Research on Safe Withdrawal Rates
Moderator: hocus2004
JWR1945
***** Legend
Posts: 1697 Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida
Post
by JWR1945 » Wed Mar 17, 2004 8:00 am
Here are some tables of annualized real rates of returns for commercial paper after 1, 5, 10, 15, 20, 25 and 30 years.
This is for 100% commercial paper. Expenses are 0.20%. I have listed P/E10 as well.
This is useful for making comparisons with tables that include stock investments.
One striking feature of these tables is how often inflation caused major losses for those investing in commercial paper. This effect has decreased substantially in recent years. I associate that change with the advent modern money market mutual funds and good economic statistics. This may help explain the strange behavior that I have seen in how portfolios have behaved in the earlier era of 1871-1920.
Some of the erratic behavior in the early years can be explained as an artifact caused by the precision of CPI numbers.
Have fun.
John R.
Code: Select all
0% stocks and 100% commercial paper
Year PE10 1 5 10 15 20 25 30
1871 13.3 5.98 9.44 8.52 8.42 7.74 7.81 6.58
1872 14.5 5.75 9.01 7.58 8.42 7.97 7.82 6.45
1873 15.3 11.57 12.56 7.72 8.02 7.69 7.59 6.11
1874 13.9 12.54 13.44 7.97 7.88 8.03 7.20 6.02
1875 13.6 11.57 7.72 8.29 7.74 7.78 6.21 5.66
1876 13.3 3.91 7.60 7.92 7.18 7.40 6.02 5.46
1877 10.6 24.12 6.17 8.12 7.62 7.52 5.94 5.37
1878 9.7 16.00 3.09 5.81 6.12 6.39 4.86 4.87
1879 10.7 (13.09) 2.76 5.19 6.27 5.67 4.58 4.33
1880 15.3 10.92 8.86 7.75 7.80 5.84 5.25 4.66
1881 18.5 (2.80) 8.24 6.98 7.34 5.63 5.03 4.67
1882 15.7 7.14 10.11 8.35 7.98 5.88 5.21 4.95
1883 15.3 14.14 8.61 7.66 7.51 5.31 5.22 4.65
1884 14.4 15.97 7.70 8.10 6.69 5.06 4.67 4.27
1885 13.1 7.77 6.66 7.27 4.85 4.37 3.84 3.84
1886 16.7 5.90 5.73 6.89 4.77 4.25 3.97 3.59
1887 17.5 0.05 6.63 6.93 4.51 4.02 3.95 3.13
1888 15.4 9.45 6.72 6.97 4.23 4.39 3.87 2.70
1889 15.8 10.46 8.50 6.18 4.19 3.93 3.59 2.01
1890 17.2 3.18 7.88 3.95 3.62 3.15 3.28 1.38
1891 15.4 10.46 8.06 4.30 3.76 3.54 3.17 1.56
1892 19.0 0.47 7.23 3.47 3.17 3.29 2.44 1.76
1893 17.7 18.87 7.21 3.00 3.63 3.17 1.92 1.92
1894 15.7 7.36 3.92 2.11 2.45 2.40 0.76 1.38
1895 16.5 4.04 0.17 1.55 1.62 2.16 0.12 1.26
1896 16.6 6.27 0.67 1.67 2.07 1.98 0.31 1.14
1897 17.0 0.39 (0.16) 1.20 2.01 1.28 0.70 1.15
1898 19.2 1.70 (1.04) 1.88 1.86 0.64 0.90 1.32
