I am making a risk/return scatter plot (seen below) (from this site):

enter image description here

What data must be used for bonds (e.g. 3 month or 10 year US bonds)? I thought you would use this data, but if you take the years 2013-2018, then the price rose from \$0.01 to \$2.29, or a 229x growth. This is clearly incorrect for a 3 month bond, seeing as that it is basically the equivalent of cash. My understanding says that the 3 month bond should be at the bottom left of a scatter plot (low risk and low return). If this is the case, what data should be used for the 90 day treasury return?

Edit: this site verifies that the "US Treasury Short" should be at the lower left.

  • $\begingroup$ You need bond total return indices. A lot of vendors (BBG, ICE, etc.) publish these indices, although they're not really in the public domain. The best proxy might be the ETF IEF, which tracks the 7-10 sectors of the US Treasury mkt. $\endgroup$ – Helin Jun 3 at 4:43
  • $\begingroup$ That makes sense. Is a common Short Term ETF SPDR Bloomberg Barclays 1-3 Month T-Bill ETF (BIL)? $\endgroup$ – quantfinancequest Jun 3 at 6:48
  • $\begingroup$ Cash return is available mba.tuck.dartmouth.edu/pages/faculty/ken.french/…. You can also compute it (approximately) from bill rates fred.stlouisfed.org/series/DTB3. $\endgroup$ – Helin Jun 3 at 9:36

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