While you don't need the specific rates, but rather just GC, history of LIBOR is still easier to obtain. However, I don't think it's the right approximation, especially in this day and age. In fact, at the moment, there's a LOT of action occurring, which makes things even more dicey. And yeah, I think you've given him what he needs.
I tried to create a TR series using the return column and got a series like this, which didn't look right. The formula is basically =previous value*(1+return/100) The spreadsheet is here. https://dl.dropboxusercontent.com/u/9846094/Public/Bond Futures TR.Chart.xlsx Could you please take a look and let me know what I did wrong? Thanks again for you help.
G2 should be equal to B2 Rest of column G should be G2+D3 D3 should be IF(or(isblank(B3),isblank(b2)),0,B3-B2) If you want % returns, take them off G3 GAT
Thanks for clarifying. I tried these formulas, and noticed that the TR series has only grown 3 times over the past four decades, with CAGR at 3%. My friend who has a Bloomberg terminal found a ticker MLT1US30 Index (Merrill Lynch 30 Year Treasury Bond Futures TR) on Bloomberg and it had grown 35 times at CAGR of 9%. Why is the difference so large? The spreadsheet is located here. https://dl.dropboxusercontent.com/u/9846094/Public/Bond Futures TR.Chart.xlsx Thanks again.
One is a cumulated series, the other cumprod. Also the ML index might include an interest component. GAT
Do you know how to replicate a cumprod from your data source? I tried but got the chart on post #22 above. Thanks.
According to this article: https://alphaarchitect.com/2015/04/...sting-how-should-we-invest-in-treasury-bonds/ The Merrill Lynch Bond futures Total Return Indexes measure the performance of a fully collateralized rolling U.S. Treasury Futures position, and can be replicated via rolling 15 days prior to First Notice and an investment of the cash collateral in T-Bills. So the large difference between the GAT ZB Bond line and the MLT1US30 line comes from the T-Bills! The performance of the MLT1US30 is a lot closer to TLT or holding the cash bond itself then the GAT ZB Bond performance (or the performance of the continious 30 year treasury bond future) which lags a lot in comparison. Can anybody tell me how to get the same performance as TLT ×2 or MLT1US30×2 (or insert your desired multiplier) using the ZB futures contract if you have a long time horizon? It is not as simple as putting up only half the collateral instead of full collateral, as that doesn't cover the T-bill component...