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Beware of Survivorship Bias When Investing

2023/2/15

Money For the Rest of Us

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David Stein

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David Stein：本期节目探讨了投资中的幸存者偏差，特别是美国股市长期高回报的背后风险。通过地震保险的例子，引出了幸存者偏差的概念，即只关注成功的案例而忽略失败的案例。美国股市长期高回报可能源于幸存者偏差，因为它避免了其他国家经历的重大灾难和危机，例如战争、政变和恶性通货膨胀。研究表明，美国股市存在37%的可能性发生80%或更大的股市崩盘，但由于它尚未发生，投资者可能低估了这种风险。 4%退休支出规则也可能存在幸存者偏差，因为它主要基于美国市场数据。一项基于全球数据的分析显示，使用4%规则的退休夫妇面临17%的破产概率，为了将破产概率降低到1%，初始支出率需要降低到0.8%。为了应对这些风险，投资者需要采取多元化投资策略，例如构建全球投资组合，减少对美国股市的依赖。同时，应该考虑使用年金等保障收入来源，降低对股市波动的依赖。此外，投资者可以根据市场表现调整支出，延迟领取社保，以提高退休资金的持久性。虽然美国经济规模和多样性使其更能抵御冲击，但投资者不应忽视灾难性事件的可能性。在制定退休计划时，需要权衡风险和回报，选择适合自身风险承受能力的策略。

Deep Dive

Chapters

This chapter starts with a personal anecdote about earthquake insurance. The author discusses the factors influencing his decision to renew earthquake insurance for his home in Tucson and the rationale behind not having it for his cabin in Idaho. The discussion leads to an introduction of survivorship bias using this example.

Earthquake insurance renewal decision based on probability of earthquake and cost of premium
Survivorship bias: focusing on successful examples while ignoring failures

Shownotes Transcript

Why long-term U.S. stock market outperformance could be because it has avoided major catastrophes. Does an over-reliance on historical U.S. stock returns when modeling retirement outcomes lead to spending rates that are too high?

Topics covered include:

Why you might consider earthquake insurance
What is survivorship bias and what are some examples
Why the U.S. is an outlier when it comes to stock market performance
Why the 4% retirement spending rule might be too high
If the 4% spending rule is too high, what can retirees do instead to have enough for retirement
Why the size and scale of the U.S. economy provide some resistance to catastrophes

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Show Notes

Homefacts)

Survivorship Bias—Matt Rickard)

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach by Jules H. van Binsbergen, Et al.—SSRN)

The Financial History of Emerging Markets: New Indices by Bryan Taylor—SSRN)

The (Time-Varying) Importance of Disaster Risk by Ivo Welch—Financial Analyst Journal)

The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets by Aizhan Anarkulova, Et al.—SSRN)

The 2.7% Rule for Retirement Spending by Ben Felix—YouTube)