The following is an adaptation of an email I sent to someone in response to a question on "which retirement researcher/practitioner do you think influenced your thinking most?" In real life, the question and answer are more process than snapshot but I took at shot at answering the question as a snapshot. I've made some edits and additions to the email in this post as well as some likely and accidental omissions. This is not in rank order, just an impressionistic melange:
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David Cantor -- Pension Risk at PwC. I doubt that without the questions, correspondence, encouragement and youthful enthusiasm from David that I would've hung around doing this for so long for so free. David was my earliest and most consistent correspondent and a source for a large percentage of the things I have read over the last three years.
Moshe Milevsky -- @RetirementQuant -- His book 7 Equations was the thing that flipped the "on switch" for me for the quantitative evaluation of retirement processes with emphasis on processes. The depth and breadth of his capability is awe inspiring plus he can communicate the ideas to mortals not only without being condescending but also by making it interesting and useful. I once looked at hundreds of pages of nothing but retirement calculus coming from him in some document or other and wondered wtf? is there no bottom to the well? He also once graciously met me in person to tutor me on something I was struggling with. Generous.
Dirk Cotton -- theretirementcafe.com -- Dirk runs a well known and deeply thought blog on retirement and, as a bonus, is also a retiree like me. He hit the quant trail hard and well while also being a practitioner to boot. He's even had some of his quantitative retirement research published in journals. Back when I had an excel spreadsheet doing a Flintstone-era version of a simulator that took about three hours to run, I read about some "old guy" (just kidding Dirk) who had coded a MC simulation in R (I wondered at the time: what's an R?) and I thought: what the hell, if HE can figure it out, so can I. And I did. Then it was off to the races. Dirk appears to share my opinion that more academic researchers should also be retired to add some real context to their work, a reason I do this blog. Dirk would be on the top of my to-meet list.
Darrow Kirkpatric -- canIretireyet.com -- Darrow is another retiree that took a quant turn for a while. His blog, now assisted by Chris Mamula, focuses a little more on lifestyle and mechanics these days but then again so should I. Darrow's open blog style and generous early correspondence with me nudged me early on towards my current direction.
Joe Tomlinson -- Read any of Joe's articles or papers and what comes across is a calm common-sense intelligence backed up by serious quantitative rigor which, if I recall, comes from an actuarial background. He'd be my advisor if I could arrange it.
Francois Gadenne -- ctri-usa.org -- Francois is in that rare class of smart, quantitatively informed retirees -- emphasis on retiree, since that brings important benefits to his point of view -- that try to bring "real" retirement and the math into the same tent. So dissatisfied was he with the sorry status-quo of what real world advisors were bringing to the table for real retirees that he helped try to solve the problem himself by building the RIIA and the RMA designation in order to credential advisors in the very specific discipline of retirement income and retirement management planning. Francois once sought me out and flattered me with some complements on my work (try it and see if you're on my list next year). He has also provided me with a fair amount of the recommendations for the pile that has become my read-list. All of them are right at or just beyond what I am capable of getting; the implied stretch is hard but constructive.
Gordon Irlam -- aacalc.com -- Gordon is kinda undefined for me (he defines himself here) but evidently and obviously he is a technical and quantitative savant that just for the heck of it decoded some of the most difficult problems in retirement finance and also wrote a paper that amended some of the work by R. Merton (really!? who does that for fun?). Gordon also graciously corresponded with me to help me with my effort to do backward induction and stochastic dynamic programming. I aspire to know as much as he knows but at 60 I don't think I have either the time or energy.
Corey Hoffstein -- www.thinknewfound.com -- Corey is in here because he's one of the few in the practicing (etf-strategy, fintwit, quant research, alt risk...not sure yet what to call it) space that seems to cover all of the same ground I've tried myself: traditional finance theory, real lifecycle decumulation considerations, and rules based trading systems and systematic alternative risk. In addition his work is always hard-core quantitative research that rests on a solid, evidence based foundation. ...Plus he was generous with his comments on my work. I can recall very few, if any, of the Newfound blog posts where I have not learned at least something new.
Corey Hoffstein -- www.thinknewfound.com -- Corey is in here because he's one of the few in the practicing (etf-strategy, fintwit, quant research, alt risk...not sure yet what to call it) space that seems to cover all of the same ground I've tried myself: traditional finance theory, real lifecycle decumulation considerations, and rules based trading systems and systematic alternative risk. In addition his work is always hard-core quantitative research that rests on a solid, evidence based foundation. ...Plus he was generous with his comments on my work. I can recall very few, if any, of the Newfound blog posts where I have not learned at least something new.
Cliff Asness -- Ok, Cliff, who is well known and with whom I have never corresponded, is not a "retirement researcher" as such but since he is at the top of the game of systematic alternative risk (and I have tried to do my own home rolled version) I put him here. Alt-risk is an underappreciated potential contributor to retirement sustainability. That and his work is nothing if not rigorous and very very grounded. I'll call him an influencer and aspiration giver.
