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Why estimate your tbill return? You can get accurate historical data at
http://www.federalreserve.gov/RELEASES/H15/data.htm. Monthly returns of
3-month tbills is at
http://www.federalreserve.gov/RELEASES/H15/data/Monthly/H15_TB_M3.txt.
-------- Original Message --------
Subject: Re: Recreating the back adjusted vistorical number
From: Chris Evans <evanscje@xxxxxxxxxxxxx>
To: 'DH' <catapult@xxxxxxxxxxxxxxxxxx>
Cc: "'Omega List'" <omega-list@xxxxxxxxxx>
Date: 10/28/2009 9:34 AM
Thanks for your reply .. so now my tiny little brain needs to break this
down to specifics .. where my carry factor (t-bills-divs) = 2.25% you are
saying it's too low .. OK , so how do I make it bigger. The bill rate is an
annual average. You're saying I need to gross up the t-bill figure somehow
so the carry is applied "all at once" .. How (exactly)?
-----Original Message-----
From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
Sent: Tuesday, October 27, 2009 7:37 PM
To: omega List
Subject: Re: Recreating the back adjusted vistorical number
So why is the
sum of the carry adjustments so much greater than I get when allowing for
t-bills-dividends .. this shouldn't be complicated
For one thing, you're using average t-bills and interest x days
remaining over the whole period. But the adjustment only happens once
every 3 months. So it's not the average carry for the length of the
contract, which slowly decreases to zero, it's the 3-months-ahead carry
applied all at once.
To do it right, use the individual contracts and calculate the carry
from the premium (futures - cash) at the beginning of the contract.
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