6. The one exception to this is in the highest DTS quintile, where the subdivision by spread causes wide variations in DTS as well. As a result, the observations no longer form a tight cluster, but they continue to follow the same general relationship between DTS and excess return volatility.

7. Madhur Ambastha and Arik Ben Dor, “DTS (Duration Times Spread) in the Credit Crunch: Did It Live Up to Expectations?” Barclays Capital (April 2009).