I'm running a backtest with the 5-yr and the 30-yr treasury bills going back to 1990, both with a weighting of 25%. How do I use their daily yields to adjust the portfolio through time?

I've thought of taking their annual yields then compounding the portfolio accordingly, or taking their average yields over some time frame and somehow factoring that in. Though both might require some techniques I haven't seen before.

Any help would be appreciated!

  • 1
    $\begingroup$ I assume you want to calculate Total Return from yield and other info. This post may be of interest quant.stackexchange.com/questions/22837/… $\endgroup$
    – nbbo2
    Commented May 11, 2021 at 15:00
  • $\begingroup$ Worked like a charm, thanks! $\endgroup$ Commented May 11, 2021 at 16:22


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