Abstract

http://ssrn.com/abstract=2230550
 
 

References (17)



 


 



Sensitivity of Safe Withdrawal Rates to Longevity, Market and Failure Risk Preferences with Implications for Asset Allocation


Adam Butler


RGMP - Darwin Investment Strategies

Mike Philbrick


Richardson GMP - Darwin Investment Strategies

Rodrigo Gordillo


Richardson GMP - Darwin Investment Strategies

Michael Guan


Macquarie Group – Darwin Investment Strategies

March 8, 2013


Abstract:     
Retirees face longevity risk, or the risk of living longer (or less long) than expected; market risk, or the risk of poor investment returns over the retirement horizon, and finally; failure risk, or the risk of running out of money before death. The authors examine the sensitivity of these three risks to asset allocation and Safe Withdrawal Rates, and offer a model to optimize these factors in order to minimize the three primary risks in the context of personal preferences. Finally, a forecast model is proposed to link Safe Withdrawal Rates to contemporaneous stock market valuations and interest rates, with strong statistical significance.

Number of Pages in PDF File: 21

Keywords: Retirement, Longevity, Aftcast, Safe Withdrawal Rates, SWR, Maximum Withdrawal Rates, MWR, CAPE, Aftcast, Tactical Asset Allocation, Adaptive Asset Allocation

JEL Classification: G1, D1, C5

working papers series


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Date posted: March 10, 2013  

Suggested Citation

Butler, Adam and Philbrick, Mike and Gordillo, Rodrigo and Guan, Michael, Sensitivity of Safe Withdrawal Rates to Longevity, Market and Failure Risk Preferences with Implications for Asset Allocation (March 8, 2013). Available at SSRN: http://ssrn.com/abstract=2230550 or http://dx.doi.org/10.2139/ssrn.2230550

Contact Information

Adam Butler (Contact Author)
RGMP - Darwin Investment Strategies ( email )
145 King Street West
Suite 500
Toronto, Ontario M5H1J8
Canada
HOME PAGE: http://www.butlerphilbrick.com
Mike Philbrick
Richardson GMP - Darwin Investment Strategies ( email )
Brookfield Place
181 Bay Street, Suite 3200
M5J 2T3
Rodrigo Gordillo
Richardson GMP - Darwin Investment Strategies ( email )
Brookfield Place
181 Bay St., Suite 3200
Toronto, Ontario M4V1Z1
Canada
416-864-3597 (Phone)
HOME PAGE: http://www.darwinstrategies.com
Michael Guan
Macquarie Group – Darwin Investment Strategies ( email )
Brookfield Place
181 Bay Street, Suite 3200
Toronto, Ontario M5J 2T3
Canada
HOME PAGE: http://www.macquarieprivatewealth.ca/darwin
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