Daily and Monthly

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 Mon​thly)

• 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 an​d 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.

Fama RI Files (Monthly Only)

• Data begin in 1925
• 24 files of term structure series, based on selected Treasury Bills.
• Calculated using bid, ask, and average prices.
• Each series has a subset based on six- and 12-month target maturities which contains prices, yields, forward rates and holding period returns files.

Treasury Bill 26-week Term Structure Files (Daily and Monthly)

• Data begin in 1961
• 26 files of term structure series, based on selected Treasury Bills.
• Calculated using bid, ask, and nominal price
• Each file has a subset based on one-week, two-week, and 26-week target maturities

Raw and reference CPI as published by the US Bureau of Statistics

CRSP US Treasury Database data is delivered via the Cloud utilizing MOVEit.

• Released monthly, quarterly, or annually
• Available as flat files supported on Excel, SAS, ASCII and R flat file formats
• Supported on Windows, and Linux
• Access through CRSPSift Interface for Windows
• Third party access through WRDS cloud-based platform and query tool

Why are there missing data in Fama Maturity Portfolios Return Files in the CRSP Monthly US Treasury Database?

Only callable, non-callable, non-flower notes and bonds are included in the portfolios. Partially or fully tax-exempt issues are excluded. Not all portfolio categories have valid records each month, especially in earlier years. There were no bonds of over 10 years in length dated between April 1963 and November, 1971, and the long-term bonds issued between 1942 and 1963 were all flower bonds and therefore excluded.