Approaching the Zero Bound – Bonds
[This article was first published on Timely Portfolio, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
As bonds approach the artificial zero bound, where do we go next especially after the record setting +30% in 2011? The rolling 250-day total return has rarely gone negative since the inception of the Vanguard Funds VBMFX and VUSTX. I am intentionally an ex-bond fund manager, so I am very interested.
![]() |
From TimelyPortfolio |
![]() |
From TimelyPortfolio |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
require(latticeExtra) | |
require(directlabels) | |
require(reshape2) | |
require(quantmod) | |
getSymbols("VUSTX",from="1990-01-01") | |
getSymbols("VBMFX",from="1990-01-01") | |
bonds.tr <- merge(ROC(VUSTX[,6],250),ROC(VBMFX[,6],250)) | |
colnames(bonds.tr) <- c("VanguardLongTsy","VanguardTotBnd") | |
bonds.melt <- melt(as.data.frame(cbind(as.Date(index(bonds.tr)),coredata(bonds.tr))),id.vars=1) | |
colnames(bonds.melt) <- c("date","fund","totret250") | |
bonds.melt$date <- as.Date(bonds.melt$date) | |
asTheEconomist( | |
horizonplot(totret250~date|fund,origin=0,horizonscale=0.05, | |
data=bonds.melt, | |
strip=TRUE,strip.left=FALSE,par.strip.text=list(cex=1.1), | |
layout=c(1,2), | |
main="Vanguard Bond Funds 250 Day Total Return")) | |
direct.label( | |
xyplot(bonds.tr,screens=1, | |
ylim=c(-0.35,0.35),scales=list(y=list(rot=0)), | |
col=theEconomist.theme()$superpose.line$col, | |
par.settings=theEconomist.theme(box="transparent"), | |
lattice.options=theEconomist.opts(), | |
xlab=NULL, | |
main="Vanguard Bond Funds 250 Day Total Return"), | |
list("last.points",hjust=1,cex=1.2)) |
To leave a comment for the author, please follow the link and comment on their blog: Timely Portfolio.
R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.