Here are some tables using Mike's data for the returns of Small Capitalization Value stocks. His data is for 1927-2003. I have used S&P500 data for 1921-1926 and the dummy data in our calculators for 2004-2010.
With 50% Small Cap Value stocks and 50% commercial paper, a plot of Historical Surviving Withdrawal Rates (HSWR, also known as Historical Database Rates) for 1921-1980 is fit with a line y = 0.3301x + 3.116 with an R-squared of 0.6936, where y is the Historical Surviving Withdrawal Rate and x is the percentage earnings yield 100E10/P. Data from 1926-1975 are fit with a line y = 0.3748x + 2.7804 with an R-square of 0.578.
With 80% Small Cap Value stocks and 20% commercial paper, a plot of Historical Surviving Withdrawal Rates for 1921-1980 is fit with a line y = 0.519x + 2.6862 with an R-squared of 0.6697. Data from 1926-1975 are fit with a line y = 0.7796x + 1.0006 with an R-squared of 0.7386.
In all cases, portfolios were rebalanced annually. The expenses were 0.20% of the current balance. Withdrawal rates are relative to the portfolio's initial balance. Withdrawal amounts were adjusted to match inflation as measured by CPI-U. The portfolio lifespans were 30 years. When withdrawals were made at a rate 0.1% higher than the Historical Surviving Withdrawal Rate, a portfolio would have failed within 30 years. When withdrawals were made at the Historical Surviving Withdrawal Rate, a portfolio would have survived for the entire 30-year period.
Have fun.
John R.
Small Cap Value and Commercial Paper HSWR
Moderator: hocus2004
Table of HSWR for 50% Small Cap Value stocks and 50% commercial paper.
Table of 1921-1980 Historical Surviving Withdrawal Rates for 50% Small Cap Value stocks and 50% commercial paper. This form is easier for copying into and Excel spreadsheet or a Word table.
Have fun.
John R.
Code: Select all
Year 100E10/P SCV
1921 19.61 8.1
1922 15.87 8.0
1923 12.20 7.5
1924 12.35 7.6
1925 10.31 7.3
1926 8.85 6.6
1927 7.58 6.4
1928 5.32 5.5
1929 3.69 4.5
1930 4.48 4.4
1931 5.99 4.5
1932 10.75 5.1
1933 11.49 5.7
1934 7.69 4.8
1935 8.70 5.2
1936 5.85 4.3
1937 4.63 3.9
1938 7.41 4.6
1939 6.41 4.4
1940 6.10 4.5
1941 7.19 5.4
1942 9.90 6.2
1943 9.80 6.1
1944 9.01 5.9
1945 8.33 5.7
1946 6.41 5.9
1947 8.70 7.1
1948 9.62 7.4
1949 9.80 7.3
1950 9.35 7.6
1951 8.40 7.1
1952 8.00 6.7
1953 7.69 6.5
1954 8.33 6.6
1955 6.25 5.6
1956 5.46 5.2
1957 5.99 5.3
1958 7.25 5.7
1959 5.56 4.9
1960 5.46 4.9
1961 5.41 4.8
1962 4.72 4.6
1963 5.18 4.8
1964 4.63 4.4
1965 4.29 4.2
1966 4.15 4.1
1967 4.90 4.4
1968 4.65 4.3
1969 4.72 4.3
1970 5.85 4.7
1971 6.06 4.8
1972 5.78 4.7
1973 5.35 4.7
1974 7.41 5.6
1975 11.24 6.7
1976 8.93 6.0
1977 8.77 6.2
1978 10.87 7.0
1979 10.75 7.3
1980 11.24 7.4
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John R.
Table of HSWR for 80% Small Cap Value stocks and 20% commercial paper.
Table of 1921-1980 Historical Surviving Withdrawal Rates for 80% Small Cap Value stocks and 20% commercial paper. This form is easier for copying into and Excel spreadsheet or a Word table.
Have fun.
John R.
Code: Select all
Year 100E10/P SCV
1921 19.61 9.8
1922 15.87 9.9
1923 12.20 8.9
1924 12.35 9.2
1925 10.31 8.5
1926 8.85 7.5
1927 7.58 7.2
1928 5.32 5.8
1929 3.69 4.4
1930 4.48 4.6
1931 5.99 5.0
1932 10.75 6.9
1933 11.49 8.0
1934 7.69 6.2
1935 8.70 7.1
1936 5.85 5.4
1937 4.63 4.6
1938 7.41 6.0
1939 6.41 5.6
1940 6.10 5.8
1941 7.19 7.3
1942 9.90 9.0
1943 9.80 8.7
1944 9.01 8.1
1945 8.33 7.7
1946 6.41 7.4
1947 8.70 9.5
1948 9.62 10.2
1949 9.80 10.0
1950 9.35 10.3
1951 8.40 9.2
1952 8.00 8.5
1953 7.69 8.2
1954 8.33 8.4
1955 6.25 6.6
1956 5.46 5.7
1957 5.99 5.9
1958 7.25 6.5
1959 5.56 5.2
1960 5.46 5.1
1961 5.41 5.1
1962 4.72 4.6
1963 5.18 4.9
1964 4.63 4.4
1965 4.29 4.0
1966 4.15 3.9
1967 4.90 4.4
1968 4.65 4.1
1969 4.72 4.1
1970 5.85 4.8
1971 6.06 4.8
1972 5.78 4.6
1973 5.35 4.6
1974 7.41 5.9
1975 11.24 7.8
1976 8.93 6.6
1977 8.77 6.6
1978 10.87 7.9
1979 10.75 8.2
1980 11.24 8.2
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John R.