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-ter...tml#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-ter...tml#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:
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.
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%
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.
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