Publications by klr
Bond Market as a Casino Game Part 1
With this post, I am doing something I try very hard to avoid, especially when communicating to my clients, and that is blurring the line between investing and gambling. But after reading all of Reuven Brenner’s books and finishing Ralph Vince Leverage Space Trading Model, I think blurring the line can offer additional insights and methods no...
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Bond Market as a Casino Game Part 2
Before starting Part 2, please see Bonds as a Casino Game Part 1. For the Monte Carlo random simulation purists, please ignore some unimportant technicalities in my simulation. To spoil the fun, here is the conclusion: Any way you look at it, the US Bond Market has been a wonderfully profitable game, but the game is changing, and past perfor...
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Monitoring Sources of Bond Return
Here is a way to monitor bond return sources in R. In the next iteration, I will use CPI to add history to the series. From TimelyPortfolio So right now, you can expect about a 5% return from bonds. How much of that is real return is unknown. R code: require(quantmod)require(PerformanceAnalytics)require(reshape2)require(ggplot2) getSymb...
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Historical Sources of Bond Returns
As promised in Monitoring Sources of Bond Return, we can show more history if we use CPI instead of expected inflation (from the TIP inflation breakeven yield). Here are the results with history back to 1953. From TimelyPortfolio However, more history includes negative inflation, so I think the chart is a little more clear with a Performan...
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Historical Sources of Bond Returns with Shiller Data 1919-2011
And as usual, I always want a longer data set, so after a little playing with R-Excel, we can extend our historical sources of bond returns to 1919. If nothing else, maybe you can find other uses for the Shiller Dataset in R. From TimelyPortfolio And as an added bonus, we can prepare a boxplot. From TimelyPortfolio As always, please c...
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Historical Bond Price and Total Returns from 10y Yield Series
Without access to Barclays or Merrill Bond Indicies to the 1970s or Ned Davis to 1950, studying historical bond returns is very difficult. Here is a way to derive price and total returns on the 10 year US Treasury back to 1962. I would like to extend to 1871, but monthly yields from Shiller and Fed are averages of the daily yields and not mon...
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Historical Sources of Bond Returns-Comparison of Daily to Monthly
Thanks so much for the comment on my last post Historical Bond Price and Total Returns from 10y Yield Series “I know this might sound antithetical to a bond guy, but won’t the monthly series get you close enough? “ which proved me wrong and allowed me to get nine additional years of history. The question caused me to go one step further...
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Barron’s Spring 2008 Big Money Poll
Barron’s April 28, 2008, Cover Story “Back in the Pool” offers a great hindsight look at our wonderful foresight: “AND NOW, FOR SOME GOOD NEWS: THE OTHER SHOE isn’t going to drop. After a winter of discontent marked by massive write-offs on Wall Street and a wilting economy on Main, America’s portfolio managers have declared that the...
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New Favorite Test of US Monetary Policy Limits
After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield. Unfortunately, it more accurately reveals the cost of aggressive US Fed monetary policy, and I think offers a more d...
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Great FAJ Article on Statistical Measure of Financial Turbulence
I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it. I know that the Financial Analyst Journal is not considered by the academic community as a top-tier journal, but its insights have deepened my understanding and stimulated a lot of very beneficial ...
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