QUICKSTART

This is a series of retirement financial simulations and investigations, initially inspired by Michael McClung's book Living Off Your Money.

QUICKSTART

$ virtualenv . $ bin/pip install --requirement requirements.txt $ bin/jupyter-notebook

JUPYTER NOTEBOOKS

Prime Harvesting. The one that started the project. A comparison of Prime Harvesting and Annual Rebalancing. Blog post.
EM vs. VPW. A comparison of portfolio values and incomes for EM and VPW (from bogleheads).
Inverted Withdrawals. A look at Inverted Withdrawals and blog post.
Liability Matching Portfolio. Haven't done anything with this one yet...
Sleep Well At Night. A first look at bond levels with Prime Harvesting. Blog post.
Monthly Harvesting. The difference between checking annually and checking monthly. Blog post.

DATA SOURCES

CSV imports are easier for the code to deal with, so I've frequently munged original data source into CSV files.

1871_returns.csv comes from Simba's backtesting spreadsheet on bogleheads
2004-period-life-table.csv comes from https://www.kitces.com/joint-life-expectancy-and-mortality-calculator/
PortfolioChart.com 'simulated indexes'. The blog post introducing them is https://portfoliocharts.com/stock-index-calculator/

I've also included local copies of some of the Excel sheets the CSV files were derived from.

Simba's backtesting spreadsheet
PortfolioChart.com 'simulated indexes' raw Excel file

FUTURE IDEAS

Probability of failure and SIZE of failure might be different. You might choose the plan with the higher probability of failure because the size of failure is smaller. See: Estrada's new paper
Try to tie together Prime Harvesting and valuations better.
CEW (and by extension WER & HREFF) punishing declining withdrawal rates. However, the evidence from actual retirees (Bernicke & others) shows that's exactly what retirees do. Have a metric that follows this?
Mortality-weighted shortfall calculations from Gardner's paper. Except...when you do Monte Carlo with stochastic mortality, you get this already.
Look at how bond percentages change with monthly Prime Harvesting.
Look at how valuation/expected returns in PMT does long term smoothing
Try putting Pye's higher rate with Siegel & Waring's average lifespan Does it tilt TOO much towards early income?
Map early income tilts from PMT shapes against Bernicke & Blanchett's research on actual retiree spending.
Walton's paper on inverted withdrawals
Treat SS as a bond, argument against: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=200572&newpost=3072525#p3072379
"Alpha, Beta, and now Gamma" includes parameters for asset classes that allows use of a Truncated Levy Flight distribution to create Monte Carlo analysis. That sounds fun?
redo Blanchett's Revisiting the Optimal Distribution Glide Path with a variable withdrawal strategy instead of constant withdrawals