1899 22.9 (10.67) 0.33 1.73 1.90 (0.01) 0.88 1.49
1900 18.7 6.66 2.95 2.35 2.84 0.11 1.48 2.01
JWR1945
***** Legend
Posts: 1697 Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida
Post
by JWR1945 » Wed Mar 17, 2004 8:17 am
Code: Select all
Year PE10 1 5 10 15 20 25 30
1901 21.0 1.99 2.68 2.78 2.43 0.22 1.24 2.11
1902 22.3 (3.97) 2.57 3.11 1.76 0.92 1.41 2.51
1903 20.3 8.92 4.89 3.34 1.20 1.39 1.80 3.05
1904 15.9 1.63 3.15 2.70 (0.13) 1.01 1.73 2.70
1905 18.5 5.26 1.75 2.78 (0.82) 1.11 1.82 2.56
1906 20.1 1.46 2.89 2.30 (0.59) 0.88 2.00 2.36
1907 17.2 7.42 3.64 1.36 0.38 1.13 2.50 2.26
1908 11.9 0.14 1.82 (0.60) 0.25 1.04 2.68 2.01
1909 14.8 (5.05) 2.26 (1.72) 0.31 1.38 2.61 2.07
1910 14.5 11.28 3.82 (2.09) 0.89 1.82 2.71 2.27
1911 14.0 5.23 1.72 (2.29) 0.22 1.78 2.25 1.88
1912 13.8 (1.73) (0.88) (1.22) 0.30 2.22 1.98 1.36
1913 13.1 2.34 (2.96) (0.53) 0.78 2.90 2.05 1.18
1914 11.6 2.42 (5.55) (0.65) 1.09 2.70 2.03 1.03
1915 10.4 0.45 (7.64) (0.53) 1.19 2.45 1.98 0.89
1916 12.5 (7.52) (6.14) (0.51) 1.80 2.38 1.91 0.82
1917 11.0 (11.61) (1.56) 0.88 3.25 2.70 1.80 0.54
1918 6.6 (10.61) 1.96 2.71 4.93 3.34 2.03 0.67
1919 6.1 (8.45) 4.51 4.58 5.61 4.02 2.39 1.05
1920 6.0 8.92 7.14 5.91 6.06 4.53 2.69 1.46
JWR1945
***** Legend
Posts: 1697 Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida
Post
by JWR1945 » Wed Mar 17, 2004 8:41 am
Code: Select all
Year PE10 1 5 10 15 20 25 30
1921 5.1 17.34 5.45 6.01 5.39 4.03 2.27 0.97
1922 6.3 5.37 3.41 5.77 4.17 2.67 0.97 0.37
1923 8.2 1.12 3.46 6.44 3.81 2.05 0.42 0.26
1924 8.1 3.66 4.64 6.16 3.85 1.87 0.38 0.24
1925 9.7 0.58 4.70 5.52 3.68 1.60 0.36 0.19
1926 11.3 6.43 6.58 5.37 3.56 1.49 0.10 0.26
1927 13.2 5.64 8.19 4.56 2.43 0.37 (0.23) 0.07
1928 18.8 7.04 9.51 3.98 1.59 (0.33) (0.37) (0.15)
1929 27.1 3.94 7.70 3.46 0.97 (0.66) (0.62) (0.31)
1930 22.3 9.94 6.36 3.17 0.59 (0.70) (0.68) (0.34)
1931 16.7 14.70 4.17 2.09 (0.15) (1.46) (0.96) (0.62)
1932 9.3 12.25 1.05 (0.34) (2.10) (2.23) (1.47) (0.99)
1933 8.7 (1.48) (1.26) (2.16) (3.41) (2.70) (1.98) (1.31)
1934 13.0 (2.41) (0.61) (2.24) (3.31) (2.60) (1.84) (1.19)
1935 11.5 (0.91) 0.09 (2.17) (2.94) (2.37) (1.62) (1.00)
1936 17.1 (1.46) 0.05 (2.25) (3.26) (2.20) (1.55) (0.87)
1937 21.6 (0.03) (1.71) (3.64) (3.30) (2.10) (1.39) (0.76)
1938 13.5 1.79 (3.04) (4.47) (3.17) (2.15) (1.32) (0.68)
