jump today.

[Frizz B.]

11/29/06 at 8:30 AM

Tom was correct on the EFA it is now at 72.13=21.42, this is a good day. Hopefully it will also add the 6 pts and the I fund will have a tremendous jump. Just in case it does not give back the 6 points, I am not going to take everything out of the I fund, I will leave 3 % there

[Frizz B.]

11/29/06 at 6:33 PM

The pendulum has swung full circle. At close today the EFA and the I fund both equalled out at 21.42. The I fund did pick up the 6 points and we are at groung zero.

[mario]

11/29/06 at 6:33 PM

The pendulum has swung full circle. At close today the EFA and the I fund both equalled out at 21.42. The I fund did pick up the 6 points and we are at groung zero.

Hi Friz I have been watching this. Did you change your constant?

mario

[VirginiaBob]

Frizz,

I just did a quick backcheck on your ideas although i used a 10 day MA for my 3.xxx factor and doing the switch at 3 cents rather than 11 cents, and here are the results:

24-Jun-2005 through 16-Oct-2006:

100% I-fund Returns: 39%
50% I-fund/50% C Fund: 16%
Switching between C and I when I is above or below EFA fund by 3 cents: 28%

Not sure what this indicates.

[Frizz B.]

Mario
I did not change my constant it is still 3.367183324425
EFA at close yesterday was 72.14
divided by 3.367183324425 equals 21.42 which was the close of the I fund.

[Frizz B.]

VirginiaBob,

It is nice to hear from someone who might think that this is a helpful chart. Not sure what it might mean but any calculations might help you decide what you might do in the future. I use the differential only as a guide. I use the above 10 points to add or subtract my % that I will move the I fund for the day.

I will use my comment of 11/29/06 at 5:39 AM as my example

11/29/06 at 5:39 AM

(Tom’s comment in his market post this morning.

“The weakness in the dollar has been making headlines lately. I thought it was interesting that the I fund ended the day in the red.”

I was not surprised at all, I even bought more I fund shares. I have been charting the I fund vs the EFA. With the weakness in the dollar, the EFA did well, up .89%. Since I had the I fund 16 points to high, I felt that the I fund would drop in price, no matter what the EFA did for the day.)

and although the EFA was up at the 9 am posting time, I still added more to my I fund account. The EFA gained .88% but the I fund lost .19%, and the I fund actually became a –6 pts, this is what I was hoping for. With the EFA up the next day I took almost all out of the I fund.

[Frizz B.]

In my charts, when the EFA and the I fund equalled each other, and the EFA (72.37=21.49, a +.30%) was up for the day, the EFA gained more points than the I fund, (4 out of 5 times, the 5th time, it did not change). So I am taking 1 % out of my I fund, which is now at 2%.

[Frizz B.]

11/30/06 at 7:10 PM

Now 4 of 6 times, the I fund out gained the EFA by 4 pts. If the EFA is up again tommorrow, time to take it all out. If the EFA is down, will have to wait and see.

[Frizz B.]

12/01/2006 AT 8:40 AM

Stocks are down and the I fund is 4 points higher than the EFA, not sure which way it will go, but I will add 2 % to my I fund

[Frizz B.]

12/05/2006
I fund went from a +5 to a –2 yesterday, with the EFA might be a good day to take a little off the I fund.

[Frizz B.]

12/07/06 AT 8:50 AM

This is what makes this tuff, although the EFA is up .60%, the I fund is 8 pts higher at yesterdays close, than what it should be, and that is from a –6 on 12/5/06. Do you take money off the table, or will the I fund compensate and go down even though the EFA is up. Quite often the I fund will go in the same direction for 2 to 3 days, so I am going to take the money and run.

[Frizz B.]

It worked out well, I fund stayed 8pt higher and although the EFA is up .19% today, I will add to my I fund. I am hoping that the I fund will follow true to form and make a correction of the 8 pts and go into the negative. If it does not today, I will add more on Monday

[Frizz B.]

12/08/06 AT 4:30 PM

Is there anyone out there who still does not believe.

My earlier statement:

"I am hoping that the I fund will follow true to form and make a correction of the 8 pts and go into the negative."

I fund came true to form, went from a +8 to a -1.

[FundSurfer]

I looked at this type estimate a couple years ago and it has merit under some conditions. I've seen the market dive in a different direction than expected and give FV that'll kill ya. I quit tracking it. Your not swinging your full fund in and out like I was so when it happens it probably won't hurt as bad. I think you can make as good an estimate before noon with fresh data rather than yesterdays momentum.

[Frizz B.]

12/11/2006

Quote by FundSurfer

"Your not swinging your full fund in and out like I was so when it happens it probably won't hurt as bad. I think you can make as good an estimate before noon with fresh data rather than yesterdays momentum."

I disagree to a point. The fresh data is good to know for long term, but I am talking about day to day, when there is a big difference (+ or – 10 pts) between the two funds.

I don’t use any fresh data on any of the funds, I only use my numbers and I have done quite well. To many times, when the EFA was up or down for the day, the I fund did the opposite.

I only use this information as a guide. In my percentage theory, I only add or subtract a percentage of each fund in according to where the data is at 9am. Approxiametely every 11 points the EFA, 9 pts. for Wilsire 4500 and 10pts for the S&P 500, I will add 1% to their fund. I make trades almost every day.

This is my example for the I fund:

On 11/24 the I fund was a +14 points, and at that time the I fund was at its high of 21.31. The EFA fund was down less than the .5% so I should of only added 1% to my I fund, but I added 10%. At the end of the day on 11/27 the I fund dropped 15 pt but still gained 2 points on the EFA to a +16. Although the EFA was up on 11/28, I still added another 2% to my I fund because of the +16 pts. When the market closed the EFA was up .83% but the I fund dropped another 4 pts. Now the I fund was a –6pts. I am not always this lucky, but it happens quite often. 11/29 EFA had a nice gain at 9am and I was hoping to take the gain and I dropped my I fund to 3%. At closing the EFA gained 1.11% and the I fund gained 1.42% and we were at a zero pt diff.

