Posts Tagged ‘ bonds ’

Japanese Government Bond (JGB) Data Since 1974

October 16, 2012
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Japanese Government Bond (JGB) Data Since 1974

The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

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Not Much of a Grand Finale. What if We Go To 0?

October 15, 2012
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Not Much of a Grand Finale. What if We Go To 0?

When I ask the question “What if the US 10 year goes to 0?", most do not know the effect, the catalyst, or if 0 has ever happened before.  The math is fairly simple to do in Excel or with an old-school calculator, but let’s use RQuantLib to do...

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Bonds Much Sharpe -r Than Buffett

August 23, 2012
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Bonds Much Sharpe -r Than Buffett

Mebane Faber’s post Buffett’s Alpha points out Warren Buffett’s 0.76 Sharpe Ratio discussed in the similarly title paper Buffet’s Alpha.  I of course immediately think about the 8th Wonder of the World – the US Bond Market, whose Sharpe ...

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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

July 24, 2012
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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

US investors were spoiled by US Treasuries which acted as a near perfect hedge to stocks during the 2008-2009 crisis.  However, in real crisis, bonds rarely offer any comfort, and asset allocation fails (see post Death Spiral of a Country and IMF ...

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Skew of Bonds

May 15, 2012
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Skew of Bonds

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 Ga...

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Efficient Frontier of Funds and Allocation Systems

April 18, 2012
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Efficient Frontier of Funds and Allocation Systems

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...

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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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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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