A real example
I've been thinking some time I'd like to come up with a new example to work for Black-Litterman and show all the bits and pieces, and I've started to pull that together. I am looking for market cap information on US bonds now, having found adequate information on the equity side of things already. I'll keep the number of asset classes down for simplicity. Not sure how quickly I'll get this done, if you have any good ideas on sources of market cap information let me know. As for the returns/covariances, I'll be using ETFs as investable proxies for all the asset classes .
In the meantime, I'm also in the middle of a major reorganization of my Black-Litterman paper to change over from the Bayesian point of view to Theil's model of mixed estimation which is how Black and Litterman got it done. I think it's more clear and less baggage. I am hoping to get this out in another week or so.
posted by Jay @ 3:59 AM
2 Comments:
Jay-Jay-
I'm attempting to do the exact same thing you are doing and am building my BL model in excel. I too am having trouble tracking down market capitalization weights for many of the asset classes (I'm assuming a Bloomberg terminal would help . . .). This is the best I could do for domestic bonds: http://apps.finra.org/investor_information/smart/bonds/401000.asp
Please let me know if you know of a better way to get this data.
-Ryan
Thats an interesting website. The bloomberg-finra indices are only on corporate bonds, and don't seem to include treasuries. We really need some treasuries in there, perhaps in their own index though. Lehman seems to be the indexer on treasuries.
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