Sequence Risk: Managing Retiree Exposure to Sequence Risk Through Probability of Failure Based Decision Rules

Larry R. Frank Sr., John B. Mitchell, David M. Blanchett


  • This paper broadens the perspective on sustainable distributions by expanding into three dimensions, introducing transitory states as well as all those states existing simultaneously.
  • Withdrawal rates alone do not tell a complete sustainable distribution story; withdrawal rates are time dependent.
  • The Probability of Failure (POF), a time independent variable, is more useful for true comparison of withdrawal rates over any time period or asset allocation.
  • Comparison of POF surfaces, and their shift between strategies, illustrates how effective one strategy is as compared to another.
  • The methodology presented provides an ability to evaluate sustainable withdrawal rates and exposure to sequence risk together.

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Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.