Gyroscopic Investing

http://www.stern.nyu.edu/~adamodar/New_ ... /data.html

But, as always, only 10-year Treasuries. Where does one get data for 30-year Treasuries?

But, as always, only 10-year Treasuries. Where does one get data for 30-year Treasuries?

For 1977 to the present, FRED and Yahoo Finance both have data for these.

CRSP has daily 30-year bond total return (price plus interest) and daily 30-year bond yield data going back to late 1961 and monthly data (end of month) for total return and for yield for 30-year Treasuries going back to 1941 (but you'll either have to go to a university that has access to CRSP free of charge or pay lots of $$$ to order the datasets yourself.

Oh, and since there weren't really any 30-year bonds from the mid 1940s to 1953, CRSP just picks the bond with the closest length to the 30-year term and uses that in its daily and monthly data....from about 1945 to early 1953 the longest bond available was one due in 1972 but callable in 1967. In 1953 the government issued a 30 year bond (due in 1983; callable in 1978) and by the mid 50s the US govenrment was issuing 25 and 30 year bonds with some regularity (they even issued a 40 year bond in 1955) so CRSP's data from 1961 onwards should be very close to actual 30 year bond data.

Since no one here on this forum (AFAIK) has access to CRSP, I think we mostly used the 20-year yields (available from Yahoo Finance from 1962 onwards) and extrapolated them out the 25 or 30 years and then calculated total return using bond price calculators or Excel.

D1984 wrote: Since no one here on this forum (AFAIK) has access to CRSP, I think we mostly used the 20-year yields (available from Yahoo Finance from 1962 onwards) and extrapolated them out the 25 or 30 years and then calculated total return using bond price calculators or Excel.

How exactly do you extrapolate a 20-year yield out to 30-years?  I've tried by pricing 20-years as a 30-year in the total return calculation but that just doesn't work as the yield is spread over a longer time period and in reality it would have been a higher yield.  I've tried some other gimmicks to infer a 30-year yield but it doesn't wind up being realistic.

CRSP is such a frackin' racket.  Why limit access to ivory tower academics or so-called Wall Street professionals who can't even outperform the market?    It's the same old story of the blind leading the blind and masturbating in a circle jerk while all thinking they're very special.

MachineGhost wrote:

D1984 wrote: Since no one here on this forum (AFAIK) has access to CRSP, I think we mostly used the 20-year yields (available from Yahoo Finance from 1962 onwards) and extrapolated them out the 25 or 30 years and then calculated total return using bond price calculators or Excel.

How exactly do you extrapolate a 20-year yield out to 30-years?  I've tried by pricing 20-years as a 30-year in the total return calculation but that just doesn't work as the yield is spread over a longer time period and in reality it would have been a higher yield.  I've tried some other gimmicks to infer a 30-year yield but it doesn't wind up being realistic.

CRSP is such a frackin' racket.  Why limit access to ivory tower academics or so-called Wall Street professionals who can't even outperform the market?    It's the same old story of the blind leading the blind and masturbating in a circle jerk while all thinking they're very special.

MG,

When I was doing some tests a while back (about three years ago) to try and see when historically when out of all the times the yield curve was "normal" (i.e. not inverted) the yield curve would've been the least inverted, I didn't have 30-year yield data for 1950-1977 so I just took all the twenty year data and thirty year data I that I did have and used the average percentile difference for all the twenty and thirty year data and used that to raise the twenty year yield for any given date by what the average of the difference was...it came to about two or three percentage points different IIRC (NOT three or four percentage difference as in, say, 6.00% for the twenty year and 9.00% for the thirty year, but rather , say, if the twenty year was 6.00% then the thirty year would be 6.12%) so not much of a jump (the jump from 10 year to twenty year was typically much larger, in fact). I never got around to converting it to total return because I was only looking at yield curves.

As far as CRSP goes, I agree with you 100% (that it's a complete racket). I don't know exactly how much they charge, but I'm sure it isn't cheap. Truth be told, there's a state university about two miles from my house that I know for a fact its college of business has CRSP and Compustat access and I've actually thought about enrolling in a course merely to get access and then quitting before the D/A cutoff date ten days into it so I get most of my tuition back....but I'm pretty sure they wouldn't let me take any advanced business or finance courses without wasting a bunch of money and time on pre-reqs (that I don't want since they'd be pointless since the courses that require CRSP and/or Compustat access only come after the pre-reqs). Hell, it's crossed my mind to find a broke-ass grad student or undergrad in one of these programs and just pay bribe him/her to pull the yield/total return data as a CSV file and get it to me...but I'm sure that wouldn't be looked on too kindly if I were to get caught.