I am going to show the return and volatility cones for a number of equity indices, currency pairs and bond yield indices in this post. The graphs are pretty self-explanatory. I prepare the graphs as a way to help myself to understand better the markets I have an interest in. The data covers the period between 1990-01-01 to 2014-08-22. The horizontal axis records the length sliding window when carrying out the periodic return and annualised volatility calculation. The orange dotted line shows the current market (as of 2014-08-22) when comparing to the historical level.
Currency & Gold
Needs to be a bit careful when interpreting the meaning of yield return here. Say the yield falls from 4% to 3% in the period, the return would be shown as -20%. It might be more intuitive if absolute yield move is shown instead.