ShortDurationCredit: ShortDurationCredit

In PCRA: Companion to Portfolio Construction and Risk Analysis

ShortDurationCredit

Description

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.

Usage

data(ShortDurationCredit)

Format

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

Details

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.

Source

ICE DATA INDICES, LLC. ICE DATA IS PROVIDED BY ICE DATA INDICES, LLC ("ICE DATA") FOR EDUCATIONAL PURPOSES. ICE® IS A REGISTERED TRADEMARK OF ICE DATA OR ITS AFFILIATES. ICE DATA,ITS AFFILIATES AND THEIR RESPECTIVE THIRD-PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD.PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRDPARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND SPRINGER, PCRA, OR ANY OF ITS PRODUCTS OR SERVICES. ALL RIGHTS RESERVED. REDISTRIBUTION OF THE DATA IS NOT PERMITTED, AND USE OF THE DATA IN DERIVATIVE WORKS IS NOT PERMITTED WITHOUT THE WRITTEN PERMISSION OF ICE DATA.

References

Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(ShortDurationCredit)
names(ShortDurationCredit)
head(ShortDurationCredit, 5)
tail(ShortDurationCredit, 5)

PCRA documentation built on July 15, 2026, 9:06 a.m.