What is the industry standard when calculating the performance of say the 5 year CDX NA IG basket over say 1,3, and 5 year time periods? For say from the perspective of the long CDX holder (protection buyer) is it simply the change in daily spread levels which then you geometrically link? Thanks
There should be a price series for your needs. jpmorgan market’s dataquery will have this info. They even have the returns too. Email one of their credit deriv analysts.
Edit: dble post. Trying to get this to wrk on a droid
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Winthorpe III Wrote: ------------------------------------------------------- > What is the industry standard when calculating the > performance of say the 5 year CDX NA IG basket > over say 1,3, and 5 year time periods? For say > from the perspective of the long CDX holder > (protection buyer) is it simply the change in > daily spread levels which then you geometrically > link? Thanks i wouldn’t say there’s a standard, but a lot of people use markit as its a consensus average. performance is relative. http://www.markit.com/en/products/data/indices/credit-and-loan-indices/cdx/cdx.page?#
Thank you both for the input and suggestions