Monthly time series of total return, Weighted Average Maturity, Modified Duration, Yield to Maturity and Option Adjusted Spread from January 1988 to December 2021 for two short duration indices maintained by ICE Data Indices, LLC 1. ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110), and 2. ICE BofA 1-3 Year US Treasury Index (Index G1O2) Returns are total returns (coupon income + price return) for the month, while characteristics are reported as of month-end.
data(ShortDurationCredit)A data frame with monthly time series of returns, Weighted Average Maturity (WAM), Modified Duration (Dmod), Yield to Maturity (YTM) and Option Adjusted Spread (OAS) from January 1988 to December 2021 for two short duration indices maintained by ICE Data Indices, LLC 1. ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110), and 2. ICE BofA 1-3 Year US Treasury Index (Index G1O2) Returns are total returns (i.e. coupon income + price change divided by initial price) for the month, and are expressed in percentage points (e.g. 2.05 corresponds to a total return of 2.05 WAM and Dmod are expressed in years and are reported as of month end. YTM, like total return, is reported in percentage points (e.g. 5.05 corresponds to a Yield to Maturity of 5.05 in basis points or 1/100th of 1 Spread of 8 basis points or 0.08 as of month-end. Returns are reported in every month, but not all characteristics are reported at the end of every month.
Date: type `Date`. Last Day of Month. Many, but not all, of the time series have data from January 1988 to December 2021.
C110_Return: type `num`. Total return including coupon income and change in price for the month of the ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110). Return is expressed in percentage points (e.g. 2.05 corresponds to a total return of 2.05
C110_WAM: type `num`. Month-end Weighted Average Maturity (WAM) of the ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110). WAM is expressed in years.
C110_Dmod: type `num`. Month-end Modified Duration (Dmod) of the ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110). Dmod is expressed in years.
C110_YTM: type `num`. Month-end Yield to Maturity (YTM) of the ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110). YTM is reported in percentage points (e.g. 5.05 corresponds to a Yield to Maturity of 5.05
C110_OAS: type `num`. Month-end Option Adjusted Spread (OAS) of the ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110). OAS is expressed in basis points or 1/100th of 1 Adjusted Spread of 8 basis points or 0.08
G1O2_Return: type `num`. Total return including coupon income and change in price for the month of the ICE BofA 1-3 Year US Treasury Index (Index G1O2). Return is expressed in percentage points (e.g. 2.05 corresponds to a total return of 2.05
G1O2_WAM: type `num`. Month-end Weighted Average Maturity (WAM) of the ICE BofA 1-3 Year US Treasury Index (Index G1O2). WAM is expressed in years.
G1O2_Dmod: type `num`. Month-end Modified Duration (Dmod) of the ICE BofA 1-3 Year US Treasury Index (Index G1O2). Dmod is expressed in years.
G1O2_YTM: type `num`. Month-end Yield to Maturity (YTM) of the ICE BofA 1-3 Year US Treasury Index (Index G1O2). YTM is reported in percentage points (e.g. 5.05 corresponds to a Yield to Maturity of 5.05
G1O2_OAS: type `num`. Month-end Option Adjusted Spread (OAS) of the ICE BofA 1-3 Year US Treasury Index (Index G1O2). OAS is expressed in basis points or 1/100th of 1 Adjusted Spread of 8 basis points or 0.08
This data set provides monthly time series of total return, Weighted Average Maturity, Modified Duration, Yield to Maturity and Option Adjusted Spread from January 1988 to December 2021 for two short duration indices maintained by ICE Data Indices, LLC 1. ICE BofA 1-3 Year AAA-A US Corporate Index (Index C110), and 2. ICE BofA 1-3 Year US Treasury Index (Index G1O2) Returns are total returns (coupon income + price return) for the month, while characteristics are reported as of month-end.
Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.
data(ShortDurationCredit)
names(ShortDurationCredit)
head(ShortDurationCredit, 5)
tail(ShortDurationCredit, 5)
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