Multiple Linear Regression 65
TAbLE 3.5 (continued)
Date
10-Yr.
Treas.
YieldExp.
Infl.Real
Rate Date10-Yr.
Treas.
YieldExp.
Infl.Real
Rate
2002 2004
Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec
5.033
4.877
5.396
5.087
5.045
4.799
4.461
4.143
3.596
3.894
4.207
3.8162.372
2.372
2.371
2.369
2.369
2.367
2.363
2.364
2.365
2.365
2.362
2.3572.950
2.888
2.827
2.764
2.699
2.636
2.575
2.509
2.441
2.374
2.302
2.234Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec4.134
3.973
3.837
4.507
4.649
4.583
4.477
4.119
4.121
4.025
4.351
4.222.172
2.157
2.149
2.142
2.136
2.134
2.129
2.126
2.124
2.122
2.124
2.1291.492
1.442
1.385
1.329
1.273
1.212
1.156
1.097
1.031
0.966
0.903
0.840
2003 2005
Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec
3.964
3.692
3.798
3.838
3.372
3.515
4.408
4.466
3.939
4.295
4.334
4.2482.351
2.343
2.334
2.323
2.312
2.300
2.288
2.267
2.248
2.233
2.213
2.1912.168
2.104
2.038
1.976
1.913
1.850
1.786
1.731
1.681
1.629
1.581
1.537Jan
Feb
Mar
Apr
May
June
July
Aug
Sept
Oct
Nov
Dec4.13
4.379
4.483
4.2
3.983
3.915
4.278
4.016
4.326
4.553
4.486
4.3932.131
2.133
2.132
2.131
2.127
2.120
2.114
2.107
2.098
2.089
2.081
2.0750.783
0.727
0.676
0.622
0.567
0.520
0.476
0.436
0.399
0.366
0.336
0.311Note:
Exp. Infl. (%) = Expected rate of inflation as proxied by the five-year moving average
of the actual inflation rate.
Real Rate (%) = Real rate of interest as proxied by the five-year moving average of
the interest rate on three-month certificates of deposit.
benchmark Selection: Sharpe benchmarks
Because of the difficulty of classifying an asset manager into any one of the
generic investment styles used in the investment industry in order to evalu-
ate performance, William Sharpe suggested that a benchmark can be con-
structed using multiple regression analysis from various specialized market