SCV50 Tables
I have calculated the 30-year Historical Surviving Withdrawal Rates for a portfolio consisting of 50% Small Cap Value stocks and 50% commercial paper. Otherwise, these data were taken at conditions identical with those of HDBR50.
I used the Gummy 03 version of the calculator. It has Small Cap Value data for 1928-2000 that Gummy has collected in a database at his site.
Expenses were 0.20%. Portfolio's were rebalanced annually. Withdrawals were increased to match inflation in accordance with the CPI.
A portfolio would have had a positive balance at year 30 with withdrawals at the Historical Surviving Withdrawal Rate. The balance would have been zero or negative at a withdrawal rate that was bigger by 0.1%.
These tables include the Percentage Earnings Yield 100E10/P (which is 100 / [P/E10], where P/E10 is Professor Shiller's measure of valuation for the S&P500). They also include Historical Surviving Withdrawal Rates of HDBR50 for easy comparisons.
Have fun.
John R.
SCV50 Tables
Moderator: hocus2004
Here are the tables.
Data for 1921-1927 use the standard S&P500 calculations from Professor Shiller's database. That is, SCV50 and HDBR50 are identical in those years. Years 2001-2010 have dummy data.
Only the sequences from 1928-1970 depend entirely on Small Cap Value data. Other sequences include some data from other sources.
Year. P/E10, 100E10/P, HDBR50, SCV50
Have fun.
John R.
Data for 1921-1927 use the standard S&P500 calculations from Professor Shiller's database. That is, SCV50 and HDBR50 are identical in those years. Years 2001-2010 have dummy data.
Only the sequences from 1928-1970 depend entirely on Small Cap Value data. Other sequences include some data from other sources.
Year. P/E10, 100E10/P, HDBR50, SCV50
Code: Select all
1921 5.1 19.61 8.1 8.2
1922 6.3 15.87 8.0 8.2
1923 8.2 12.20 7.5 7.8
1924 8.1 12.35 7.6 7.9
1925 9.7 10.31 7.3 7.7
1926 11.3 8.85 6.6 7.0
1927 13.2 7.58 6.4 6.9
1928 18.8 5.32 5.5 6.0
1929 27.1 3.69 4.5 5.1
1930 22.3 4.48 4.4 6.0
1931 16.7 5.99 4.5 7.4
1932 9.3 10.75 5.1 9.6
1933 8.7 11.49 5.7 10.8
1934 13.0 7.69 4.8 7.6
1935 11.5 8.70 5.2 7.9
1936 17.1 5.85 4.3 6.9
1937 21.6 4.63 3.9 5.3
1938 13.5 7.41 4.6 7.4
1939 15.6 6.41 4.4 6.9
1940 16.4 6.10 4.5 7.6
1941 13.9 7.19 5.4 9.5
1942 10.1 9.90 6.2 11.4
1943 10.2 9.80 6.1 11.1
1944 11.1 9.01 5.9 8.5
1945 12.0 8.33 5.7 7.4
1946 15.6 6.41 5.9 6.6
1947 11.5 8.70 7.1 7.9
1948 10.4 9.62 7.4 8.3
1949 10.2 9.80 7.3 9.0
1950 10.7 9.35 7.6 9.3
1951 11.9 8.40 7.1 8.3
1952 12.5 8.00 6.7 8.4
1953 13.0 7.69 6.5 8.6
1954 12.0 8.33 6.6 9.6
1955 16.0 6.25 5.6 7.8
1956 18.3 5.46 5.2 7.6
1957 16.7 5.99 5.3 8.0
1958 13.8 7.25 5.7 9.4
1959 18.0 5.56 4.9 7.6
1960 18.3 5.46 4.9 7.4
1961 18.5 5.41 4.8 8.1
1962 21.2 4.72 4.6 7.5
1963 19.3 5.18 4.8 8.4
1964 21.6 4.63 4.4 7.9
1965 23.3 4.29 4.2 7.6
1966 24.1 4.15 4.1 6.8
1967 20.4 4.90 4.4 7.6
1968 21.5 4.65 4.3 6.3
1969 21.2 4.72 4.3 5.5
1970 17.1 5.85 4.7 6.7
1971 16.5 6.06 4.8 6.9
1972 17.3 5.78 4.7 7.0
1973 18.7 5.35 4.7 7.6
1974 13.5 7.41 5.6 9.7
1975 8.9 11.24 6.7 11.9
1976 11.2 8.93 6.0 10.5
1977 11.4 8.77 6.2 9.3
1978 9.2 10.87 7.0 9.4
1979 9.3 10.75 7.3 9.9
1980 8.9 11.24 7.4 9.6
John R.
