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Posted by on April 24, 2009, 5:22 am
Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
yr T-note, and 30-yr T-bond. At federalreserve.gov [2], I get that
information as well as data for the 4-week T-bill and 1-month
"constant maturity" securities.
Which of these, if any, is best to use for historical short-term risk-
free rates for asset allocation analysis?
By "short-term risk-free", I am thinking of savings accounts or short-
term CDs. Is that the right thing to be thinking of for short-term
risk-free investments?
-----
[1] http://biz.yahoo.com/r , "Historical Quotes" link
[2] http://www.federalreserve.gov/releases/h15/data.htm
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Posted by dapperdobbs on April 24, 2009, 8:52 am
On Apr 24, 5:22 am, whatsup31...@live.com wrote:
> Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
> yr T-note, and 30-yr T-bond. At federalreserve.gov [2], I get that
> information as well as data for the 4-week T-bill and 1-month
> "constant maturity" securities.
>
> Which of these, if any, is best to use for historical short-term risk-
> free rates for asset allocation analysis?
I'm not sure I understand :-) The Fed site may have an answer in its
educational sections. A lot of theoretical resources are concerned
with slight variations. My impression is, use the shortest maturities
(the "risk-free" notion wanes with longer maturities). Your question
may be answered by an accurate definition of duration. But I think
that if you want to apply that over different asset classes, you're
breaking new theoretical ground.
> By "short-term risk-free", I am thinking of savings accounts or short-
> term CDs. Is that the right thing to be thinking of for short-term
> risk-free investments?
In a word, yes, but savings and CD accounts are more personal, while
Treasuries are institutional. A bank can promote with higher rates
that deviate from worldwide financial rates. There is also the
question of liquidity, and how that notion varies.
Could you explain a bit more about what you are doing?
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Posted by JoeTaxpayer on April 24, 2009, 9:25 am
whatsup31415@live.com wrote:
> Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
> yr T-note, and 30-yr T-bond. At federalreserve.gov [2], I get that
> information as well as data for the 4-week T-bill and 1-month
> "constant maturity" securities.
>
> Which of these, if any, is best to use for historical short-term risk-
> free rates for asset allocation analysis?
The risk free rate has traditionally been considered to be the 1 yr T-bill.
Joe
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Posted by on April 24, 2009, 3:54 pm
> The risk free rate has traditionally been considered
> to be the 1 yr T-bill.
Thanks. Fidelity uses a 3-month T-bill index for their benchmark, and
their Retirement Income Planner uses the 30-day T-bill [sic]. Data
attributed to Ibbotson seems to use something close to the 1-yr T-bill
historical data available at http://www.federalreserve.gov/releases/h15/data.htm
.
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Posted by Ron Peterson on April 26, 2009, 11:50 am
On Apr 24, 4:22 am, whatsup31...@live.com wrote:
> Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
> yr T-note, and 30-yr T-bond. At federalreserve.gov [2], I get that
> information as well as data for the 4-week T-bill and 1-month
> "constant maturity" securities.
> Which of these, if any, is best to use for historical short-term risk-
> free rates for asset allocation analysis?
http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml
gives the yield curve for various maturities.
I would use the one month rate which is currently 0.07%.
> By "short-term risk-free", I am thinking of savings accounts or short-
> term CDs. Is that the right thing to be thinking of for short-term
> risk-free investments?
You need to be thinking in terms of cash flow. Most emergencies don't
need an appreciable amount of one's assets. For instance, a nursing
home stay should be under $8,000 per month.
--
Ron
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