On the Thrift Savings Plan: Some Observations, 9/30/2013
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On the Thrift Savings Plan: Some Observations, 9/30/2013
The latest gathering of my summary tables and charts may be seen at:
[OT link removed by admin LadyGeek]
(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) Every fund had a positive return for the month, with the I-Fund doing best of all (7.41%).
(2) for equities (C-, S- and I-Funds) it was a good month, and great returns for the quarter, 6-, 9-, and 12-month intervals. Clearly, equities have been the best place to be invested over the last year.
(3) on the bond side, we continue to putter along weakly in the G-Fund with a less-than-scintillating one-year return of 1.67% improvement. On a sour note, recent widespread declines in bond markets have produced losses for the F-Fund over the year.
(4) Ignoring the one-term losses, the L-Funds continue to display some "relative worth" -- especially the longer-term L 2050 Fund with its 30.76% 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.
[OT link removed by admin LadyGeek]
(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) Every fund had a positive return for the month, with the I-Fund doing best of all (7.41%).
(2) for equities (C-, S- and I-Funds) it was a good month, and great returns for the quarter, 6-, 9-, and 12-month intervals. Clearly, equities have been the best place to be invested over the last year.
(3) on the bond side, we continue to putter along weakly in the G-Fund with a less-than-scintillating one-year return of 1.67% improvement. On a sour note, recent widespread declines in bond markets have produced losses for the F-Fund over the year.
(4) Ignoring the one-term losses, the L-Funds continue to display some "relative worth" -- especially the longer-term L 2050 Fund with its 30.76% 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.
Re: On the Thrift Savings Plan: Some Observations, 9/30/201
You don't really need a regression model to model the G Fund when you have the following:
The G Fund has decidedly not had pitiful returns when compared to alternatives for fixed income. It did not suffer a drop in NAV like almost every other bond fund since the beginning of the year, and last month the rate was 2.375%. I will gladly take the yields and guaranteed return of Treasuries with 4+ years to maturity at a duration of 1 day.Summary of the Thrift Savings Plan wrote:The Government Securities Investment (G) Fund — The G Fund is invested in short-term U.S. Treasury securities. It gives you the opportunity to earn rates of interest similar to those of long-term Government securities with no risk of loss of principal. Payment of principal and interest is guaranteed by the U.S. Government. The interest paid by the G Fund securities is calculated monthly based on the market yields of all U.S. Treasury securities with more than 4 years to maturity; the interest rate changes monthly.
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Re: On the Thrift Savings Plan: Some Observations, 9/30/201
Of course, I don't need a regression model to look at the fluctuations in the G-Fund. I just thought it was an unbelievably neat fit. As to portent, I cannot say. It is presented here for any amusement and insight which it might offer.
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Re: On the Thrift Savings Plan: Some Observations, 9/30/201
Wow. Can anyone explain why the equity funds outperformed their benchmarks by that much over the year?
Re: On the Thrift Savings Plan: Some Observations, 9/30/201
In some of those comparisons, it looks like the OP left out dividends. The TSP funds do not distribute dividends. For example, the C Fund did not beat the S&P 500 by 2.5% over the last 12 months. It's typically within about 10 bp.
The TSP funds do regularly beat their benchmarks. Go to this page and click the button for "Individual/Index Funds Comparison". There's also an option to compare monthly returns.
Just looking at the annual return numbers:
F Fund: beat index 5 out of 5 years.
C Fund: beat index 3 out of 5 years, tied 2 years.
S Fund: beat index 4 out of 5 years, lost 1 year.
I Fund: beat index 4 out of 5 years, lost 1 year.
The expense ratio for each fund is a rock-bottom 2.7 bp. That's 0.027%.
The TSP funds do regularly beat their benchmarks. Go to this page and click the button for "Individual/Index Funds Comparison". There's also an option to compare monthly returns.