[Frizz B.]

12/15 AT 8:55 AM

The I fund is 8 pts on the high side, with the EFA down at this point. I should only be putting 2 % into the I fund, but since it is 8 pts over, I put 10 % in the I fund hoping for a good drop and then take it back in the next couple of days.

[VirginiaBob]

Frizz B.,

I concur with your prediction today.

[350zCommTech]

12/15 AT 8:55 AM

The I fund is 8 pts on the high side, with the EFA down at this point. I should only be putting 2 % into the I fund, but since it is 8 pts over, I put 10 % in the I fund hoping for a good drop and then take it back in the next couple of days.

It's only going to drop 3 cents today unless there's a -FV.

[350zCommTech]

It's only going to drop 3 cents today unless there's a -FV.

Yikes! Frizz might be getting what he was hoping for.

[Frizz B.]

350zcommTech,

I am now curious in the FV, you were right on on the -3 pts, KOOL!!!!

Do you have the link for this information.

The I fund went down 3 points and still gained a point to 9. I will probably be adding another 5% today to my I fund.

[350zCommTech]

350zcommTech,

I am now curious in the FV, you were right on on the -3 pts, KOOL!!!!

Do you have the link for this information.

The I fund went down 3 points and still gained a point to 9. I will probably be adding another 5% today to my I fund.

I've been calculating and posting the I fund gains/losses int hte I fund thread for a month or two.

For FV, read this: http://www.tsptalk.com/mb/showthread.php?t=3111

[Frizz B.]

12/19/06 at 8:50

Thanks 350

The EFA is even at this point, but the I fund is still 9 pts to high. I am raising my I fund to 15%

[Frizz B.]

11/20 at 5:48 AM

I do not know to much about the FV, but I really do like my calculations. It usually takes a day or two to make corrections, and when it does, it gives you extra. The I fund went from a +8 to a +9 and even though the EFA gained a +.44% the I fund lost 5 pts, just what I was hoping for. Now the I fund is a negative 6 pts.

Now the quandry, On the 15th the I fund was a +8 and still gained a pt to +9. Now the I fund is a –6, there is a good chance that it will lose some more groung before the correction. Will have to wait till almost 9 am to make a decision on whether I will take some out or not.

[350zCommTech]

11/20 at 5:48 AM

I do not know to much about the FV, but I really do like my calculations. It usually takes a day or two to make corrections, and when it does, it gives you extra. The I fund went from a +8 to a +9 and even though the EFA gained a +.44% the I fund lost 5 pts, just what I was hoping for. Now the I fund is a negative 6 pts.

Now the quandry, On the 15th the I fund was a +8 and still gained a pt to +9. Now the I fund is a –6, there is a good chance that it will lose some more groung before the correction. Will have to wait till almost 9 am to make a decision on whether I will take some out or not.

I have the I fund currently up .829% or 18 cents. Just the facts. Not trying to influence your decision.:)

[Frizz B.]

Thanks, that helps, this is my originall thoughts

12/20 at 8:50

With the I fund at a negative 6 pts and the EFA .22% up, I am taking 5% back off the table. I would like to take more, but if history repeats itself, it is a good possibility the I fund will not take back the t6 pts until Friday.

With the new information, I will take 8 % off the table

[Frizz B.]

350, You are now my idol, I am definetely going to look into the FV. I was looking for a correction, but not going from a -6 to a +12. Will definately be looking to add the % I took out plus add a couple of more

Thanks
FrizzB.

[Frizz B.]

12/26/06

The EFA has change to the Adjusted close, so here is my new numbers, as close of December 22 and what it is at 8:55 am this morning. The I fund is still a +7 pts so I am adding another 5 % to my I fund.

7238
3.297920
2195

[Frizz B.]

12/27/06

EFA is doing quite well, and this is what is tough for me. Although the EFA is up .86% which is up 18 pt. The I fund has not has it turnaround, it has gone from a +12 to +10, +7 and yesterday to a +4. History shows that it will go into the negative soon. So the EFA is up 18 pts. The I fund might not do as well. I am still going to take a gain.

[Frizz B.]

11/28 at 8:50

My comment for yesterday held true:

“The I fund has not has it turnaround, it has gone from a +12 to +10, +7 and yesterday to a +4. History shows that it will go into the negative soon. So the EFA is up 18 pts. The I fund might not do as well. I am still going to take a gain.”

Well the I fund did make a gain of 19 pts. .86%, but the EFA gained 27 pts. 1.23 % and now the I fund is a –3 pts. With the EFA down 73.15 -14% or -3 pts, I am looking for the I fund to continue the slide and lose a couple of extra points. History doesn’t give me much help, it goes both ways. I am only going to add 3% to my I fund account and see where we end up at the end of the day.

[Frizz B.]

Simply amazing, the I fund went from a plus 17 to a plus 34 vs the EFA fund. I am glad I did buy a lot of stock into the I fund. I went back till Jan of last year and this has never happened. The biggest jump went from a +14 to a +16 and then the next day was a -6. The I fund has 34 points to give away. I have no doubt that it will also give more than the 34 pts. How long this will take and how far this will go, not sure. I went 10% in the I fund today and will probably move it to 25% for tommorrow. Will have to wait and see after that.

[Frizz B.]

Although the EFA is up today 1.05% I am still going to add another 5% to my I fund. Right now the EFA is at 22.56 and the I fund closed at 22.67. With the 34 pts differential at the start of the day, my only choice is to add to the I fund.