I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it.  I know that the Financial Analyst Journal is not considered by the academic community as a top-ti...

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield.  Unfortunately, i...

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...

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...

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...

Before starting Part 2, please see Bonds as a Casino Game Part 1.   For the Monte Carlo random simulation purists, please ignore some unimportant technicalities in my simulation. To spoil the fun, here is the conclusion: Any way you look at ...

With this post, I am doing something I try very hard to avoid, especially when communicating to my clients, and that is blurring the line between investing and gambling.  But after reading all of Reuven Brenner’s books and finishing Ralph Vince ...

Long EEM Short IWM potentially works in 3 ways: 1) See my last post “Asian Currency Opportunity” where currency undervaluation means potential gain of 20-50% versus the US$ and 50%-100% versus the Japanese Yen.  However, even absent the underv...

Asian currencies are fundamentally undervalued at an extreme level due to the Central Banks’ focus on the US$.  For those that regularly read my blog or happened to see me in SmartMoney, this will not surprise you, “And investors can also buy...

I finally got around to reading Ralph Vince’s latest The Leverage Space Trading Model (for a brief summary see this magazine article in Futures), and I’m happy to say that the book was very helpful in approach and example.  I especially enjoye...

Certainly not the best way to keep up with currencies, but the increasingly important job of monitoring currencies can be free and easy in R using Federal Reserve FRED data.  Here is a template that can be adjusted to your favorite currencies with...

In the death spiral scenario, rates go up while the currency goes down.  Here is the way to watch that.  I’m not saying that death spiral of US Dollar and interest rates occurs, but without significant action to restore confidence in fiscal...

I would like to start a R user group in Birmingham, Alabama.  Please comment if anyone is interested.  I’m thinking I will host in Google Groups, since meetup costs money.  Let me know if I should use some other site.

One aspect of 1987 that does not deserve enough attention is interest rates.  Higher interest rates constrain economic activity and compete with other investments.  As seen in the chart below, the US 10year Treasury rate climbed 40% from 7% t...

When I find a chart that looks like this, I always like to explore a little further. via StockCharts.com I pull it into R and try to find anything worthwhile.  I do not find anything, except that I do not want to be trading both in the same direc...

As an update to http://timelyportfolio.blogspot.com/2010/12/opinions-not-backed-with-money-are-not.html, I have updated the revised data, added the past two months, and translated to R. If the world really is overly bullish on stocks as some suggest, I...

Japan’s intentional or accidental pursuit of deflation has caused an imbalance far greater than Bernanke’s pursuit of inflation.  Japanese policymakers have allowed Yen appreciation versus all other currencies.  It appears that they recog...