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I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the difference between regular and generic series? I have managed to download daily last price data for multiple maturities. After the data is downloaded, I am supposed to calculate the average return, either by yield to maturity or total return. This is were I'm stuck. I know how to calculate YTM, but am i really supposed to calculate the YTM for every single day (Prices changes) and then take the average of all of these YTMs? Is there something I'm missing? The problem set really doesn't specify what kind of data we are supposed to download for the series, but I couldn't find any thing called YTM when importing the data to excel. If I could do that, i presume that i could just have taken the average of all the YTMs.

Thanks!

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  • $\begingroup$ Get clarification from instructor. The 'generic govt 10 year yield' for the 10 year benchmark bond is USGG10YR Index. It tracks YTM of a changing benchmark bond over time (the 10 year bond of 10 years ago is a different bond from today's 10 year bond obviously). From this yield you can calculate approx returns with various approximation formulas. $\endgroup$ – noob2 Mar 27 '17 at 17:07
  • $\begingroup$ Thanks, I downloaded LX_LAST and something called YLD_YTM_MID. Might the later one be the yield? $\endgroup$ – TheNarsisisst Mar 27 '17 at 17:16
  • $\begingroup$ These are prices and yields of individual bonds, not generic indexes. $\endgroup$ – noob2 Mar 27 '17 at 18:05
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You can see all the US generic yield indices by typing ALLX USGG into your terminal. This will give the generic indices for multiple maturities. From there just pick the maturities you need.

This index is quoted in YTM, so if you want the average yield, you can export the last price series (PX_LAST) from the terminal or pull the series into Excel and take the simple average.

=BDH("USGG10YR Index", "PX_LAST", start_date, end_date)
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  • $\begingroup$ Great! Will try that tomorrow. Are there anything similar for all countries issuing government bonds? I tried to google ALLX USSG and got this: bloomberg.com/quote/USGG5YR:IND I assume that this is one of the series I will get on the terminal togheter with other maturities correct? Why is it stated in USD and not % (Yield)? $\endgroup$ – TheNarsisisst Mar 27 '17 at 18:02
  • $\begingroup$ Yes, that's the generic 5yr yield and is one of the available tenors. The GGR (Generic Govt Rates) command will list all the available countries. $\endgroup$ – msitt Mar 27 '17 at 18:21
  • $\begingroup$ Then step 1 would be to download the LX_LAST for the difference maturities I want. I would then get the yield for each day in the time period i specified. For example 2.3746 today for the 10 year (bloomberg.com/quote/USGG10YR:IND). Then i would just take LN(t/t-1) to get the daily return, multiply by 100 to get in percentage and then just take the average of the whole return series. Correct? $\endgroup$ – TheNarsisisst Mar 27 '17 at 20:14
  • $\begingroup$ For your example, 2.3746 is the yield from the on the run 10Y note. This is the YTM, which means if you held until maturity, you would make 2.3746%. You don't want to take lns of this as if it were a price. And by the way, you mean PX_LAST, not LX_LAST. $\endgroup$ – msitt Mar 27 '17 at 20:32
  • $\begingroup$ Thanks, downloaded 12M 2YR, 6YR 8YR and 12YR for a five year period. Made a new column dividing the series by 100 to get it in decimal form, then i calculated the average and std.dev. I am supposed to find the sharp ratio for all series, this i kinda weird because i need a risk free rate, and i thought us gov bonds were the risk free rate. $\endgroup$ – TheNarsisisst Mar 28 '17 at 6:53

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