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Politics : Ask Michael Burke

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To: Michael Bakunin who wrote (77373)	3/9/2000 12:28:00 PM
From: Tim McCormick	Read Replies (2) of 132070

You would have to know exactly how these indexes are constructed and how they are affected by the on the run/off the run spread. Since 3s and 7s have been all off the run for years the spread is implanted I would assume. Is the 5Y index refreshed monthly with a newly issued security, thus constantly losing spread? Can you measure the performance of the present value of a 1Y to 5Y ladder, representing a portfolio of rolling 5Ys? How would one run the affect of the predominately existing positively sloped short curve roll down performance? Are the index performances based on price change only, or do they include comparative coupons? Does one have to run multiple scenarios of actual securities? In other words, I don't know indexes either. Tim

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