Figure 2 Extension

Extended sample through the latest available month
Raw extended-sample version of Figure 2. The post-2022 strip series becomes explosive in cumulative-return form due to extreme monthly strip returns.
Figure 2 Extension

Extended Terminal Values

Series Terminal Value End Date
Panel A - Strip 198.244911 2024-12-31
Panel A - Market 13.793868 2024-12-31
Panel B - Strip-rf 105.309454 2024-12-31
Panel B - Market-rf 7.327425 2024-12-31
Panel C - Strip-2y 84.244663 2024-12-31
Panel C - Market-10y 4.680406 2024-12-31

Notes

This raw extension is useful diagnostically but should be interpreted with caution.

See the winsorized version for a more interpretable robustness check.