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#3
04-26-2009, 03:50 PM
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 Re: Historical short-term risk-free rates? On Apr 24, 4:22*am, whatsup31...[at]live.com wrote: - quote - > Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10- http://www.ustreas.gov/offices/domes...te/yield.shtml> 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? gives the yield curve for various maturities. I would use the one month rate which is currently 0.07%. - quote - > By "short-term risk-free", I am thinking of savings accounts or short-
You need to be thinking in terms of cash flow. Most emergencies don't> term CDs. *Is that the right thing to be thinking of for short-term > risk-free investments? 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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#2
04-24-2009, 07:54 PM
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| Re: Historical short-term risk-free rates? On Apr 24, 6:25*am, JoeTaxpayer <JoeTaxpa...[at]comcast.net> wrote: - quote - > The risk free rate has traditionally been considered
Thanks. Fidelity uses a 3-month T-bill index for their benchmark, and> to be the 1 yr T-bill. 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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#1
04-24-2009, 01:25 PM
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| Re: Historical short-term risk-free rates? whatsup31415[at]live.com wrote: - quote - > Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
The risk free rate has traditionally been considered to be the 1 yr T-bill.> 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? Joe |
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04-24-2009, 12:52 PM
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| Re: Historical short-term risk-free rates? On Apr 24, 5:22*am, whatsup31...[at]live.com wrote: - quote - > Yahoo [1] provides historical data for the 13-week T-bill, 5-yr and 10-
I'm not sure I understand :-) The Fed site may have an answer in its> 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? 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. - quote - > By "short-term risk-free", I am thinking of savings accounts or short-
In a word, yes, but savings and CD accounts are more personal, while> term CDs. *Is that the right thing to be thinking of for short-term > risk-free investments? 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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#-1
04-24-2009, 09:22 AM
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| Historical short-term risk-free rates? 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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