Best of Fidelity Selects Program, Performance

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PERFORMANCE OF TSP PILOT'S "BEST OF FIDELITY SELECTS PORTFOLIO"
Table VII shows the back tested and current results from 1989 through 2006 for the current TSP Pilot FidSel Program. Results assume a 100% commitment to the Program, but we would recommend an 80% commitment to provide a little additional safety margin.
A $10,000 commitment to the Program in 1988 would be worth over $2.1 million before taxes and commissions at the end of the 18 year period ending 2004. Even though the performance numbers here have been based on extensive backtesting and parametric optimization techniques, the performance numbers have NOT been curve fitted and are based on relatively simple fund timing systems with considerable number of degrees of statistical freedom.
A conservative projection of future returns may take 10 percentage points off the average annual return shown below which still leaves a VERY respectable average return around 30%/year. The comparison performance numbers speak for themselves.
Again, for diversification we would suggest splitting your non-TSP funds equally between our FidSel Program and our new ETFs Program. To see how much a split FidSel/ETFs Program would improve performance over following either one alone see the ETFs Table XV.

TABLE VII

TSP Pilot FidSel Program
YEAR Ann Ret
(%) Risk
(Mdd%) UPI
UI
Std.
Dev.

1989 41.7 -7.9 12.5 2.5 3.4

1990 19.7 -15.4 2.5 5.6 4.5

1991 70.9 17.5 3.3 12 5.7

1992 24.6 -9.5 3.8 4.6 3.4

1993 15.5 -9.0 1.9 3.3 4.3

1994 9.8 -14.7 2.4 5.8 4.0

1995 43.8 -18.9 6.6 5.1 5.4

1996 18.0 -11.3 2.6 5.1 3.5

1997 33.4 -7.5 7.6 3.6 4.4

1998 65.8 -15.5 14.8 4.0 5.7

1999 135.7 -10.6 48.4 2.7 7.3

2000 52.7 -11.2 13.0 3.5 7.5

2001 58.5 -8.0 37.0 1.4 4.0

2002 30.2 -14.0 5.0 4.7 5.1

2003 17.7 -12.1 2.8 5.1 5.4

2004 45.5 -9.5 14.4 3.0 4.9

2005 23.1 -7.2 6.2 3.0 3.8

2006 -13.5 -13.7 0.3 4.2 4.1

2007 13.3 -10.4 4.8 2.9 3.9

Totals 30.1 -18.9 6.1 4.8 4.3

Note: The "Risk (%)" is expressed as the maximum percentage draw down (Mdd).
- Ann Return % assumes a one day delay from original signal date.
- Database began 9/1/1988.
-On sell signals performance assumes 50% proceeds parked in money market (FSLXX)
  and 50% in an inverse of the Russell 2000 index, ProFunds Short Small Cap (SHPIX).

TABLE VIII

1989-2007 FidSel Program Performance Comparisons
FUND OR
PROGRAM Annualized Return
(AR)⁵ Maximum Drawdown
(Mdd)¹ Ulcer Performance Index
(UPI)² Ulcer Index
(UI)³ Standard Deviation
(SD)⁴

"C" Fund 11.7% -47.5% 0.4 14.0 4.5

"S" Fund 11.6% -55.9% 0.3 18.7 4.7

"I" Fund 7.6% -52.4% 20.3 0.1 4.6

FidSel Program 30.1% -18.9% 6.1 4.8 4.3

- Database began 9/1/1988.
-FidSel sell signals assume 50% proceeds parked in money market (FSLXX)
  and 50% in an inverse of the Russell 2000 index, ProFunds Short Small Cap (SHPIX).

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TSP Pilot is a commercial service not associated in any way with the U.S. Federal government. TSP Pilot does not issue individual investment advice. TSP Pilot publications are prepared for informational and educational purposes only. Past stated hypothetical performance is not an indication of future performance.

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