Menahem Yaari -- I throw Yaari in here because I had seen his 1965 paper referenced all the time in what I read. When I finally got my hands on a copy, even though I can't really "read" it it was an eye-opener in ways to view retirement through a rigorous and economics focused lens. The connections I made in that paper have shaped and redirected the ways I now think about retirement finance and analysis.
Karsten Jeske -- earlyretirementnow.com -- Karsten is a PhD in Economics from the University of Minnesota, a CFA charterholder, worked at the Federal Reserve bank in Atlanta, and worked in the research department of a large investment manager in San Francisco.... so, rigor .... but also, importantly, an early retiree. This is important because the real lived experience of retirement risk focuses the quantitative mind in ways that few purely academic researchers, or even practioners that work with retirees directly, will ever truly understand.
Ken Steiner -- howmuchcaniaffordtospendinretirement.blogspot.com -- Winner of the longest url award, Ken's single minded focus on using an actuarial balance sheet approach to monitor and manage retirement is bracing, simple, constructive, and among the most important topics in retirement. Ken is a retired actuary (have I mentioned yet that being retired adds quality and cred to retirement analysis by the quantitatively inclined?) and advocates "the use of basic actuarial and financial economic principles to help people make better financial decisions." I support that. Ken's approach has been a touchstone in my own personal financial management even though I have been managing to a balance sheet for over 20 years.
My Daughters -- Watching them learn and grow as they grew up made me jealous of their learning capacity and desire. Like my comment on Dirk above: if they could do it, I thought, so could I. The same thing happened once when a daughter learned to ski in 15 minutes. If she could do it, I thought... I went out the next day (after waiting for 30 years) and learned in 45 min. Why did I wait? I'll unfairly (to my younger two) single out here my oldest since she's the only one in college yet. I saw her put her nose to the grindstone in 6th grade and work her *** off every day for 7 years like a full time job. Now a straight A (knock on wood) economics senior at Stanford (plus a high-school summer at Harvard in bio chem research...I'm really bragging now...). I borrowed heavily from the bank of her energy and resolve and quantness and invested all of it in RiversHedge.
WellsFargo -- Let's be clear. This was a negative, but in the end constructive, influence. When I first retired I leaned on some private bank staff to help me with the question of sustainability about which I knew nothing at the time and had some fear. The first effort took a team of three or four people more than two weeks with third-party software to produce what was effectively a Monte Carlo simulation with a few embellishments. Let's count what went awry: (1) two+ weeks and a whole team? really? (2) there was an estimated success rate of 80% with no good interpretation of or education on success or fail rates and no estimate of the magnitudes involved or even sensitivities. These were 20 and 30 year olds explaining a retirement they couldn't imagine, using software and math they didn't understand, to a retiree with real skin in the game with a need to know. aack! The real success rate estimate, which I later recreated myself in retrospect, was actually closer to 10-20% at the time. That's one big freakin' miss. (3) when I wanted to do a re-run to gauge some tradeoffs and sensitivities I was offered a price of $4,000.00 for the service since the first had been gratis. 4K??? Gratis??? I won't say how much in fees WF had received over the preceding 20 years but... This WF "fail" planted the seeds of doubt, resentment, and wonder at the depth of my advisor's faults (they also, btw, flubbed my divorce split when they (a) negligently mis-applied a calculation an attorney had explicitly showed us how to make, then (b) denied they did it, and then (c) refused to help reverse the error, an error equivalent to 2 or 3 years of retirement). Those seeds germinated when I asked myself "can't I do this myself? Maybe I can do something in excel." About two months later, while folding laundry, the sprout popped through when I had an aha moment on how to code a simple excel sim using VBA. Most of RiversHedge stems from that moment so I guess thank you WF. I no longer use WF for anything except checking. And let's also ignore the fact that I don't really believe in fail rates as such any more.
Future -- If I do another edition of this I'd probably add some names not all of which are explicitly related to retirement research. For starters I'd maybe add: Javier Estrada, M Kitces, W Pfau, James Picerno, Tadas Viskanta, Patrick Collins, Suarez, Sexauer, Michael Zwecher, R Michaud, D Mindlin, A Meucci, Bernstein, Maurer, H Huang, David Blanchett, Marlena Lee, S F Leung, etc. I am sure I am forgetting some other key influencers. I'll call out Collins here in particular because I am currently re-reading his 2015 CFA literature review on Retirement Income Solutions that is a tour de force now that I know what I am looking at.
My Daughters -- Watching them learn and grow as they grew up made me jealous of their learning capacity and desire. Like my comment on Dirk above: if they could do it, I thought, so could I. The same thing happened once when a daughter learned to ski in 15 minutes. If she could do it, I thought... I went out the next day (after waiting for 30 years) and learned in 45 min. Why did I wait? I'll unfairly (to my younger two) single out here my oldest since she's the only one in college yet. I saw her put her nose to the grindstone in 6th grade and work her *** off every day for 7 years like a full time job. Now a straight A (knock on wood) economics senior at Stanford (plus a high-school summer at Harvard in bio chem research...I'm really bragging now...). I borrowed heavily from the bank of her energy and resolve and quantness and invested all of it in RiversHedge.