Code: Select all
Individual/Index Funds Annual Returns (past 5 Yrs)
Year G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE
Agg. Bond Index Completion Index
Index TSM Index
2008 3.75% 5.45% 5.24% -36.99% -37.00% -38.32% -39.03% -42.43% -43.38%
2009 2.97% 5.99% 5.93% 26.68% 26.46% 34.85% 37.43% 30.04% 31.78%
2010 2.81% 6.71% 6.54% 15.06% 15.06% 29.06% 28.62% 7.94% 7.75%
2011 2.45% 7.89% 7.84% 2.11% 2.11% -3.38% -3.76% -11.81% -12.14%
2012 1.47% 4.29% 4.22% 16.07% 16.00% 18.57% 17.89% 18.62% 17.32%
Individual/Index Funds Monthly Returns (Past 12 Months)
Month G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE
Agg. Bond Index Completion Index
Index TSM Index
2012
Sep 0.10% 0.15% 0.14% 2.57% 2.58% 2.51% 2.45% 2.96% 2.96%
Oct 0.12% 0.20% 0.20% -1.86% -1.85% -1.31% -1.32% 0.85% 0.83%
Nov 0.11% 0.16% 0.16% 0.57% 0.58% 1.53% 1.47% 2.41% 2.42%
Dec 0.12% -0.13% -0.14% 0.91% 0.91% 2.69% 2.62% 4.02% 3.20%
2013
Jan 0.13% -0.56% -0.70% 5.18% 5.18% 6.96% 6.97% 4.45% 5.27%
Feb 0.13% 0.51% 0.50% 1.36% 1.36% 1.00% 0.97% -0.99% -0.95%
Mar 0.13% 0.07% 0.08% 3.75% 3.75% 4.69% 4.69% 0.88% 0.82%
Apr 0.12% 1.02% 1.01% 1.93% 1.93% 0.65% 0.64% 5.32% 5.21%
May 0.12% -1.78% -1.78% 2.34% 2.34% 2.71% 2.67% -3.12% -2.41%
Jun 0.14% -1.53% -1.55% -1.34% -1.34% -0.99% -0.98% -2.77% -3.55%
Jul 0.18% 0.13% 0.14% 5.10% 5.09% 6.88% 6.79% 5.29% 5.28%
Aug 0.18% -0.48% -0.51% -2.89% -2.90% -2.76% -2.75% -1.31% -1.32%
YTD 1.12% -2.62% -2.81% 16.18% 16.15% 20.30% 20.14% 7.56% 8.15%
Last 12 mo 1.58% -2.25% -2.47% 18.69% 18.70% 26.89% 26.47% 18.96% 18.66%
F Fund: beat index 5 out of 5 years.
C Fund: beat index 3 out of 5 years, tied 2 years.
S Fund: beat index 4 out of 5 years, lost 1 year.
I Fund: beat index 4 out of 5 years, lost 1 year.
The expense ratio for each fund is a rock-bottom 2.7 bp. That's 0.027%.
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Re: On the Thrift Savings Plan: Some Observations, 9/30/201
Thanks. That makes more sense.Ketawa wrote:In some of those comparisons, it looks like the OP left out dividends. The TSP funds do not distribute dividends. For example, the C Fund did not beat the S&P 500 by 2.5% over the last 12 months. It's typically within about 10 bp.
The TSP funds do regularly beat their benchmarks. Go to this page and click the button for "Individual/Index Funds Comparison". There's also an option to compare monthly returns.
Just looking at the annual return numbers:Code: Select all
Individual/Index Funds Annual Returns (past 5 Yrs) Year G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE Agg. Bond Index Completion Index Index TSM Index 2008 3.75% 5.45% 5.24% -36.99% -37.00% -38.32% -39.03% -42.43% -43.38% 2009 2.97% 5.99% 5.93% 26.68% 26.46% 34.85% 37.43% 30.04% 31.78% 2010 2.81% 6.71% 6.54% 15.06% 15.06% 29.06% 28.62% 7.94% 7.75% 2011 2.45% 7.89% 7.84% 2.11% 2.11% -3.38% -3.76% -11.81% -12.14% 2012 1.47% 4.29% 4.22% 16.07% 16.00% 18.57% 17.89% 18.62% 17.32% Individual/Index Funds Monthly Returns (Past 12 Months) Month G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE Agg. Bond Index Completion Index Index TSM Index 2012 Sep 0.10% 0.15% 0.14% 2.57% 2.58% 2.51% 2.45% 2.96% 2.96% Oct 0.12% 0.20% 0.20% -1.86% -1.85% -1.31% -1.32% 0.85% 0.83% Nov 0.11% 0.16% 0.16% 0.57% 0.58% 1.53% 1.47% 2.41% 2.42% Dec 0.12% -0.13% -0.14% 0.91% 0.91% 2.69% 2.62% 4.02% 3.20% 2013 Jan 0.13% -0.56% -0.70% 5.18% 5.18% 6.96% 6.97% 4.45% 5.27% Feb 0.13% 0.51% 0.50% 1.36% 1.36% 1.00% 0.97% -0.99% -0.95% Mar 0.13% 0.07% 0.08% 3.75% 3.75% 4.69% 4.69% 0.88% 0.82% Apr 0.12% 1.02% 1.01% 1.93% 1.93% 0.65% 0.64% 5.32% 5.21% May 0.12% -1.78% -1.78% 2.34% 2.34% 2.71% 2.67% -3.12% -2.41% Jun 0.14% -1.53% -1.55% -1.34% -1.34% -0.99% -0.98% -2.77% -3.55% Jul 0.18% 0.13% 0.14% 5.10% 5.09% 6.88% 6.79% 5.29% 5.28% Aug 0.18% -0.48% -0.51% -2.89% -2.90% -2.76% -2.75% -1.31% -1.32% YTD 1.12% -2.62% -2.81% 16.18% 16.15% 20.30% 20.14% 7.56% 8.15% Last 12 mo 1.58% -2.25% -2.47% 18.69% 18.70% 26.89% 26.47% 18.96% 18.66%
F Fund: beat index 5 out of 5 years.
C Fund: beat index 3 out of 5 years, tied 2 years.
