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

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Post Reply
Topic Author
Dr_McGarvey
Posts: 64
Joined: Tue Feb 23, 2010 6:31 pm

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

Post by Dr_McGarvey »

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) 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.
User avatar
gnosis
Posts: 347
Joined: Wed Aug 13, 2008 9:05 pm

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

Post by gnosis »

Very nice graphs and data. Loved this Saturday morning presentation, thank you! :beer
jstat
Posts: 200
Joined: Mon Jan 19, 2009 1:53 pm

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

Post by jstat »

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?
Topic Author
Dr_McGarvey
Posts: 64
Joined: Tue Feb 23, 2010 6:31 pm

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

Post by Dr_McGarvey »

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.
stan1
Posts: 14246
Joined: Mon Oct 08, 2007 4:35 pm

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

Post by stan1 »

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).
Warning: I am about 80% satisficer (accepting of good enough) and 20% maximizer
LRonHalfelven
Posts: 87
Joined: Tue Sep 29, 2009 7:55 am

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

Post by LRonHalfelven »

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.)
User avatar
Info_Hound
Posts: 421
Joined: Wed Mar 23, 2011 9:47 am
Location: Threw a dart in a map and moved

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

Post by Info_Hound »

Thank you! I look forward to your analysis each quarter. :mrgreen:
Topic Author
Dr_McGarvey
Posts: 64
Joined: Tue Feb 23, 2010 6:31 pm

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

Post by Dr_McGarvey »

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.
Professor Emeritus
Posts: 2628
Joined: Mon Aug 13, 2012 6:43 am

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

Post by Professor Emeritus »

What an excellent and helpful piece. I did not see a line reflecting real returns after inflation. Do you do that calculation?
wingnutty
Posts: 296
Joined: Tue Feb 20, 2007 6:32 pm
Location: Western Montana

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

Post by wingnutty »

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

Much appreciated.
Topic Author
Dr_McGarvey
Posts: 64
Joined: Tue Feb 23, 2010 6:31 pm

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

Post by Dr_McGarvey »

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.
Post Reply