tag:blogger.com,1999:blog-7905515.post8407603162469056433..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Default Rates Lower than ExpectedEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-7905515.post-89692017083724784622009-09-01T21:35:32.010-05:002009-09-01T21:35:32.010-05:00Eric, thanks for following up on this which you...Eric, thanks for following up on this which you'd posted about earlier. It was courageous for you to call junk bonds underpriced back when (Oct/Nov 08), especially given your research which says to avoid them in favor of investment grade bonds. I'm all for hearing your current opinion on what is overpriced and underpriced !!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-76235429368911857652009-09-01T18:57:41.946-05:002009-09-01T18:57:41.946-05:00"Total return to the High Yield Index (Merril..."Total return to the High Yield Index (Merrill's Master II) is 40.0% through 8/28, well above last year's -26% debacle."<br /><br />Fair enough, but 100*0.74*1.4 = 103.6, so net return is 3.6% and vol was high over that time, so Sharpe is not going to look good (or any other performance metrics).Anonymousnoreply@blogger.com