A plot of SCV50 versus the percentage earnings yield 100E10/P was unsatisfactory when I used all of the results from 1921-1980. It had an R-squared value of 0.29. The problem had to do with 1921 and 1922 and their exceptionally high earnings yields.
Plots using 1928-1970 and 1928-1980 were satisfactory.
The equation of Calculated Rates using the 1928-1970 data is: y = 0.5392x + 4.1939 with an R-squared of 0.5969.
The equation of Calculated Rates using the 1928-1980 data is: y = 0.5591x + 4.113 with an R-squared of 0.6471. x is the percentage earnings yield. y is the Historical Surviving Withdrawal Rate estimated by a straight line curve fit.
Today's value of 100E10/P is around 3.5%. (P/E10 is around 28 to 29.) Using the 1928-1970 data, the Calculated Rate is 6.08%. Using the 1928-1980 data, the Calculated Rate is 6.07%.
In both cases, according to eyeball estimates, the upper confidence limit is plus 2.0% and the lower limit is minus 1.8%.
These are the rates:
Safe Withdrawal Rate 4.3%
Calculated Rate: 6.1%
High Risk Rate: 8.1%.
I caution readers that Small Cap Value might not actually exist. I found some links that bring up this issue:
The Truth about High Dividends dated Mon Aug 16, 2004.
http://nofeeboards.com/boards/viewtopic.php?t=2886
http://nofeeboards.com/boards/viewtopic ... 256#p23256
http://nofeeboards.com/boards/viewtopic.php?t=2970
IIRC, David Dreman made an extensive review. He found that the Small Cap data that were being used by academia had serious flaws. These included extremely poor liquidity and prices reported as being midway between asked and offered regardless of whether any shares were traded.
Have fun.
John R.
Plots using 1928-1970 and 1928-1980 were satisfactory.
The equation of Calculated Rates using the 1928-1970 data is: y = 0.5392x + 4.1939 with an R-squared of 0.5969.
The equation of Calculated Rates using the 1928-1980 data is: y = 0.5591x + 4.113 with an R-squared of 0.6471. x is the percentage earnings yield. y is the Historical Surviving Withdrawal Rate estimated by a straight line curve fit.
Today's value of 100E10/P is around 3.5%. (P/E10 is around 28 to 29.) Using the 1928-1970 data, the Calculated Rate is 6.08%. Using the 1928-1980 data, the Calculated Rate is 6.07%.
In both cases, according to eyeball estimates, the upper confidence limit is plus 2.0% and the lower limit is minus 1.8%.
These are the rates:
Safe Withdrawal Rate 4.3%
Calculated Rate: 6.1%
High Risk Rate: 8.1%.
I caution readers that Small Cap Value might not actually exist. I found some links that bring up this issue:
The Truth about High Dividends dated Mon Aug 16, 2004.
http://nofeeboards.com/boards/viewtopic.php?t=2886
http://nofeeboards.com/boards/viewtopic ... 256#p23256
Dreman's Blockbuster dated Sun Sep 19, 2004.The next book on my reading list is What Works on Wall Street--Revised Edition, copyright 1998. by James P. O'Shaughnessy.
...
Another important point: the advantage claimed for small cap stocks applies only to micro-cap stocks (with capitalizations no higher than $25 million). Forget about that small cap value slice.
http://nofeeboards.com/boards/viewtopic.php?t=2970
IIRC, David Dreman made an extensive review. He found that the Small Cap data that were being used by academia had serious flaws. These included extremely poor liquidity and prices reported as being midway between asked and offered regardless of whether any shares were traded.
Have fun.
John R.
That's interesting. I have had positive experiences with mutual funds that claim to be SCV since the fall of 2002, but they may not invest in the Fama/French data base stocks.I caution readers that Small Cap Value might not actually exist.
I am not sure a micro cap value index fund could grow large enough to justify its expenses, due to the small capitalization of the sector. Vanguard uses a statistical sampling approach to deal with small caps in their TSM fund, which tend to be larger than micros. Micro cap value seems to work best with individual client managers who can pick wisely.