Simple Tests of TIP as Diversifier [PREMIUM]
Treasury Inflation-Protected Securities (TIPS), offering an explicit inflation hedge, may be an attractive asset for strategic diversification. To check, we add iShares Barclays TIPS Bond Fund (TIP) to...
View ArticleSimple Tests of HYG as Diversifier [PREMIUM]
It is plausible that high-yield corporate bonds have return characteristics substantially different from those of other asset classes, and therefore represent a good diversification opprotunity. To...
View ArticleSafe Haven Asset Dynamics [PREMIUM]
How does the effectiveness of safe havens vary over time? In the February 2012 draft of their paper entitled “Safe Haven Assets and Investor Behaviour under Uncertainty”, Dirk Baur and Thomas McDermott...
View ArticleEnhancing Financial Markets Volatility Prediction [PREMIUM]
Are there economic and financial variables that meaningfully predict return volatilities of financial markets? In their March 2012 paper entitled “A Comprehensive Look at Financial Volatility...
View ArticleCredit Spread as a Stock Market Indicator
...evidence from simple tests does not support a belief that the credit spread is a reliably useful indicator of future stock market behavior.
View ArticleExploiting Corporate Bond Responses to Aggregate Default Risk Shocks [PREMIUM]
How do general economic conditions and economy-wide default risk shocks affect corporate bond returns, especially past winners and losers? In the May 2012 draft of their paper entitled “Sources of...
View ArticleStock Momentum and Bond Returns [PREMIUM]
What does price momentum of stocks, whether total or risk-adjusted, imply about future returns of associated corporate bonds? In their August 2012 paper entitled “Residual Equity Momentum for Corporate...
View Article“Real” Assets and Inflation [PREMIUM]
Which asset class best hedges inflation? In the September 2012 draft of his book chapter entitled “‘Real’ Assets”, Andrew Ang examines the behaviors of the following assets commonly thought to hold...
View ArticleBonds During the Off Season?
Over this short sample period, the "safe" PFGAX outperforms the "Junk" PHDAX on average during June through October.
View ArticleReal-time Economic Data and Future T-note Returns [PREMIUM]
What pitfalls face forecasters trying to predict financial markets with economic data series? In their November 2012 preliminary paper entitled “Forecasting through the Rear-View Mirror: Data Revisions...
View ArticleReal Bond Returns and Inflation [PREMIUM]
A subscriber asked: “Everyone says I should not invest in bonds today because the interest rate is so low (and inflation is daunting). But real bond returns over the last 30 years are great, even while...
View ArticleBond Market-Aggregate Earnings Interactions [PREMIUM]
Do aggregate corporate earnings predict bond market returns? In his January 2012 paper entitled “Aggregate Earnings and Corporate Bond Markets”, Xanthi Gkougkousi investigates the relationship between...
View ArticleSimple Tests of IEF as Diversifier [PREMIUM]
It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represent a good...
View ArticleSimple Tests of TIP as Diversifier [PREMIUM]
Treasury Inflation-Protected Securities (TIPS), offering an explicit inflation hedge, may be an attractive asset for strategic diversification. To check, we add iShares Barclays TIPS Bond Fund (TIP) to...
View ArticleSimple Tests of HYG as Diversifier [PREMIUM]
It is plausible that high-yield corporate bonds have return characteristics substantially different from those of other asset classes, and therefore represent a good diversification opprotunity. To...
View ArticleSimple Tests of BWX as Diversifier [PREMIUM]
A subscriber suggested testing the diversification power of SPDR Barclays International Treasury Bonds (BWX) as a distinct asset class. To check, we add BWX to the following mix of asset class proxies...
View ArticlePOMO and T-note Yield [PREMIUM]
The Federal Reserve states that open market operations regulate “the aggregate level of balances available in the banking system,” thereby keeping the effective Federal Funds Rate close to a target...
View ArticleSafe Retirement Portfolio Withdrawal Rate as of April 2013 [PREMIUM]
What initial retirement portfolio withdrawal rate is sustainable over long horizons when, as currently, bond yields are well below and stock market valuations well above historical averages? In their...
View ArticleLow-risk Bonds Are Best (in the Future)? [PREMIUM]
Do low-risk bonds, like low-risk stocks, tend to outperform their high-risk counterparts? In their September 2013 paper entitled “Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad...
View ArticlePredicting Government Bond Term Premiums with Leading Economic Indicators...
Do economic indicators usefully predict government bond returns? In the January 2014 version of their paper entitled “What Drives the International Bond Risk Premia?”, Guofu Zhou and Xiaoneng Zhu...
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