WellsFargo -- Let's be clear. This was a negative, but in the end constructive, influence. When I first retired I leaned on some private bank staff to help me with the question of sustainability about which I knew nothing at the time and had some fear. The first effort took a team of three or four people more than two weeks with third-party software to produce what was effectively a Monte Carlo simulation with a few embellishments. Let's count what went awry: (1) two+ weeks and a whole team? really? (2) there was an estimated success rate of 80% with no good interpretation of or education on success or fail rates and no estimate of the magnitudes involved or even sensitivities. These were 20 and 30 year olds explaining a retirement they couldn't imagine, using software and math they didn't understand, to a retiree with real skin in the game with a need to know. aack! The real success rate estimate, which I later recreated myself in retrospect, was actually closer to 10-20% at the time. That's one big freakin' miss. (3) when I wanted to do a re-run to gauge some tradeoffs and sensitivities I was offered a price of $4,000.00 for the service since the first had been gratis. 4K??? Gratis??? I won't say how much in fees WF had received over the preceding 20 years but... This WF "fail" planted the seeds of doubt, resentment, and wonder at the depth of my advisor's faults (they also, btw, flubbed my divorce split when they (a) negligently mis-applied a calculation an attorney had explicitly showed us how to make, then (b) denied they did it, and then (c) refused to help reverse the error, an error equivalent to 2 or 3 years of retirement). Those seeds germinated when I asked myself "can't I do this myself? Maybe I can do something in excel." About two months later, while folding laundry, the sprout popped through when I had an aha moment on how to code a simple excel sim using VBA. Most of RiversHedge stems from that moment so I guess thank you WF. I no longer use WF for anything except checking. And let's also ignore the fact that I don't really believe in fail rates as such any more.
Future -- If I do another edition of this I'd probably add some names not all of which are explicitly related to retirement research. For starters I'd maybe add: Javier Estrada, M Kitces, W Pfau, James Picerno, Tadas Viskanta, Patrick Collins, Suarez, Sexauer, Michael Zwecher, R Michaud, D Mindlin, A Meucci, Bernstein, Maurer, H Huang, David Blanchett, Marlena Lee, S F Leung, etc. I am sure I am forgetting some other key influencers. I'll call out Collins here in particular because I am currently re-reading his 2015 CFA literature review on Retirement Income Solutions that is a tour de force now that I know what I am looking at.
Nice list. I've read all of them except David Cantor, so I have a new name to pick up. I think that David Blanchett has done the best overall work over the past decade or so. Admittedly that's an arbitrary measure covering rigor, variety of topics, novelty, and so on. But I also feel like it has been a two or three years since he's had a paper that I thought was really good.
ReplyDeleteA few others that aren't as prolific but also have written a few nice papers/articles: Gordon Pye, Laurence Siegel, and Anna Rappaport.
One of the biggest eye-openers for me was Robert Gordon's two articles on the Boskin Commission ("The Boskin Commission and Its Aftermath" and "The Boskin Commission Report: A Retrospective One Year Later") which helped clarify how squishy inflation is and the limits of the reliability of past inflation data.
Thanks. David Cantor is a friend that is a pension risk director at PwC so does not publish as such although he is involved with the pension section of the SOA where he has written some stuff I think. Follow him on twitter @drctypea. Blanchett I follow and read and I even once printed and read his PhD thesis. I did not highlight him because I don't feel like he has yet nudged me hard in one direction or another. Generous in responding by email, though. Pye is on my list. If I recall, his was a big fat book. Siegel I had the pleasure of corresponding with once. Nice guy. Right now I'm going back through Collins 2015 "Longevity Risk and Retirement Income Planning" which is a very very good lit review and printing off some of the older and/or seminal papers that are not behind pay walls. Older papers might seem out of date but often aren't and are a good foundation. For example I just printed Dybvig 1999 "using asset allocation to protect spending" and am looking forward to it. Yaari 65 was a revelation. My printed stack of everything over 3 years is now about 3 feet tall.
DeleteThanks Will! Great list to be a part of. Glad I've been able to be helpful. Here is a link to my linkedin profile where you can see some of my publications - https://www.linkedin.com/in/david-r-cantor-cfa-frm-asa-ea-b050113/.
DeleteYou may know this, but all Blanchett's papers can be found here: http://www.davidmblanchett.com/research.
Also, because you mention Siegel, Barton Waring has also done great work in the retirement and pension arena. He and Siegel tagteam on many papers. You can find his work here: http://www.bartonwaring.com/
Thanks David. Since the question is direct influence you are on my list (and others aren't). I forgot about Waring. Fwiw, Barton and I corresponded in May '16 on ARVA. Seems like a nice guy. Which reminds me. I may have posted on this before but the whole ret-fin community seems to be quite amiable and helpful. Over 3 years I have reached out to almost everyone on the broader list that I haven't posted and maybe only one or two have not replied. I was always surprised by that willingness to help but it's reaffirming in a way in such an otherwise polarized world.
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