Return on US Treasury

Water Cooler Investing
#1

Hi guys, I would really need some help.

I am employing theoretical long/short arbitrage strategy using 10y US Treasuries and corp bonds. How do I calculate daily return on Treasuries? I do this with algorithm - if some criteria is met, go long on 10y US Treasury and keep position until criteria is no longer met. This position would be, according to strategy, usually opened only for a day or two. I do this through whole 2015. How is then this whole performance (returns) througout year on Treasuries calculated?

Thank you.

#2

I’ d calc w/ logarithmic returns -> LN (Day 1/ Day 0). This will account for continuous instead of discrete returns.

For the treasury piece (not sure if you’re also asking about this), my first instinct is 10y T futures. They’re liquid and will have daily price data that’s easily available. Depends what you’re doing though I suppose.