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Treasury Bond Return Data Starting in 1962

1
Erasmus University Rotterdam, Erasmus School of Economics, Business Economics, 3062 PA Rotterdam, The Netherlands
2
Robeco Institutional Asset Management, Quantitative Investing, 3014 DA Rotterdam, The Netherlands
Received: 3 June 2019 / Revised: 21 June 2019 / Accepted: 25 June 2019 / Published: 28 June 2019
(This article belongs to the Special Issue Data Analysis for Financial Markets)
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PDF [636 KB, uploaded 28 June 2019]
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Abstract

Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data to investor returns. The starting date of our series is January 1962, when end-of-month data on the yield-to-maturity become publicly available. We compare our newly created total return series with alternative series that can be purchased. Our return series are very close, suggesting that they are a high-quality public alternative to commercially available data. View Full-Text
Keywords: bonds; government bonds; interest rate; investment; returns; treasury; yield bonds; government bonds; interest rate; investment; returns; treasury; yield
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Supplementary material

  • Externally hosted supplementary file 1
    Doi: https://doi.org/10.25397/eur.8152748
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Swinkels, L. Treasury Bond Return Data Starting in 1962. Data 2019, 4, 91.

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