Old Returns

Our service began in 2006. Before that, we spent several years developing our initial TSP strategy. Since then, we’ve tested countless strategies and seen almost every type of market condition.

Below is our performance from 2006-2011.

Year TSPKey G Fund F Fund C Fund S Fund I Fund 60/40*
2006 28.61 4.93 4.40 15.79 15.30 26.19 13.35
2007 -4.57 4.87 7.09 5.54 5.49 11.43 7.28
2008 -20.54 3.75 5.45 -36.99 -38.32 -42.43 -22.65
2009 34.67 2.97 5.99 26.68 34.85 30.04 20.83
2010 0.59 2.81 6.71 15.06 29.06 7.94 12.05
2011 -4.92 2.45 6.25 2.11 -3.38 -11.81 0.27
CAGR** 3.86 3.63 6.68 2.30 3.95 0.06 4.25

* 60/40 = 60% stock fund / 40% bond fund (20% in G, F, C, S and I Fund)
** CAGR = Compound Annual Growth Rate

We outperformed most of the TSP Funds. The F Fund had the highest return. It’s also the least popular TSP fund according to an audit. So in reality, very few TSP investors achieved the F Fund’s 6.68% annualized return in this period.

The S Fund had a slightly higher return than we did. But it had a much larger loss in 2008.

Our overall performance was quite good from 2006-2009. But after disappointing results in 2010-2011, we recognized some problems with our approach.

It relied on relationships between stocks, interest rates and commodities. These relationships produced successful timing indicators for several decades. They continued working well in 2006 when we started our service.

But the world changed during the financial crisis of 2008-2009. Our indicators didn’t perform the same way. Other analysts and money managers noted the same thing.

In 2011, we tested many other systems. Very few performed well in the long-term. In fact, only two concepts–trend and seasonality–stood the test of time and changing market conditions. So in 2012-2013, we simplified our strategy by only analyzing trend and seasonality.

Year TSPKey G Fund F Fund C Fund S Fund I Fund 60/40
2012 16.41 1.47 4.29 16.07 18.57 18.62 12.74
2013 20.72 1.89 -1.68 32.45 38.35 22.13 17.81
CAGR 18.55 1.69 1.26 23.99 28.06 20.37 14.84

** CAGR = Compound Annual Growth Rate

We had two goals: (1) get most of the stock market’s gain during bull markets (2) limit exposure to stocks during bear markets.

We met our first goal by getting double-digit returns in a strong bull market. There were no significant losses, so we couldn’t test its bear market performance.

In 2014, we simplified our strategy even further. We decided to follow the market’s trend. Many studies show the effectiveness of trend-following or “momentum” investing. To determine the trend, we used a medium-term time frame that worked very well from 1997-2013.

In 2014-2015, the markets had a lot of back-and-forth movement, or whipsawing. For example, the C Fund might be very strong for a few months. Then it would suddenly weaken while the F Fund started to rally.

This movement was often just “noise,” not a long-term trend change. But noise can prompt you to switch funds too often, hurting performance.

Year TSPKey G Fund F Fund C Fund S Fund I Fund 60/40
2014 2.59 2.31 6.73 13.78 7.80 -5.27 5.13
2015 -14.32 2.04 0.91 1.46 -2.92 -0.51 0.56
CAGR -6.24 2.18 3.77 7.44 2.30 -2.92 2.82

** CAGR = Compound Annual Growth Rate

After much research, we concluded that our 2012-2013 strategy was superior. Combining trend with seasonality gave better and more stable returns. We also made some improvements to our trend indicator.

This is the core of our current strategy.