Reducing failure rates of portfolios with constant withdrawals
Autor(a) principal: | |
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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. |
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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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