(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)
As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference. While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Game Part 1, Calmar Ratio 1.37 over the past 20 years), I think many positive skew-chasing market participants are not aware of the frequency of negative skew in bond returns. As a public service, I thought I should issue a negative skew alert.
 |
| From TimelyPortfolio |
To leave a comment for the author, please follow the link and comment on his blog: Timely Portfolio.
R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
