Reducing failure rates of portfolios with constant withdrawals

Detalhes bibliográficos
Autor(a) principal: Teixeira, João Miguel Mendes Trigo
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10773/32049
Resumo: Retirement portfolios have constraints. If an investor depends on his portfolio for his daily expenses, the withdrawal amounts must be well planned since they can lead to a total loss of the portfolio balance. In previous literature, a yearly withdrawal of 4% of the initial balance is considered safe, for a portfolio composed of stocks and bonds and a 30-year time horizon. By using backtesting and bootstrapping methods, we reach the conclusion that there are benefits in replacing bonds by real estate, and that a yearly withdrawal of 4% can be excessive, especially in longer time horizons. We also look at the role of gold in retirement portfolios, and obtain promising results in its role on diversifying a portfolio of stocks, opening the door to further research of the role of precious metals in retirement portfolios.
id RCAP_9873ad6df938cba0bf2982602e49abb4
oai_identifier_str oai:ria.ua.pt:10773/32049
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Reducing failure rates of portfolios with constant withdrawalsRetirement portfolioReal estateStocksBondsConstant withdrawals4% ruleRetirement portfolios have constraints. If an investor depends on his portfolio for his daily expenses, the withdrawal amounts must be well planned since they can lead to a total loss of the portfolio balance. In previous literature, a yearly withdrawal of 4% of the initial balance is considered safe, for a portfolio composed of stocks and bonds and a 30-year time horizon. By using backtesting and bootstrapping methods, we reach the conclusion that there are benefits in replacing bonds by real estate, and that a yearly withdrawal of 4% can be excessive, especially in longer time horizons. We also look at the role of gold in retirement portfolios, and obtain promising results in its role on diversifying a portfolio of stocks, opening the door to further research of the role of precious metals in retirement portfolios.Carteiras de investimentos detidas por reformados têm constrangimentos particulares. Ao depender de uma carteira de investimentos para cobrir as despesas do dia a dia, os montantes levantados têm que ser bem previstos, porque poderão levar ao esgotamento da carteira. Tradicionalmente, um levantamento anual de 4% do montante inicial é visto como seguro, para uma carteira constituída por ações e obrigações e um horizonte temporal de 30 anos. Com recurso a simulações baseadas em dados do passado (backtesting e bootstrap) chegamos à conclusão que há benefícios em substituir as obrigações por imobiliário, e que um levantamento anual de 4% pode ser excessivo, nomeadamente em horizontes de reforma mais longos. O papel do ouro também é analizado, mostrando resultados promissores quando acrescentado a uma carteira de ações, abrindo a porta a novos estudos sobre o papel de metais preciosos em carteiras de investimento para a reforma.2023-07-28T00:00:00Z2021-07-19T00:00:00Z2021-07-19info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10773/32049engTeixeira, João Miguel Mendes Trigoinfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-22T12:02:01Zoai:ria.ua.pt:10773/32049Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:03:53.982563Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Reducing failure rates of portfolios with constant withdrawals
title Reducing failure rates of portfolios with constant withdrawals
spellingShingle Reducing failure rates of portfolios with constant withdrawals
Teixeira, João Miguel Mendes Trigo
Retirement portfolio
Real estate
Stocks
Bonds
Constant withdrawals
4% rule
title_short Reducing failure rates of portfolios with constant withdrawals
title_full Reducing failure rates of portfolios with constant withdrawals
title_fullStr Reducing failure rates of portfolios with constant withdrawals
title_full_unstemmed Reducing failure rates of portfolios with constant withdrawals
title_sort Reducing failure rates of portfolios with constant withdrawals
author Teixeira, João Miguel Mendes Trigo
author_facet Teixeira, João Miguel Mendes Trigo
author_role author
dc.contributor.author.fl_str_mv Teixeira, João Miguel Mendes Trigo
dc.subject.por.fl_str_mv Retirement portfolio
Real estate
Stocks
Bonds
Constant withdrawals
4% rule
topic Retirement portfolio
Real estate
Stocks
Bonds
Constant withdrawals
4% rule
description Retirement portfolios have constraints. If an investor depends on his portfolio for his daily expenses, the withdrawal amounts must be well planned since they can lead to a total loss of the portfolio balance. In previous literature, a yearly withdrawal of 4% of the initial balance is considered safe, for a portfolio composed of stocks and bonds and a 30-year time horizon. By using backtesting and bootstrapping methods, we reach the conclusion that there are benefits in replacing bonds by real estate, and that a yearly withdrawal of 4% can be excessive, especially in longer time horizons. We also look at the role of gold in retirement portfolios, and obtain promising results in its role on diversifying a portfolio of stocks, opening the door to further research of the role of precious metals in retirement portfolios.
publishDate 2021
dc.date.none.fl_str_mv 2021-07-19T00:00:00Z
2021-07-19
2023-07-28T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10773/32049
url http://hdl.handle.net/10773/32049
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137694298669056

Registros relacionados