
Sorry it appears my first links did not come through.  The links are http://timelyportfolio.blogspot.com/2011/04/historical-sources-of-bond-returns_17.html, http://timelyportfolio.blogspot.com/2012/01/extreme-bond-returns.html, and http://timelyportfolio.blogspot.com/2011/06/bonds-risk-and-return-by-rating.html.
 > From: kent.russell@live.com
> To: belmont.lounge@yahoo.com; r-sig-finance@r-project.org
> Date: Sun, 8 Jan 2012 20:23:04 -0600
> Subject: Re: [R-SIG-Finance] 60/40 Backtest
> 
> 
> See if Historical 
> Sources of Bond Returns-Comparison of Daily to Monthly might help.  It offers a way to translate FRED rates to a price and total return series.  For data back to 1919, you can use the FRED Moody's BAA or AAA rates as in Extreme 
> Bond Returns and Bonds 
> Risk and Return by Rating. There are lots of ways to get a 60/40 benchmark.  Generally, I will just merge the equity and bond returns into one xts (for this example returns), and then do returns <- na.omit(merge(bond,equity))
> benchmark <- returns[,1] * 0.6 + returns[,2] *0.4 This of course assumes monthly rebalancing if you are using monthly returns. Hope this helps. KentDate: Sun, 8 Jan 2012 16:52:48 -0800
> From: belmont.lounge@yahoo.com
> To: r-sig-finance@r-project.org
> Subject: [R-SIG-Finance] 60/40 Backtest
> 
> I have been searching everywhere for this, but I can't find an example.  I would think that it should be a very basic thing.
>  
> I want to test several different portfolio optimization methods, including mean-variance, minimum-variance, and most-diversified portfolio.  I know how to do all these things with stocks, but am not sure how to include bonds.  I want to use a simple 60/40 portfolio (rebalanced monthly) as a benchmark.  Does anyone have an example of how to backtest a 60/40 portfolio?  
>  
> I am partly interested to find out what the best bond index is to use for it.  Assuming I just fall back on using the S&P500 for the stock component and US 10-Year for the bond component, how do I translate the 10-year yields off FRED into prices?  I have access to the Barclay's and JP Morgan aggregate bond indexes at work, but would rather use an open source (such as Yahoo or FRED) for this project so that I can pass it along to someone else without any issues.
>  
> Thanks so much in advance for any help!
>  
> Regards,
> John Belmont
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>  
> 
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