Name		Name	Last commit message	Last commit date
Latest commit History 354 Commits
harvesting		harvesting
mortality		mortality
sources		sources
withdrawal		withdrawal
.gitignore		.gitignore
100-0 vs 60-40.ipynb		100-0 vs 60-40.ipynb
1871_returns.csv		1871_returns.csv
1972 Type 2 Error.ipynb		1972 Type 2 Error.ipynb
ADD vs VPW.ipynb		ADD vs VPW.ipynb
Accumulation.ipynb		Accumulation.ipynb
Actuarial Harvesting.ipynb		Actuarial Harvesting.ipynb
Banking PMT.ipynb		Banking PMT.ipynb
Ben Mathew.ipynb		Ben Mathew.ipynb
Best & Worst Years.ipynb		Best & Worst Years.ipynb
Blanchett Smile.ipynb		Blanchett Smile.ipynb
Bond Correlations.ipynb		Bond Correlations.ipynb
Bond Fund Simulator [Annual, OECD].ipynb		Bond Fund Simulator [Annual, OECD].ipynb
Bond Fund Simulator.ipynb		Bond Fund Simulator.ipynb
Bond Simulator 2020.ipynb		Bond Simulator 2020.ipynb
Bond Tents [Coverage Ratio].ipynb		Bond Tents [Coverage Ratio].ipynb
Bond Tents [VPW, CEW].ipynb		Bond Tents [VPW, CEW].ipynb
CAPE10 Rebalancing (Annual).ipynb		CAPE10 Rebalancing (Annual).ipynb
CAPE10 Rebalancing (Monthly).ipynb		CAPE10 Rebalancing (Monthly).ipynb
CAPE10 and PMT.ipynb		CAPE10 and PMT.ipynb
Depletion Calculator.ipynb		Depletion Calculator.ipynb
Dip into principal.ipynb		Dip into principal.ipynb
EM vs VPW.ipynb		EM vs VPW.ipynb
ERN vs VPW.ipynb		ERN vs VPW.ipynb
ElephantsAreHeavy.ipynb		ElephantsAreHeavy.ipynb
FEDFUNDS.csv		FEDFUNDS.csv
Fall from higher.ipynb		Fall from higher.ipynb
Funded Ratios.ipynb		Funded Ratios.ipynb
Going Back to Work.ipynb		Going Back to Work.ipynb
Income Smoothing 2.ipynb		Income Smoothing 2.ipynb
Income Smoothing.ipynb		Income Smoothing.ipynb
Inverted Withdrawal Rates.ipynb		Inverted Withdrawal Rates.ipynb
JSTdatasetR4.dta		JSTdatasetR4.dta
Japan SWRs.ipynb		Japan SWRs.ipynb
LICENSE.md		LICENSE.md
LMP.ipynb		LMP.ipynb
Low Yield SWR.ipynb		Low Yield SWR.ipynb
MER (Moisand Efficient Rate) Comparisons.ipynb		MER (Moisand Efficient Rate) Comparisons.ipynb
Margin Simulator.ipynb		Margin Simulator.ipynb
Mitigate SRR.ipynb		Mitigate SRR.ipynb
Monthly Bond Fund Simulator [Japan, FRED].ipynb		Monthly Bond Fund Simulator [Japan, FRED].ipynb
Monthly Bond Fund Simulator [Japan].ipynb		Monthly Bond Fund Simulator [Japan].ipynb
Monthly Bond Fund Simulator.ipynb		Monthly Bond Fund Simulator.ipynb
Monthly Harvest (part 1).ipynb		Monthly Harvest (part 1).ipynb
Monthly Harvest (part 2).ipynb		Monthly Harvest (part 2).ipynb
Nominal Portfolios w 4 percent withdrawals.ipynb		Nominal Portfolios w 4 percent withdrawals.ipynb
OECD IMF RoE Interest Rates.xlsx		OECD IMF RoE Interest Rates.xlsx
OmegaNot Details.ipynb		OmegaNot Details.ipynb
OmegaNot.ipynb		OmegaNot.ipynb
PMT Prime.ipynb		PMT Prime.ipynb
Perpetual Drawdowns.ipynb		Perpetual Drawdowns.ipynb
Perpetual Failure Rate.ipynb		Perpetual Failure Rate.ipynb
Picking a Floor.ipynb		Picking a Floor.ipynb
Prime Harvest Till Death.ipynb		Prime Harvest Till Death.ipynb
Prime Harvesting Accumulation.ipynb		Prime Harvesting Accumulation.ipynb
Prime Harvesting.ipynb		Prime Harvesting.ipynb
Pye's discount rate.ipynb		Pye's discount rate.ipynb
README.md		README.md
Return of Everything.ipynb		Return of Everything.ipynb
SWR & Stock % [Monthly Data].ipynb		SWR & Stock % [Monthly Data].ipynb
SWR & Stock %.ipynb		SWR & Stock %.ipynb
SWR v PWR.ipynb		SWR v PWR.ipynb
SWR+VPW.ipynb		SWR+VPW.ipynb
SWRs Global.ipynb		SWRs Global.ipynb
Sequence Risk.ipynb		Sequence Risk.ipynb
Sequence of Risks (ERN reply).ipynb		Sequence of Risks (ERN reply).ipynb
Sleep Well At Night Redux.ipynb		Sleep Well At Night Redux.ipynb
Sleep Well At Night.ipynb		Sleep Well At Night.ipynb
Spending Principal.ipynb		Spending Principal.ipynb
Test Harvesting.ipynb		Test Harvesting.ipynb
US_1871_Monthly.csv		US_1871_Monthly.csv
US_1871_Monthly.ods		US_1871_Monthly.ods
VPW Caps & Minimums.ipynb		VPW Caps & Minimums.ipynb
WER Comparisons [Harvest Strategies].ipynb		WER Comparisons [Harvest Strategies].ipynb
WER Comparisons.ipynb		WER Comparisons.ipynb
WER Detailed [Harvest Strategies].ipynb		WER Detailed [Harvest Strategies].ipynb
Walton Tilt.ipynb		Walton Tilt.ipynb
Withdrawals as Dividends.ipynb		Withdrawals as Dividends.ipynb
Year 2000 SWR Progress Report.ipynb		Year 2000 SWR Progress Report.ipynb
accumulation.py		accumulation.py
adt.py		adt.py
am_bogleheads.ipynb		am_bogleheads.ipynb
bond_rates.csv		bond_rates.csv
bond_simulator.py		bond_simulator.py
bonds-monthly-annual.csv		bonds-monthly-annual.csv
bonds-monthly-australia-rba.csv		bonds-monthly-australia-rba.csv
bonds-monthly-japan-fred.csv		bonds-monthly-japan-fred.csv
bonds-monthly-japan.csv		bonds-monthly-japan.csv
bonds-monthly.csv		bonds-monthly.csv
cape10.csv		cape10.csv
common.py		common.py
consumer_bundle.csv		consumer_bundle.csv
dms.py		dms.py
fin.py		fin.py
japan-1957-2016.csv		japan-1957-2016.csv
japan-1975-2016.csv		japan-1975-2016.csv

License

hoostus/prime-harvesting

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