S Fund: beat index 4 out of 5 years, lost 1 year.
I Fund: beat index 4 out of 5 years, lost 1 year.
The expense ratio for each fund is a rock-bottom 2.7 bp. That's 0.027%.
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Re: On the Thrift Savings Plan: Some Observations, 9/30/201
Ketawa wrote:In some of those comparisons, it looks like the OP left out dividends. The TSP funds do not distribute dividends. For example, the C Fund did not beat the S&P 500 by 2.5% over the last 12 months. It's typically within about 10 bp.
The TSP funds do regularly beat their benchmarks. Go to this page and click the button for "Individual/Index Funds Comparison". There's also an option to compare monthly returns.
Just looking at the annual return numbers:Code: Select all
Individual/Index Funds Annual Returns (past 5 Yrs) Year G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE Agg. Bond Index Completion Index Index TSM Index 2008 3.75% 5.45% 5.24% -36.99% -37.00% -38.32% -39.03% -42.43% -43.38% 2009 2.97% 5.99% 5.93% 26.68% 26.46% 34.85% 37.43% 30.04% 31.78% 2010 2.81% 6.71% 6.54% 15.06% 15.06% 29.06% 28.62% 7.94% 7.75% 2011 2.45% 7.89% 7.84% 2.11% 2.11% -3.38% -3.76% -11.81% -12.14% 2012 1.47% 4.29% 4.22% 16.07% 16.00% 18.57% 17.89% 18.62% 17.32% Individual/Index Funds Monthly Returns (Past 12 Months) Month G Fund F Fund U.S. C Fund S&P 500 S Fund DJ U.S. I Fund EAFE Agg. Bond Index Completion Index Index TSM Index 2012 Sep 0.10% 0.15% 0.14% 2.57% 2.58% 2.51% 2.45% 2.96% 2.96% Oct 0.12% 0.20% 0.20% -1.86% -1.85% -1.31% -1.32% 0.85% 0.83% Nov 0.11% 0.16% 0.16% 0.57% 0.58% 1.53% 1.47% 2.41% 2.42% Dec 0.12% -0.13% -0.14% 0.91% 0.91% 2.69% 2.62% 4.02% 3.20% 2013 Jan 0.13% -0.56% -0.70% 5.18% 5.18% 6.96% 6.97% 4.45% 5.27% Feb 0.13% 0.51% 0.50% 1.36% 1.36% 1.00% 0.97% -0.99% -0.95% Mar 0.13% 0.07% 0.08% 3.75% 3.75% 4.69% 4.69% 0.88% 0.82% Apr 0.12% 1.02% 1.01% 1.93% 1.93% 0.65% 0.64% 5.32% 5.21% May 0.12% -1.78% -1.78% 2.34% 2.34% 2.71% 2.67% -3.12% -2.41% Jun 0.14% -1.53% -1.55% -1.34% -1.34% -0.99% -0.98% -2.77% -3.55% Jul 0.18% 0.13% 0.14% 5.10% 5.09% 6.88% 6.79% 5.29% 5.28% Aug 0.18% -0.48% -0.51% -2.89% -2.90% -2.76% -2.75% -1.31% -1.32% YTD 1.12% -2.62% -2.81% 16.18% 16.15% 20.30% 20.14% 7.56% 8.15% Last 12 mo 1.58% -2.25% -2.47% 18.69% 18.70% 26.89% 26.47% 18.96% 18.66%
F Fund: beat index 5 out of 5 years.
C Fund: beat index 3 out of 5 years, tied 2 years.
S Fund: beat index 4 out of 5 years, lost 1 year.
I Fund: beat index 4 out of 5 years, lost 1 year.
The expense ratio for each fund is a rock-bottom 2.7 bp. That's 0.027%.
Thanks for the link and info, Ketawa. Your points are well worth emphasizing. The omission of dividends in my listing is a shortcoming for comparisons, I'll concede, and should be stressed in any future documentation or notes with the images.
The issue that bothered me when I began this data collection over a decade ago, though, was not so much the performance of any single TSP fund. Few of my co-workers were "single-fund" investors; rather, they were trying different allocation mixtures without any empirical sense of what was "optimal". Accordingly, I concocted a few of varying risks to track them over time. This may still have its flaws, I'll grant, but I've never seen any other effort made like mine. If there are, I'd sure appreciate hearing about them.
Re: On the Thrift Savings Plan: Some Observations, 9/30/201
Of course, I don't need a regression model to look at the fluctuations in the G-Fund. I just thought it was an unbelievably neat fit. As to portent, I cannot say. It is presented here for any amusement and insight which it might offer.
http://demonstrations.wolfram.com/FittingAnElephant/With four parameters I can fit an elephant, and with five I can make him wiggle his trunk.
Attributed to von Neumann
While playing is amusing it should not be confused with something that provides insight.
Models are most useful when they have at least some basis in fundamental knowledge.
We live a world with knowledge of the future markets has less than one significant figure. And people will still and always demand answers to three significant digits.