Skew of Bonds

May 15, 2012

(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

R code from GIST:

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