16.2%
37.6 %
24.7 %
19.4 %
15.0 %
Short (y), Median
6.9%
5.2%
6.2%
6.8%
7.6%
Long (y), Median
3.1%
2.5%
2.9%
3.1%
3.3%
Diff Rates
0.73
0.65
0.67
0.68
0.69
Diff Log Rates
0.64
0.65
0.66
0.67
0.67
-0.23
-0.19
-0.18
-0.17
-0.17
Frequency (Average)
Stdev Diff Log Rates
Short/Long Correlations
Change Spread/Long
POINT IN TIME STATISTICS
Short (-year) Rate Min
0.82%
1.73%
0.50%
0.41%
0.01
1.07%
3.00%
1.43%
1.03%
0.99%
0.05
1.45%
3.52%
2.17%
1.85%
1.66%
0.1
2.35%
3.78%
2.60%
2.29%
2.14%
Median
5.43%
4.82%
4.52%
4.37%
4.30%
0.9
5.97%
7.07%
7.71%
8.33%
6.30%
8.07%
9.14%
10.19%
6.97%
10.33%
12.51%
14.90%
Max
9.39% 11.66 % 14.87 % 16.72 %
9.58%
17.54%
20.62%
21.32%
Avg
5.70%
4.86%
4.73%
4.79%
4.90%
Stdev
2.99%
0.86%
1.84%
2.34%
2.78%
Skew
1.01
0.27
0.94
1.37
1.70
Kurt
1.29
0.30
1.96
3.49
4.54
0.58
1.30
1.67
1.99
0.95 0.99
Dispersion 95th
0.40%
POINT IN TIME STATISTICS
Long (-year) Rate Min
2.57%
3.24%
0.01
2.64%
3.96%
3.12%
2.70%
2.45%
0.05
3.07%
4.26%
3.69%
3.36%
3.14%
0.1
3.75%
4.41%
4.02%
3.75%
3.53%
Median
4.97%
5.33%
5.42%
5.41%
5.58%
7.15%
8.05%
8.82%
5.78%
7.80%
9.24%
10.50%
6.28%
9.53%
12.21%
14.53%
Max
6.28% 10.62 % 12.06 % 13.88 % 15.13 %
7.83%
15.81%
20.27%
19.08%
Avg
6.66%
4.99%
5.50%
5.74%
5.90%
Stdev
2.65%
0.47%
1.32%
1.88%
2.37%
Skew
0.83
0.40
1.10
1.40
1.60
Kurt
0.41
0.99
3.08
3.69
3.94
0.31
0.77
1.09
1.36
0.9 0.95 0.99
Dispersion 95th
1.97%
1.71%
1.06%
POINT IN TIME STATISTICS
Spread (Long - Short) Min
-3.33%
-2.18%
0.01
-1.85%
-1.32%
-1.71%
-1.78%
-2.02%
0.05
-1.01%
-0.88%
-0.82%
-0.76%
-0.79%
9
-3.69%
-5.52%
-5.75%