Sunday, February 3, 2013

Japanese Government Bonds (JGB) Total Return Series

In a follow up to Yen and JGBs Short-Term vs Long Term and a series of posts on Japan, I thought the Bloomberg article "Japan Pension Fund’s Bonds Too Many If Abe Succeeds, Mitani Says" was particularly interesting.  It is difficult to find a total return series for the JGBS, so here is an example of how we might construct it in R with the JGB 9 year. Using the 9 year gets us about a decade more data than the 10 year.  The calculation is not perfect but it gets us very close.

The Japanese Pension Fund (GPIF) has been spoiled by a very pleasant ride with their JGBs.

From TimelyPortfolio

R code from GIST:

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