December 4th Weekend Update

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There are no changes to the GGT TSP portfolio in terms of holdings, but if you've been on the sidelines, here is a recommended allocation that I will use going forward IF I move to cash THEN have to move long again:

AGG / F-Fund:  0% / 9%
SPY / C-Fund:  46% / 42%
VXF / S-Fund:  30% / 27%
EFA / I-Fund:  24% / 22%

The values in the first column are appropriate for the 3-ETF/fund allocation, the numbers in the last column are appropriate for the 4-ETF/fund allocation.  These will be the allocations for this month (December).


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The 3-ETF/Fund portfolio, which does not invest in the AGG / F-Fund, is up 22.81% since inception (9/08), for an compounded rate of return (CRR) of 17.64%.  The maximum drawdown (MDD) since inception is 9.05%, resulting in a Calmar Ratio (CR) of CR = CRR/MDD = 17.64/9.05 = 1.949.  We like 2 or better but 1.949 is not shabby.

Within the 3-ETF portfolio the SPY (C-Fund) is up only 0.06% and the VXF (S-Fund) is down -0.08%.  The purchase date for both of these was 11/17/09.

Within the 4-ETF/Fund portfolio, which DOES invest in the AGG / F-Fund, we have a gain of 19.35% since inception, for a CRR of 14.98%.  The MDD since inception is 7.10%, resulting in a CR = 14.98/7.10 = 2.110.  Note that although additional equities reduces the overall gain for the same period of time, the MDD is less, resulting in a higher CR.  This means that our reward/risk profile is better with more stocks, although our total gains are lower.  It is an individual decision as to whether you can live with the respective gains.

As a comparison, since 9/08,

• the fully-invested VectorVest Composite has fallen -9.57%.  
• the VVC timed with the VectorVest C/Up & C/Dn system is up 9.44%, and has a CR of  0.54 (MDD = 13.70%).
• the VVC timed with the VectorVest Primary Wave is down -7.03%, has a CR of -0.23, and a MDD of 24.29%
  

Who says you can't time the market?

Remember, you are responsible for your own investment decisions.

Regards,

pgd