This R code takes the formula for the Perfect Withdrawal Amount ['PWA'] from the paper by Suarez, Suarez & Walz (SSRN 2551370) and re-samples from 30+ years of annual S&P500 returns to simulate forward investment returns, compute the PWA, and graph the results.
The idea came from "The State of Risk Management" by Newfound Research, August 2018.
To do...
- use 360 monthly simulated returns rather than 30 annual returns
- adjust returns for inflation (ref Newfound)
- Reproduce the Newfound comparison of PWA between all-equity SPX, 60/40 and risk portfolios comprising Salient Risk Parity Index, CBOE S&P500 95-110 Collar index, CBOE S&P500 5% Put Protection index, CBOE S&P500 PutWrite index, long only defensive equity (blend of min vol, quality, dividend growth), trend following strategy (managed futures and tactical equity).
Date 27/11/2018