The Lehman / Barclay’s / Bloomberg Aggregate Bond Index dates to the 1970s. Historical back tests of investment strategies and outcomes that extend past 1973 have had to use either long bonds or short Treasuries. In terms of capturing returns over a complete market cycle, both long and short...

This paper frames the decision to purchase a fixed immediate annuity as a wager that can be won or lost. The alternative bet is to hold a portfolio of long government bonds, drawing income and liquidating principal as necessary. There is some probability of ruin in either case: the bond...

This paper probes the question of how long retirement savings can be sustained under mandated withdrawals whose rate increases with age. It begins with idealized, constant rates of return typical of balanced funds. These laboratory analyses show that funds are unlikely to be exhausted before age...