Current Conditions in Global Credit Markets - NYU Stern School of ...
Current Conditions in Global Credit Markets - NYU Stern School of ...
Current Conditions in Global Credit Markets - NYU Stern School of ...
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ALTMAN-<strong>NYU</strong> SALOMON CENTER<br />
DEFAULTED BANK LOAN INDEX<br />
COMPARISON OF RETURNS<br />
(1996 - 2006)<br />
Year<br />
Altman-<strong>NYU</strong> Salomon Center Defaulted<br />
Bank Loan Index<br />
S&P 500 Stock<br />
Index<br />
Citigroup High Yield Bond Index<br />
1996 19.56% 22.96% 11.29%<br />
1997 1.75% 34.36% 13.18%<br />
1998 -10.22% 28.58% 3.60%<br />
1999 0.65% 20.98% 1.74%<br />
2000 -6.59% -9.11% -5.68%<br />
2001 13.94% -11.87% 5.44%<br />
2002 3.03% -22.08% -1.53%<br />
2003 27.48% 28.70% 30.62%<br />
2004 11.70% 10.88% 10.79%<br />
2005 7.19% 4.92% 2.08%<br />
2006 4.35% 15.80% 11.85%<br />
1996 - 2006 Arithmetic<br />
Average (Annual) Rate 6.62% 11.28% 7.58%<br />
Standard Deviation 11.04% 18.69% 9.74%<br />
1996 - 2006 Compounded 6.11% 9.74% 7.20%<br />
Average (Annual) Rate<br />
1996 - 2006 Arithmetic<br />
Average (Monthly) Rate 0.55% 0.87% 0.60%<br />
Standard Deviation 2.58% 4.32% 2.17%<br />
1996 - 2006 Compounded 0.51% 0.78% 0.58%<br />
Average (Monthly) Rate<br />
38