Foreign Currencies and US 10y Treasury Yields

January 17, 2012 | klr

Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...
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Quick Update on the Components of Bond Returns

January 12, 2012 | klr

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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Difficult Month for One of My Best Ideas

September 30, 2011 | klr

THIS IS NOT INVESTMENT ADVICE.  MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with ...
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Cash Might be Your Tail Risk

June 30, 2011 | klr

Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool.  Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recessi...
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Bonds Risk and Return by Rating

June 27, 2011 | klr

As an extension to the Bond Market as a Casino Game series and Historical Sources of Bond Returns-Comparison of Daily to Monthly, I thought a ggplot of risk and return by decade and Moody’s Rating might be helpful.  Anyone who has read those oth...
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Overoptimizing Chicago Fed

May 31, 2011 | klr

THIS SHOULD BE OBVIOUS THROUGHOUT THE POST BUT THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT FOLLOW THIS SYSTEM AS IT COULD RESULT IN SERIOUS LOSSES. One of the perils of system-building is the tendency to unintentionally overoptimize by playing/r...
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Spreads and Stress

May 20, 2011 | klr

Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds.  Bond spreads act as a very strong symbol of financial stability and confidence.  The St. Louis Fed Stress Index is ...
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Gifts from BAC ML and the Federal Reserve

May 17, 2011 | klr

Bank of America Merrill Lynch and the Federal Reserve Bank of St. Louis Fed continue to surprise me with even more gifts.  This time they added Emerging Market Bond Indexes with history back to 1998 (cannot see Asia Pacific Crisis of 1997-1998 but...
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New Favorite Test of US Monetary Policy Limits

April 20, 2011 | klr

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...
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