Sequencing risk : the worst returns in their worst order

Basu, Anup K., Doran, Brett M., & Drew, Michael E. (2013) Sequencing risk : the worst returns in their worst order. JASSA, 4, pp. 7-13.

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Abstract

For the first of the baby boomers turning 65 years of age, after a decade littered with financial shocks (dot.com bubble, sub-prime, global financial crisis, sovereign debt), sequencing risk can represent a significant threat to their retirement nest eggs. This paper takes an outcomeoriented approach to the problem, to provide practical insights into how sequencing risk works and the critical dependency of retirement outcomes on sequencing risk. Our analysis challenges the conventional wisdom that it is the accumulated average of investment returns that matter. We show, instead, that it is the realised sequence of returns which largely determines the sustainability of retirement incomes.

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ID Code: 68437
Item Type: Journal Article
Refereed: Yes
Additional URLs:
Keywords: Sequencing risk, Asset allocation, Retirement
ISSN: 0313-5934
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2013 Please consult the authors
Deposited On: 13 Mar 2014 05:33
Last Modified: 17 Mar 2014 16:08

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