Growth-Value Switching Data
This is the raw data for Switching between Large Cap Growth and Large Cap Value portfolios. The combined stock allocation is 75%. The remaining 25% allocation is in T-Bills.
This uses Gummy’s database.
Gummy's (Peter Ponzo's) Database
This uses my Gummy 04A01 (January 28, 2005) version of the Deluxe Calculator V1.1A08.
Period examined: 1928-1980.
30-Year Historical Surviving Withdrawal Rates.
Calculator settings:
Gummy Algorithms 1 and 2: No.
Initial Balance: $100000
Portfolio Switching.
Expenses: 0.20%.
CPI for inflation.(Rebalanced annually: doesn’t matter with switching.)
Capital Gains removed: 0%.
Dividends reinvested: 100%.
Interest reinvested: 100%.
Portfolios A and B
Portfolio A (replaces stocks):
1) 75% Large Cap Growth Stocks
2) 25% T-Bills
Portfolio A only:
Thresholds set to: 2-78-79-80
Allocations set to: 100%-100%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
1 Failure: 3.7% (1966, 1968)
5 Failures: 3.9%
10 Failures: 4.2%
Portfolio B (replaces commercial paper):
1) 75% Large Cap Value Stocks
2) 25% T-Bills
Portfolio B only:
Thresholds set to: 2-78-79-80
Allocations set to: 100%-0%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
1 Failure: 4.1% (1929, 1930)
5 Failures: 5.6%
10 Failures: 6.6%
Portfolio A when below threshold. Portfolio B when above threshold.
With Switching between Portfolios A and B, I treat Large Cap Growth as the stock component. I treat Large Cap Value as if it were commercial paper.
Thresholds set to: varies-78-79-80
Allocations set to: 100%-0%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 6:
1 Failure: 4.1% (1929, 1930)
5 Failures: 5.6%
10 Failures: 6.8%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 9:
1 Failure: 3.1% (1930)
5 Failures: 5.2%
10 Failures: 6.3%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 12:
1 Failure: 2.5% (1930)
5 Failures: 4.0%
10 Failures: 4.7%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 15:
1 Failure: 2.9% (1930)
5 Failures: 3.9%
10 Failures: 4.5%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 18:
1 Failure: 3.6% (1930)
5 Failures: 4.2%
10 Failures: 4.8%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 21:
1 Failure: 3.3% (1969)
5 Failures: 3.7%
10 Failures: 4.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 24:
1 Failure: 3.7% (1968)
5 Failures: 4.0%
10 Failures: 4.3%
Portfolios C and D
Portfolio C is old Portfolio B but it replaces stocks:
Portfolio C (replaces stocks):
1) 75% Large Cap Value Stocks
2) 25% T-Bills
Portfolio C only:
Thresholds set to: 2-78-79-80
Allocations set to: 100%-100%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
1 Failure: 4.1% (1929, 1930)
5 Failures: 5.6%
10 Failures: 6.6%
Portfolio D is old Portfolio A but it replaces commercial paper:
Portfolio D (replaces commercial paper):
1) 75% Large Cap Growth Stocks
2) 25% T-Bills
Portfolio D only:
Thresholds set to: 2-78-79-80
Allocations set to: 100%-0%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
1 Failure: 3.7% (1966, 1968)
5 Failures: 3.9%
10 Failures: 4.2%
Portfolio C when below threshold. Portfolio D when above threshold.
With Switching between Portfolios C and D, I treat Large Cap Value as the stock component. I treat Large Cap Growth as if it were commercial paper.
Thresholds set to: varies-78-79-80
Allocations set to: 100%-0%-0%-0%-0%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 6:
1 Failure: 3.7% (1966, 1968)
5 Failures: 3.9%
10 Failures: 4.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 9:
1 Failure: 3.9% (1966)
5 Failures: 4.2%
10 Failures: 4.4%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 10:
1 Failure: 4.3% (1966, 1968)
5 Failures: 4.6%
10 Failures: 4.9%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 11:
1 Failure: 4.3% (1966, 1968)
5 Failures: 4.6%
10 Failures: 4.9%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 12:
1 Failure: 4.9% (1966)
5 Failures: 5.3%
10 Failures: 5.7%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 13:
1 Failure: 4.9% (1966)
5 Failures: 5.3%
10 Failures: 5.7%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 14:
1 Failure: 5.0% (1966)
5 Failures: 5.4%
10 Failures: 5.8%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 15:
1 Failure: 5.0% (1966)
5 Failures: 5.4%
10 Failures: 5.8%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 16:
1 Failure: 4.9% (1966)
5 Failures: 5.2%
10 Failures: 5.8%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 17:
1 Failure: 4.1% (1929)
5 Failures: 4.9%
10 Failures: 5.3%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 18:
1 Failure: 4.5% (1929)
5 Failures: 5.2%
10 Failures: 5.7%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 19:
1 Failure: 4.5% (1929)
5 Failures: 5.7%
10 Failures: 6.0%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 20:
1 Failure: 4.5% (1929)
5 Failures: 5.8%
10 Failures: 6.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 21:
1 Failure: 4.5% (1929)
5 Failures: 5.8%
10 Failures: 6.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 22:
1 Failure: 4.3% (1929)
5 Failures: 5.6%
10 Failures: 6.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 23:
1 Failure: 3.6% (1929)
5 Failures: 5.6%
10 Failures: 6.2%
Withdrawal rate for first occurrence of the number of failures:
Threshold = 24:
1 Failure: 3.6% (1929)
5 Failures: 5.6%
10 Failures: 6.6%
Have fun.
John Walter Russell
August 30, 2005
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