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 Str...
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 allow...
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...
I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...
Lately I have been testing trading models based on methods from various fields: statistics, machine learning, wavelet analysis and others. And I have been doing all that in R! In this series, I will try to share some of these efforts starting with the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a 
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 TimelyPort...
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, mo...
I cut my finger on a paring knife this morning. Don't use a sharp knife to spread butter on your toast. It's better to limit yourself to using dull kitchen utensils until the caffeine kicks in. No matter, I still have most of my digits to type in a sim...
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 u...
I was staring at my favorite trading algorithm the other day and I could swear it wanted to tell me something. I've made contact with it in the past, but our conversations pretty much ran along the lines of "What position are you in the market?" to whi...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
