Effective immediately, I’m changing TSP allocations:
G-Fund: 94%
F-Fund: 6%
My short-term risk model has signaled overbought conditions and stalling, which is where we are not advancing yet we are exposed in terms of risk. Even with the significant strength in the I-Fund and C-Funds, I’m anticipating a short-term pullback which will reveal itself to be either shallow (a buying opportunity) or worse-than-previous (“thank gosh we moved to cash and bonds”). I expect to be making another allocation change within the next few weeks, depending upon the anticipated pullback. If we continue higher with no pullback, risk dominates from here and upside is quite limited compared to how far we can fall.
If you make the change prior to 12:00 EDT the change will be effective today.
As a reference point, since our allocation on 8/31/11, we are nearly EVEN on the market, specifically, down only -0.087%. No gain in this time frame and some exposure is not a good situation, hence the need for the reallocation.
In reality, for the period 8/31/11 to 10/14/11, the previous allocations have resulted in the following gains and (unrealized) drawdowns:
G-Fund: +0.149% gain, no drawdown
F-Fund: -0.011% gain, -0.028% maximum drawdown
C-Fund: +0.041% gain, -0.545% MDD
S-Fund: -0.128% gain, -0.959% MDD
I-Fund: -0.138% gain, -0.727% MDD
Totals: -0.087% gain, -1.927% MDD
For the past 12 month rolling period, we are up 6.94% with -3.325% realized drawdown (May 24th). This is a 2:1 reward : risk ratio and is our minimum goal.
For the past 12 month rolling period, we are up 6.94% with -3.325% realized drawdown (May 24th). This is a 2:1 reward : risk ratio and is our minimum goal.
Cash is king, at least for the next week or two.
Regards,
pgd
