Thrift Savings Plan (TSP) Returns as of June, 2013

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Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Dr_McGarvey » Sat Jun 29, 2013 6:17 am

The latest gathering of my summary tables and charts may be seen at:

· http://www.flickr.com/photos/ghost_of_a ... 479558116/

(I realize this is the same URL I used in my previous messages -- as before, I've replaced the slides there with the most current data.)

My rough impressions of the several intervals and results here go something like the following:

(1) With the exception of the G-Fund, every other TSP Fund suffered one-month losses from May - June 2013.

(2) for equities (C-, S- and I-Funds) it was a bad month, and better returns for the quarter, 6-, 9-, and 12-month intervals. Whether the short-term hit is a temporary lull or a "point of inflection" cannot be determined at this point.

(3) on the bond side, we continue to putter along weakly in the G-Fund with a less-than-scintillating one-year return of 1.44% improvement. On a sour note, recent widespread declines in bond markets have produced losses for the F-Fund regardless of interval.

(4) Ignoring the one-term losses, the L-Funds continue to display some "relative worth" -- especially the longer-term L 2050 Fund with its 22.03% one-year improvement, likely thanks to the relative weight of equities here.

(5) I've developed a neat 5th-order regression model of the Net Asset Values of the G-Fund with an astounding R² of .9998. It definitely shows the asymptotic "creep" and pitiful returns associated with the fund. It also suggests that things might not improve here. The chart I developed also shows how much better (though less stable) the F-Fund has been doing for quite a while now, despite the rather sharp drop in the last month..


I'll probably keep posting these updates on a quarterly basis. Please feel free to forward this message to those you think might have an interest in this information.
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby gnosis » Sat Jun 29, 2013 6:26 am

Very nice graphs and data. Loved this Saturday morning presentation, thank you! :beer
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby jstat » Sat Jun 29, 2013 7:36 am

From the TSP web site

The G Fund interest rate calculation is based on the weighted average yield of all outstanding Treasury notes and bonds with 4 or more years to maturity. As a result, participants who invest in the G Fund are rewarded with a long-term rate on what is essentially a short-term security. Generally, long-term interest rates are higher than short-term rates.


What do you mean by a "5th order regression model"? Won't the current yields on "all outstanding Treasury notes and bonds with 4 or more years to maturity" predict the current yield?
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Dr_McGarvey » Sat Jun 29, 2013 8:39 am

jstat wrote:From the TSP web site

The G Fund interest rate calculation is based on the weighted average yield of all outstanding Treasury notes and bonds with 4 or more years to maturity. As a result, participants who invest in the G Fund are rewarded with a long-term rate on what is essentially a short-term security. Generally, long-term interest rates are higher than short-term rates.


What do you mean by a "5th order regression model"? Won't the current yields on "all outstanding Treasury notes and bonds with 4 or more years to maturity" predict the current yield?


I simply tracked the 2,500+ historic daily Net Asset Values of the TSP G-Fund in a spreadsheet, and tested a few quadratic regression equations for fit. The basis might be as you describe, jstat, but I was simply impressed with how well "real" data could be modeled. For those who are interested in the long-term behavior of the G-Fund, I thought someone might find it of use.
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby stan1 » Sat Jun 29, 2013 8:44 am

There should actually be a slight uptick in the G Fund rate of return for June and July. Annual yield should now be up to 1.75% (based on the June 27 interest rate for participant loans).
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby LRonHalfelven » Sat Jun 29, 2013 8:56 am

Given the smoothness of the actual G Fund curve, it's not surprising that a fifth-order polynomial would give a great fit. However, the extrapolated portion of the curve should not be taken for a forecast; polynomial curve-fitting isn't any good at prediction. (You'd probably get a good illustration of this by re-fitting the curve using only data through, say, the end of 2008, and then seeing how well, or poorly, the extrapolated curves fit the real prices between then and now.)
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Info_Hound » Sat Jun 29, 2013 9:10 am

Thank you! I look forward to your analysis each quarter. :mrgreen:
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Dr_McGarvey » Sat Jun 29, 2013 9:14 am

As another measure of changes in the G-Fund, one I like to watch is the time required for its NAV to advance by a penny. Some time ago, only a week was typically required; more recently, it required almost three weeks to make that distance. Daily changes had been on the order of .0005, but indeed, a "slight uptick" is under way, as this has "improved" to .0006-.0007 typical daily increases.
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Professor Emeritus » Sat Jun 29, 2013 9:29 am

What an excellent and helpful piece. I did not see a line reflecting real returns after inflation. Do you do that calculation?
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby wingnutty » Sat Jun 29, 2013 10:31 am

Very cool. Thank you for taking the time and for sharing! I may share this with some co-workers as well.

Much appreciated.
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Re: Thrift Savings Plan (TSP) Returns as of June, 2013

Postby Dr_McGarvey » Sat Jun 29, 2013 11:18 am

Professor Emeritus wrote:What an excellent and helpful piece. I did not see a line reflecting real returns after inflation. Do you do that calculation?


An excellent idea, but there is no effort here to calculate post-inflation returns and I do not anticipate any in the foreseeable future.
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