How to calculate monthly return on Shiller’s “Long Interest Rate GS10” (1871-2016)? I hope someone out there can help with some formulas and excel procedure to calculate the total return on bonds.
I am doing some research and empirical studies for my bachelor project based on Shiller data: http://www.econ.yale.edu/~shiller/data.htm
This is a great and easy spreadsheet to work with. However, I am facing problems with the ‘Long interest rate GS10’. There’s very little info related to this piece of data. All I have is the monthly YTM, and I find it difficult to calculate the monthly return. I assume I have to “pretend” that I’m buying one month and selling the next. Repeatedly. I need it for a calculation of Excess return on stocks in the same period.