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Long Term Statistical Analysis of US Asset Classes

Diethelm Würtz, Haiko Bailer, Yohan Chalabi, Fiona Grimson, Tobias Setz
Rmetrics eBooks 2011
Rmetrics Association & Finance Online Publishing, Zurich
365 Pages, 310 Figures
ISBN: 978-3-906041-13-1

About the Book:

In this book we investigate the long term dynamic evolution of bills, bonds, equities, commodity prices and inflation covering the U.S. market. We introduce new stress and stability metrics to overcome traditional risk measures such as volatility, value at risk, and drawdown statistics. With these new measures we identify and quantify break points by bayesian methods, detect extremes and outlying values by robust principal component approaches and explore non-stationary and multi-resolution aspects by wavelet analysis. The data set consists of a long-run study starting at the end of 1925 and covering the main asset classes from the point of view of an U.S. Investor.

The present work is the broadest long-run analysis of bills, bonds, stocks, inflation, and commodities on a monthly database.

Table of Contents: Download

Preface

Major US Asset Classes 
  1 Markets and Data

Asset Statistics

  2 Introduction
  3 Wealth Indices 
  4 Total Returns
  5 Risk Premium
  6 Holding Periods
  7 Drawdowns and Recovery
  8 Market Timing

Multivariate Analysis

  9 Introduction
10 Correlation Structures
11 Ordering of Assets
12 Grouping of Assets

Advanced Analysis
13 Introduction
14 Turning Points and Cycles
15 Garch Volatility Models
16 Structural Breaks
17 Extremes and Outliers
18 Non Stationarity Analysis
Portfolio Benchmarking
19 Introduction
20 Bond and Stock Blends
21 Ternary Portfolio Design
22 Multi Asset Portfolios
23 Risk Surfaches

Appendix