ObliviousInvestor wrote:Figure 4 from this article of Wade's looks relevant.
http://wpfau.blogspot.com/2011/08/safe- ... -life.html
Of course, there's always the question of how closely the assumptions he uses (e.g., 40% stock allocation, MC simulations using historical return data from 1926-2010) match the assumptions you'd prefer to use.
Bob wrote:A 2013 analysis by Prof. Pfau et al titled "Asset Valuations and Safe Portfolio Withdrawal Rates" discusses SWR levels given the impact of the current , low rates-of-return for equities and bonds and it is downloadable from:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2286146
Not exactly the charting you have outlined, but Figure 7 on page 12 plots the probability of success versus the number of horizon years for various SWR rates (from 1% to 6%) at a 40% equity level Then their Table 3 on page 13 they provide numeric data that might be plotted as points along a curve for a few different Equity levels: at 20%, 40%, 60% and 80%.
ObliviousInvestor wrote:Figure 4 from this article of Wade's looks relevant.
http://wpfau.blogspot.com/2011/08/safe- ... -life.html
Of course, there's always the question of how closely the assumptions he uses (e.g., 40% stock allocation, MC simulations using historical return data from 1926-2010) match the assumptions you'd prefer to use.
Bob wrote:A 2013 analysis by Prof. Pfau et al titled "Asset Valuations and Safe Portfolio Withdrawal Rates" discusses SWR levels given the impact of the current , low rates-of-return for equities and bonds and it is downloadable from:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2286146
Not exactly the charting you have outlined, but Figure 7 on page 12 plots the probability of success versus the number of horizon years for various SWR rates (from 1% to 6%) at a 40% equity level Then their Table 3 on page 13 they provide numeric data that might be plotted as points along a curve for a few different Equity levels: at 20%, 40%, 60% and 80%.
Bob wrote:A 2013 analysis by Prof. Pfau et al titled "Asset Valuations and Safe Portfolio Withdrawal Rates" discusses SWR levels given the impact of the current , low rates-of-return for equities and bonds and it is downloadable from:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2286146
Not exactly the charting you have outlined, but Figure 7 on page 12 plots the probability of success versus the number of horizon years for various SWR rates (from 1% to 6%) at a 40% equity level Then their Table 3 on page 13 they provide numeric data that might be plotted as points along a curve for a few different Equity levels: at 20%, 40%, 60% and 80%.
wade wrote:umfundi,
That's a good idea for a figure!
I've written up a blog post to answer your question about what such a figure might look like:
http://wpfau.blogspot.com/2013/07/the-b ... ource.html
If someone would like to resize the images so they can be posted in the thread, it's alright with me. I'm just not patient enough to doit.
Wade
wade wrote:umfundi,
That's a good idea for a figure!
I've written up a blog post to answer your question about what such a figure might look like:
http://wpfau.blogspot.com/2013/07/the-b ... ource.html
If someone would like to resize the images so they can be posted in the thread, it's alright with me. I'm just not patient enough to doit.
Wade
wade wrote:If someone would like to resize the images so they can be posted in the thread, it's alright with me. I'm just not patient enough to doit.
Wade
Bob wrote:A 2013 analysis by Prof. Pfau et al titled "Asset Valuations and Safe Portfolio Withdrawal Rates" discusses SWR levels given the impact of the current , low rates-of-return for equities and bonds and it is downloadable from:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2286146
Not exactly the charting you have outlined, but Figure 7 on page 12 plots the probability of success versus the number of horizon years for various SWR rates (from 1% to 6%) at a 40% equity level Then their Table 3 on page 13 they provide numeric data that might be plotted as points along a curve for a few different Equity levels: at 20%, 40%, 60% and 80%.
[/quote]Ranger wrote:
Excellent study for today's markets. I am puzzled by Table 13 results or I am not interpreting correctly. Does Initial Withdrawal Rates decreases with the increases in the equity allocations? This seems to be counter intuitive to me. Is this because higher CAPE is more penalizing than lower bond yields? Thx
1210sda wrote:Ranger wrote:
Excellent study for today's markets. I am puzzled by Table 13 results or I am not interpreting correctly. Does Initial Withdrawal Rates decreases with the increases in the equity allocations? This seems to be counter intuitive to me. Is this because higher CAPE is more penalizing than lower bond yields? Thx
I wonder if it's because of the higher volatility of the larger equity allocation....thus greater "sequence of return" effect.
1210