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The PCA analysis does not really tell you what the bonds do but it tells you how the rates move together. The variations of $n$ rates (i.e. 1 y, 2y, ...) are split up in (at first) abstract factors like $$ \Delta R_i = \sum_{j=1}^n e_{i,j} f_j $$ where $\Delta R_i$ is the change in the rate $i$ and $f_j$ is factor $j$ and $e_{i,j}$ is the (factor loading=) ...


1

USGG10Y is the rolling 10-year on-the-run series. On each day, it reflects the yield of the current 10-year on-the-run note. On an auction date, after a new 10-year Treasury is issued, it starts tracking the new 10-year bond yield. The default USGG10Y series is a composite quote from a few dealers. But frankly, given the liquidity and depth of the Treasury ...


1

Simply speaking, return means relative amount of extra money earned after investing of some amount of money: Return = $\frac{Received}{Invested}-1$. If you invested \$100 and received \$100, this means you have zero return (\$100/\$100-1). If you invested \$100 and received \$110, your return in 10% (\$110/\$100-1 = 1.1-1 = 0.1 = 10%). Next step is ...



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