## Search found 107 matches

Fri Feb 04, 2005 3:23 am
Forum: SWR Research Group
Topic: E10/P stuff
Replies: 5
Views: 4395
Yes, I used the CPI-adjusted values (Schiller's price/CPI and earnings/CPI ) in calculating the EMA.

Since there are a jillion "weighted averages" (at least) that one may use, one-of-these-days I might try 'em all to see which has the highest correlation with historical "Safe" Withdrawal Rates
Sun Jan 30, 2005 12:22 am
Forum: SWR Research Group
Topic: E10/P stuff
Replies: 5
Views: 4395
To get the exponential moving average numbers, it's probably easiest to download the spreadsheet, as described here: http://www.gummy-stuff.org/E10-P.htm There are lots of comments to explain most columns and how they're generated. The E10/P values (using the Exponential Moving Average of monthly ea...
Sat Jan 29, 2005 6:37 am
Forum: SWR Research Group
Topic: E10/P stuff
Replies: 5
Views: 4395

### E10/P stuff

It occurs to me that, although Schiller's E10/P has a high correlation with the HSWR withdrawal rates, the Schiller 10-year average is an ordinary, garden variety average over 120 months. That gives just as much weight to the monthly earnings 10 years ago as it does to the current month. If one uses...
Fri Jan 28, 2005 2:25 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
Well, since I already had a spreadsheet to play with using E10/P to modify withdrawal rates each year, I might as well make it available ... here:

http://www.gummy-stuff.org/E10-P.htm

Note the example:
80% Large Cap Value + 20% Govt Long Bonds
Wed Jan 26, 2005 11:14 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
The ratio [46.6/32.9] times \$4000 equals \$5 665.6535 or \$5666 rounded. Aha, so it is just 7 years of inflation, which explains the difference between my 6.5% (9 years inflation) and your spreadsheet calculation. Your WOW calculation is very interesting. It suggests that one mught use the E10/P valu...
Wed Jan 26, 2005 5:43 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
I said (somewhere, above) that a 4% withdrawal rate increasing with inflation from 1966 to 1974 becomes 6.5%. (That's 9 years of inflation starting with the Jan, 1966 CPI and ending with the Jan, 1975 CPI. Those 10 CPI values give 9 increases in CPI over 9 years.) In fact, there are so many historic...
Tue Jan 25, 2005 8:41 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
When I said:

**The spreadsheet is in such a mess (and no doubt has bugs), but the idea will remain the same when it's neat and tidy.

I weren't kidding

Anyway, I've given up on doing the E10/P thing ... unless I can find a (free, easily accessible) source of data.
Tue Jan 25, 2005 7:35 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
I have seen comments from you that tell me otherwise, Gummy. You had a post in which you said that you gave brief consideration to putting up a discussion board at your web site, but that you decided not to on the thinking that it is not worth putting up with the abusive posting that often is found...
Tue Jan 25, 2005 7:29 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
The point I'm making is this: If I could find historical P/E values for individual stocks I could generate E10/P values for a portfolio with a dozen (two dozen? three dozen?) stocks. P.S. The S&P500 tends to be large cap growth stocks. Many people believe that value stocks are a better investment. A...
Tue Jan 25, 2005 6:11 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
hocus: I can understand your preoccupation with intercst. Personally, I couldn't care less what he or anybuddy else says** I'm interested in a strategy that generates a SWR that depends upon "current valuations" (whatever form that takes). Whether it's "last year's portfolio performance" (as per "se...
Tue Jan 25, 2005 5:54 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
It occurs to me that IF one could find historical P/E values for a stock then it would be an easy task to generate E10/P ratios for that stock. Anybuddy know where to find historical P/E values for a stock? (Bloomberg's got 'em, but it costs !!) I googled for "historical P/E" and got 5000 hits. I lo...
Tue Jan 25, 2005 5:00 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
... it should be easy to calculate P/E10 and compare performance provided that a reasonable amount of total return data are available. In order to replicate Schillers' E10/P for a particular portfolio, one would need CPI and Earnings every month for the past ten years, for every stock in your portf...
Tue Jan 25, 2005 4:55 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
As a point of interest, here's how Schiller calculates his E10/P: 1: Every month, divide the S&P value and S&P earnings by the CPI for that month. (This gives so-called "real" values.) 2: Average the "real" S&P earnings (obtained above ) over the previous 120 months (10 years). 3: Every month, divid...
Tue Jan 25, 2005 4:39 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
hocus: Okay, let's agree that any SWR ritual that doesn't take some sort of "current valuation" into account is flawed. No question about that (in my mind), so there's no need to refer to intercst's posting of the REHP study. You're talking to the converted! (Indeed, I've been converted ever since I...
Tue Jan 25, 2005 12:45 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
Large cap value, and especially small cap value really did well during that period. ... which is the point of burning question #1: What does Sally do if her portfolio is 100% GE stock? ... or 100% large cap value where there ain't no E10/P to guide her? Alas, there appear to be no anwers to my burn...
Mon Jan 24, 2005 11:16 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
... I will introduce new calculations and put them on row 2580. Mamma mia! That must be one huge spreadsheet 8) I can recall (some time ago) thinking I should download a copy to see what's up, then finding that it'd take me a half-hour. (I have the world's slowest Internet connection.) Further, I g...
Mon Jan 24, 2005 4:18 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
... as a general rule portfolios less diversified than an S&P index can safely withdraw less for the same E10/P Amen. It'd be nice if one could INSIST that all investors diversify, however some companies (like that of my son-in-law) will match employee contributions provided they invest in company ...
Sun Jan 23, 2005 10:20 pm
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
P.S. I'm fiddling with (yet another!) tutorial, modifying the standard, garden variety SWR (like the notorious 4%) to take into account something like the current E10/P (compared to some average E10/P level). http://home.golden.net/~pjponzo/E10-P.htm The problem? It'll be of little value unless the ...
Sun Jan 23, 2005 10:08 pm
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
John When I clean up my spreadsheet** I'll stick it on my website. What I did was "pretend" I was doing the 4% so-called SWR and added (each year) last year's E10/P - 7.0%, then scaled down to 90%. Example for 1974: The 4% SWR was 6.5% (of the initial portfolio). That's 4%, increased by 9 years of i...
Sun Jan 23, 2005 6:46 am
Forum: SWR Research Group
Topic: GARCH
Replies: 171
Views: 56609
Once she is retired, she does not need to make any changes in the withdrawal rate Aah, I see. I was beginning to think that this E10/P stuff was VERY similar to the "sensible withdrawals" strategy (which suggests that you change your withdrawal rate each year). In the above charts, had you withdraw...