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 paper Systemic Banking Crises Database: An Update; by Luc Laeven … – IMF). As a very timely example, we can examine Spain, which is not even to crisis level yet.
In Spain, there is nowhere to hide, and allocation offers no comfort.
R code in Gist (click raw to copy/paste):
To leave a comment
for the author, please follow the link and comment on their blog: Timely Portfolio
offers daily e-mail updates
news and tutorials
on topics such as: Data science
, Big Data, R jobs
, visualization (ggplot2
), programming (RStudio
, Web Scraping
) statistics (regression
, time series
) and more...
If you got this far, why not subscribe for updates
from the site? Choose your flavor: e-mail
, or facebook