By the same authors

Reducing sequence risk using trend following investment strategies and the CAPE

Research output: Working paperDiscussion paper



Publication details

DatePublished - Sep 2016
Original languageEnglish

Publication series

NameDepartment of Economics Discussion Papers in Economics


Sequence risk is a poorly understood, but crucial aspect of the risk faced by many investors. Using US equity data from 1872-2015 we apply the concept of Perfect Withdrawal Rates to show how this risk can be significantly reduced by applying simple, trend following investment strategies. We also show that knowing the CAPE ratio at the beginning of a decumulation period is useful for predicting and enhancing the sustainable withdrawal rate.

    Research areas

  • Sequence Risk; Perfect Withdrawal Rate; Decumulation; Trend-Following; CAPE

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