Supplemental Series
Fama Maturity Portfolios (monthly only)
- Data beginning in 1952
- Contains two files of portfolio holding period returns
- Portfolios constructed from six-month and 12-month maturity intervals
Fama-Bliss Discount Bonds (monthly only)
- Data begin in 1952
- Contain artificial discount bonds with one to five years to maturity, constructed after first extracting the term structure from a filtered subset of the available bonds.
Fixed-Term Indexes (daily and monthly)
Highlight the performance of single treasury issues at fixed maturity horizons.
- Seven groups of indexes: 30-year, 20-year, 10-year, 7-year, 5-year, 2-year, or 1-year target maturity.
- Index creates a sophisticated bond yield curve, allowing the selection of data items referenced by returns, prices and duration.
Risk-Free Rates Files (daily and monthly)
Monthly:
- Begin in 1925
- Contain one- and three-month risk free rates for use in pricing and macroeconomic models
Daily:
- Begin in 1961
- Four-week, 13-week, and 26-week rates
- Provides lending and borrowing rates derived from bid, ask, and bid/ask average prices.