10-year BBB Model

10-year BBB Corporate Bond Index - Bloomberg

Variables

Coefficients

7 Factor

6 Factor

5 Factor

4 Factor

Model

Model

Model

Model

Intercept

0.0005

0.0003

0.0002

0.0003

0.0005

Lagged AAA spread

0.0000

0.0000

0.0000

0.0000

0.0000

Lagged (2) BBB spread

-0.2912

-0.3089

-0.3049

-0.3221

-0.2912

3 month TED spread

0.0000

0.0000

0.0000

0.0000

0.0000

6 month TED spread

0.0000

0.0000

0.0000

0.0000

0.0000

1 year TED spread

0.0000

0.0000

0.0000

0.0000

0.0000

S&P 500 Index

0.0000

0.0000

0.0000

0.0000

0.0000

S&P 500 volatility

0.0000

0.0057

0.0061

0.0066

0.0000

S&P 500 dividend yield

0.0000

0.0000

0.0000

0.0000

0.0000

T3M rate

0.0000

0.0000

0.0000

0.0000

0.0000

T3M volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T6M volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T1Y volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T2Y volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T3Y volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T5Y volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T10Y volatility

0.0000

0.0000

0.0000

0.0000

0.0000

T30Y volatility

-0.2282

-0.2628

-0.2352

-0.2355

-0.2282

6mo - 3mo

0.0000

0.0000

0.0000

0.0000

0.0000

1yr - 6mo

-0.1152

-0.1070

-0.1054

-0.1152

-0.1152

2yr- 1yr

0.0000

0.0000

0.0000

0.0000

0.0000

3yr - 2yr

0.0000

0.1407

0.0000

0.0000

0.0000

5yr - 3yr

0.0000

0.0000

0.0000

0.0000

0.0000

10yr - 5yr

0.0000

0.0000

0.0000

0.0000

0.0000

30yr - 10yr

0.0000

0.0000

0.0000

0.0000

0.0000

2 year swap

0.1532

0.1600

0.1613

0.1583

0.1532

5 year swap

0.0000

0.0000

0.0000

0.0000

0.0000

10 year swap

0.0000

0.0000

0.0000

0.0000

0.0000

Consumer confidence

0.0000

0.0000

0.0000

0.0000

0.0000

Consumer expectations

0.0000

0.0000

0.0000

0.0000

0.0000

Consumer present

0.0000

0.0000

0.0000

0.0000

0.0000

Industrial production

0.0000

0.0176

0.0157

0.0000

0.0000

Model results:

25.232

23.6021

21.7673

18.8116

R-squared

18.9262

18.1451

17.1654

15.0354

Adjusted R-squared

Standard error of estimate

0.00058

0.00058

0.00059

0.00059

Mean absolute errror

0.00044

0.00045

0.00044

0.00044

Durbin-Watson statistic

2.23981

2.25961

2.26128

2.24684

In-sample directional hit rate

52.38%

50.79%

57.14%

60.32%

Out-of-sample hit rate

71.43%

64.29%

60.71%

64.29%