tag:blogger.com,1999:blog-7630810606654250077.post3183122866183178892..comments2023-05-12T04:18:09.354-07:00Comments on Timely Portfolio: Historical Bond Price and Total Returns from 10y Yield Seriesklrhttp://www.blogger.com/profile/08783806801212705259noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-7630810606654250077.post-28318530184440832582013-07-07T08:01:27.662-07:002013-07-07T08:01:27.662-07:00Hello thanks for this great job. I have a very bas...Hello thanks for this great job. I have a very basic question (sorry new) how can run this code? and possibly change it to have European bond or at least to update this to reflect the last 10 yrs?<br />Thanks a lot!!klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-21728290369066776492011-11-01T10:25:21.298-07:002011-11-01T10:25:21.298-07:00since there is no reinvestment or geometric compou...since there is no reinvestment or geometric compounding I chose arithmetic. I think this is correct.klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-35436526046056364392011-10-14T12:56:45.962-07:002011-10-14T12:56:45.962-07:00hi,
just chanced upon this blog, nice !
Shouldnt ...hi,<br />just chanced upon this blog, nice !<br /><br />Shouldnt you be using geometric returns instead of arithmetic returns in:<br />#total return will be the price return + yield/12 for one month<br />DGS10totalreturn<-DGS10pricereturn+lag(DGS10,k=1)/12/100<br /><br />i.,e the second term should be something like:<br />((1 + lag(DGS10,k=1)/100)^(1/12) - 1)Badrihttps://www.blogger.com/profile/11917208694659520412noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-55446833504534024712011-04-17T20:37:38.018-07:002011-04-17T20:37:38.018-07:00well I was wrong; see my next post for clarificati...well I was wrong; see my next post for clarification. Thanks Peter for the very useful comment.klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-17613474584859080792011-04-17T17:32:56.951-07:002011-04-17T17:32:56.951-07:00Monthly averages smooth and disallow month-to-mont...Monthly averages smooth and disallow month-to-month decomposition of returns into price and interest. For historical review of drawdown, price return is necessary. I will run it in a post for everyone to see the impact.klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-75332416513331138622011-04-16T13:04:19.646-07:002011-04-16T13:04:19.646-07:00I know this might sound antithetical to a bond guy...I know this might sound antithetical to a bond guy, but won't the monthly series get you close enough?Peter Carlhttps://www.blogger.com/profile/01598946912477141425noreply@blogger.com