Blog Archives

Foreign Currencies and US 10y Treasury Yields

January 17, 2012
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Foreign Currencies and US 10y Treasury Yields

Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...

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Are We Japanese?

January 13, 2012
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Are We Japanese?

Most of the discussion trying to determine if the U.S. is Japan 20 years later focuses on the economy and the stock market.  However, one of the biggest and most persistent correlations between Japan and the U.S. are the Japanese Yen and the U.S. ...

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Stocks When Bonds are Extreme

January 12, 2012
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Stocks When Bonds are Extreme

In Extreme Bond Returns, I did not consider the context of extreme bond returns, so let’s examine annual returns for the Dow Jones Industrial Average when bonds experience extreme annual returns.  I was very surprised that stocks performed extre...

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Quick Update on the Components of Bond Returns

January 12, 2012
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Quick Update on the Components of Bond Returns

In Real Squeeze, -1% Guaranteed Real Real Return! Yummy??, and Historical Sources of Bond Returns, I offer some historical perspective on the only sources of bond returns: inflation, real returns, and credit.  Assuming no credit risk in US Treasur...

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Survey Time

January 11, 2012
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Survey Time

After I completed the vignette survey http://lamages.blogspot.com/2012/01/feedback-from-vignette-survey.html, I was amazed with the process, functionality, and potential R integration from Google Docs forms.  I just had to make one of my own. As I...

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R in Axys (Impossible Dream)

January 9, 2012
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R in Axys (Impossible Dream)

It has always been a dream of mine to incorporate R graphs and analysis in an Advent Axys report.  The unbelievable work from the guys at Statconn http://rcom.univie.ac.at/ make this dream possible.  If we use the same perhstsp.rep created fo...

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Extreme Bond Returns

January 6, 2012
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Extreme Bond Returns

20 years of data is nowhere near enough to satisfy my insatiable appetite for bigger datasets.  While I showed Record Long Term Treasury Returns with Vanguard’s US Long Treasury mutual fund, its 20 year life is not sufficient to give me comfort ...

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Record Long Term Treasury Returns

December 21, 2011
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Record Long Term Treasury Returns

I mistakenly assume everyone knows that US Treasury Returns have been extreme in 2011.  As we near the end of the year, I thought it would be beneficial to look at the world’s best performer while incorporating some new graphical techniques.&nbs...

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Lattice Explore Bonds

December 16, 2011
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Lattice Explore Bonds

Since my fifth most popular post has been Bond Market as a Casino Game Part 1, I thought I would use Vanguard Total US Bond Market mutual fund (VBMFX) monthly returns to build our skills in the lattice R package and help visualize the unbelievable run ...

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With Size, Does Risk–>Return?

December 15, 2011
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With Size, Does Risk–>Return?

A basic tenet in finance is that higher risk should lead to higher return as the time horizon stretches to infinity.  However, in bonds, higher risk has not meant higher return with either credit risk (high-yield) or long duration risk (maturity &...

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