57 lines
2.3 KiB
Python
57 lines
2.3 KiB
Python
"""Guyton-Klinger 4-rule guardrails (FPA Journal, 2006).
|
|
|
|
Decision rules applied each year, in order:
|
|
|
|
1. **Portfolio-Management Rule** — choose which asset class to draw from
|
|
(we delegate to the simulator's rebalance logic; ignored here).
|
|
2. **Inflation Rule** — skip the inflation uplift on the prior year's
|
|
withdrawal if both:
|
|
a. the prior year's nominal portfolio return was negative, AND
|
|
b. the current withdrawal rate would exceed the initial rate.
|
|
3. **Capital-Preservation Rule** — cut the withdrawal by 10% if the
|
|
current rate exceeds 120% of the initial rate AND there are more
|
|
than 15 years left in the horizon.
|
|
4. **Prosperity Rule** — increase the withdrawal by 10% if the current
|
|
rate is below 80% of the initial rate.
|
|
|
|
This implementation operates in real GBP, so the inflation-skip rule
|
|
has no effect (real values don't drift with inflation). The other three
|
|
rules apply normally. Trade-off: simplifies the math at the cost of
|
|
slightly under-cutting in nominal-stress scenarios.
|
|
|
|
Initial rate baseline: 5.5% of starting portfolio (per Guyton-Klinger
|
|
paper, allows higher sustainable spend than Trinity by tolerating
|
|
guardrail cuts).
|
|
"""
|
|
from __future__ import annotations
|
|
|
|
from fire_planner.strategies.base import StrategyState, WithdrawalStrategy
|
|
|
|
DEFAULT_INITIAL_RATE = 0.055
|
|
CAPITAL_PRESERVATION_RATIO = 1.20
|
|
PROSPERITY_RATIO = 0.80
|
|
ADJUSTMENT = 0.10
|
|
MIN_HORIZON_FOR_CUT = 15
|
|
|
|
|
|
class GuytonKlingerStrategy(WithdrawalStrategy):
|
|
name = "guyton_klinger"
|
|
|
|
def __init__(self, initial_rate: float = DEFAULT_INITIAL_RATE) -> None:
|
|
self.initial_rate = initial_rate
|
|
|
|
def propose_withdrawal(self, state: StrategyState) -> float:
|
|
if state.year_idx == 0:
|
|
return state.initial_portfolio * self.initial_rate
|
|
if state.portfolio <= 0:
|
|
return 0.0
|
|
last_w = state.last_withdrawal
|
|
current_rate = last_w / state.portfolio
|
|
years_left = state.horizon_years - state.year_idx
|
|
# Capital-preservation cut: only if more than 15 years remain.
|
|
if (current_rate > self.initial_rate * CAPITAL_PRESERVATION_RATIO
|
|
and years_left > MIN_HORIZON_FOR_CUT):
|
|
return last_w * (1 - ADJUSTMENT)
|
|
if current_rate < self.initial_rate * PROSPERITY_RATIO:
|
|
return last_w * (1 + ADJUSTMENT)
|
|
return last_w
|