Background
The Thrift Savings Plan (TSP) is a government-sponsored retirement plan for government employees as well as the military. My wife is a government employee and has been contributing the maximum amount allowed every two weeks for nearly 20 years, and has accrued a sizable nest egg.
I use the Greek-God Trading system signals to trade my wife's TSP account.
The TSP account has 5 basic funds available, as well as numerous "life cycle" funds. I choose to use the 5 basic funds, simply because I can choose the amount of ownership of each, as well as the bi-weekly contribution allocations.
There are four (4) ETF funds that closely track the funds that are available in the TSP. Their mapping is as follows:
F-Fund: AGG, the iShares Lehman Aggregate Bond Fund, which is a fund that seeks to provide investment results generally equivalent to the total United States investment grade bond market as defined by the Lehman Brothers U.S. Aggregate Index.
C-Fund: SPY, the SPDR for the S&P 500, which is a fund that generally corresponds to the price and yield performance of the S&P 500 index.
S-Fund: VXF, the Vanguard Extended Market ETF, which is an exchange-traded share class of the Vanguard Extended market Stock Index Fund, which employs a passive management investment approach designed to track the performance of the Standard & Poor's Completion Index, a broadly diversified index of stocks of small and medium-sided U.S. companies. The S&P Completion Index contains all of the U.S. common stocks regularly traded on the NY and AmEx and the NASDAQ OTC markets, except those stocks included in the S&P 500 index.
[Trading equal amounts in VXF and SPY would be the same as investing in the entire U.S. market of approximately 4500 stocks]
I-Fund: EFA, the iShares MSCI EAFE Index Fund, which seeks to provide investment results generally equivalent to publically traded securities in the European, Australasian, and Far Eastern markets, as measured by the MSCI EAFE index.
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The TSP manager restricts trades within the funds to 2 exchanges per month, so short-term trading is not permitted. Correspondingly, the GGT trading system works well with the TSP fund restrictions.
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Trading Rules
The trading rules for this plan are very easy. Purchase the appropriate fund when the corresponding ETF signals LONG, via GGT, and sell the appropriate fund when the corresponding ETF signals CASH.
Trades
Independent verification of the trades is easy to accomplish. The GGT web site has 99% of the ETF files for the dates listed below. Because GGT signals are not stationary, e.g., a buy or sell date that occurred in the past can move depending upon new optimizations, it is strongly suggested that those of you who are verifying the dates below download the appropriate GGT ETF files within about 10 days after the dates posted below.
Here are the trades since August 1, 2008:
| Date | Situation | ETF |
| 8/1/2008 | Dn | VXF |
| 8/1/2008 | Dn | AGG |
| 8/11/2008 | Dn | SPY |
| 8/11/2008 | Dn | EFA |
| 8/29/2008 | Up | AGG |
| 9/16/2008 | Dn | AGG |
| 9/19/2008 | Up | AGG |
| 9/22/2008 | Dn | AGG |
| 10/31/2008 | Up | AGG |
| 12/3/2008 | Up | SPY |
| 12/8/2008 | Up | EFA |
| 12/9/2008 | Up | VXF |
| 12/23/2008 | Dn | SPY |
| 1/12/2009 | Dn | VXF |
| 1/12/2009 | Dn | EFA |
| 1/21/2009 | Dn | AGG |
| 2/5/2009 | Up | VXF |
| 2/17/2009 | Dn | VXF |
| 3/16/2009 | Up | VXF |
| 3/17/2009 | Up | EFA |
| 3/18/2009 | Up | SPY |
| 3/19/2009 | Up | AGG |
| 5/22/2009 | Dn | VXF |
| 5/27/2009 | Dn | AGG |
| 5/29/2009 | Up | AGG |
| 6/4/2009 | Up | VXF |
| 6/16/2009 | Dn | EFA |
| 6/16/2009 | Dn | AGG |
| 6/22/2009 | Dn | VXF |
| 6/22/2009 | Dn | SPY |
| 7/15/2009 | Up | SPY |
| 7/15/2009 | Up | EFA |
| 7/20/2009 | Up | VXF |
| 7/30/2009 | Up | AGG |
| 8/5/2009 | Dn | AGG |
| 8/17/2009 | Up | AGG |
8/21/2009 Up VXF
10/1/2009 Dn EFA
10/1/2009 Dn SPY
10/1/2009 Dn VXF
10/13/2009 Up SPY
10/13/2009 Up VXF
10/14/2009 Up EFA
10/23/2009 Dn AGG
10/27/2009 Dn EFA
10/27/2009 Dn VXF
10/28/2009 Dn SPY (all in cash now)
11/5/2009 Up AGG
4-ETF Performance Graph
This performance graph assumes that the four ETFs: AGG, EFA, SPY, and VXF are being used for the particular portfolio. Equal balancing occurs at the start (25% in each fund), but as funds become available for the next "buy", all available cash is used if 3 of the 4 funds are already invested, 1/2 of the available cash is used if 2 of the 4 funds are already invested, and 1/4 of the available cash is used if 1 or no funds are presently invested.
The figure below shows the individual gains since the latest purchase date. Click on the image to view it full-screen.
The figure below shows the portfolio summary for the 4-ETF TSP portfolio. The mathematical expectation of this approach is 1.389 (we desire values above 1.0 but Dr. D consistently makes money with ME's ~ 0.6), and the compounded rate of return (CRR) is 23.84%.
The figure below is a situational summary for the 4-ETF TSP portfolio. I use this summary because it keeps track of maximum drawdown (MDD), which for this portfolio, is 5.35% over the last year.
Based on this and the previous statement of CRR, we can calculate Calmar Ratio (CR). The CR of a portfolio is the CRR/MDD, which for this portfolio, on this date, is 23.84/5.35 = 4.45. This is a very good CR; values above 2.5 are considered exceptional.
3-ETF Performance Graph
The AGG / F-Fund are bond funds, and aggregating 25% of our assets to this group is not necessarily prudent. If we remove investment into AGG / F-Funds, performance in terms of gain improves, but obviously, the portfolio is more volatile. Here is the performance graph if we restrict investment to only the EFA, SPY, and VXF funds:
The figure below shows the portfolio summary for the 3-ETF TSP portfolio. The mathematical expectation of this approach is 1.545 (we desire values above 1.0), and the compounded rate of return (CRR) is 29.66%.
The figure below is a situational summary for the 3-ETF TSP portfolio. The maximum drawdown (MDD) for this portfolio, is 7.57% over the last year, due to the removal of the AGG fund.
The CR of this portfolio is 29.66/7.57 = 3.91. This is a very good CR; values above 2.5 are considered exceptional. Note that this is lower than the 4-ETF portfolio, and indicates that we are taking more risk for a given gain, which is NOT desirable. The 4-ETF portfolio is less risky when evaluated with this metric.
Receiving Signal Updates
Simply put, you are in control of your own destiny. For the better part of the last year Geoff Cox and I have endeavored to provide you timely information on a daily basis concerning GGT ETFs. Recently, we have implemented a DASHBOARD view which contains various groupings of ETFs. As you scroll down this dashboard, you will see the following area:
The actions you should take with respect to the TSP funds will be evident.
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Remember, you are responsible for all of your trading decisions.