1939 15.6 1.08 (3.85) (4.63) (3.26) (2.14) (1.30) (0.64)
1940 16.4 (1.09) (4.39) (4.42) (3.18) (2.05) (1.22) (0.59)
1941 13.9 (9.81) (4.49) (4.88) (2.94) (1.95) (1.05) (0.55)
1942 10.1 (6.65) (5.55) (4.09) (2.22) (1.32) (0.57) (0.17)
1943 10.2 (2.37) (5.87) (3.24) (1.86) (0.88) (0.21) 0.19
1944 11.1 (1.71) (5.40) (2.96) (1.56) (0.66) 0.02 0.31
1945 12.0 (1.65) (4.46) (2.56) (1.26) (0.41) 0.19 0.23
1946 15.6 (14.66) (5.26) (2.15) (1.08) (0.17) 0.26 0.24
1947 11.5 (8.24) (2.61) (0.52) 0.13 0.72 0.94 0.77
1948 10.4 0.11 (0.53) 0.21 0.84 1.26 1.45 1.08
1949 10.2 3.27 (0.46) 0.41 0.98 1.42 1.50 1.12
1950 10.7 (5.71) (0.63) 0.39 0.98 1.39 1.19 0.93
JWR1945
***** Legend
Posts: 1697 Joined: Tue Nov 26, 2002 3:59 am
Location: Crestview, Florida
Post
by JWR1945 » Wed Mar 17, 2004 9:07 am
Code: Select all
Year PE10 1 5 10 15 20 25 30
1951 11.9 (2.06) 1.06 1.08 1.59 1.69 1.38 1.29
1952 12.5 1.99 1.61 1.54 1.85 1.85 1.46 1.54
1953 13.0 0.46 0.96 1.53 1.87 1.95 1.41 1.65
1954 12.0 2.37 1.29 1.70 2.06 1.99 1.44 1.84
1955 16.0 2.62 1.41 1.79 2.07 1.65 1.24 1.91
1956 18.3 0.65 1.09 1.85 1.90 1.46 1.34 1.93
1957 16.7 (1.24) 1.46 1.97 1.93 1.42 1.53 2.06
1958 13.8 2.10 2.10 2.32 2.28 1.52 1.79 2.21
1959 18.0 3.01 2.12 2.44 2.23 1.48 1.96 2.28
1960 18.3 0.98 2.17 2.40 1.73 1.20 2.01 2.27
1961 18.5 2.50 2.62 2.31 1.58 1.40 2.10 2.27
1962 21.2 1.93 2.49 2.17 1.41 1.55 2.18 2.22
1963 19.3 2.20 2.55 2.37 1.32 1.71 2.23 2.16
1964 21.6 3.25 2.76 2.28 1.26 1.91 2.31 2.14
1965 23.3 3.24 2.63 1.51 0.88 1.97 2.29 2.14
1966 24.1 1.82 2.00 1.07 0.99 1.97 2.20 2.12
1967 20.4 2.23 1.86 0.87 1.23 2.10 2.17 2.14
1968 21.5 3.29 2.20 0.72 1.43 2.15 2.08 2.19
1969 21.2 2.55 1.80 0.52 1.63 2.19 2.01 2.19
1970 17.1 0.15 0.40 0.02 1.76 2.21 2.04 2.21
1971 16.5 1.11 0.14 0.49 1.95 2.25 2.15 2.22
1972 17.3 3.92 (0.11) 0.92 2.18 2.25 2.20 2.18
1973 18.7 1.30 (0.74) 1.05 2.13 2.05 2.19 2.00
1974 13.5 (4.27) (0.74) 1.55 2.33 2.07 2.27 1.91
1975 8.9 (1.15) (0.36) 2.44 2.82 2.46 2.57 2.01
1976 11.2 (0.14) 0.84 2.87 2.97 2.65 2.65 2.00
1977 11.4 0.68 1.96 3.34 3.05 2.78 2.64 1.96
1978 9.2 1.26 2.87 3.60 3.00 2.93 2.56 1.89
1979 9.3 (2.42) 3.90 3.90 3.02 3.03 2.45 1.80
1980 8.9 4.98 5.32 4.45 3.42 3.32 2.49 1.83
Notice that commercial paper no longer loses money over long periods. Notice that it outperformed stocks for ten to fifteen years many times during the 1960s.
Have fun,
John R.