Data Documentation & Code › United States
U.S. term structure factors
Daily excess returns of the four KR-4 factors, which provide an excellent representation of the discount bond excess return curve.
File format
Two CSV files: the factor excess returns, and the risk-free returns published with the discount bond returns.
| File | Columns |
|---|---|
| KR-4 factor excess returns | Date, then factors 1 … 4 |
| Risk-free returns | Date, then One-period risk-free rate |
The date column carries no header text. Dates are
YYYY-MM-DD.
Data availability
Daily from June 14, 1961, alongside the daily risk-free returns.
Construction
The four factors are investable portfolios of traded assets that replicate the term structure and are sufficient to hedge against interest rate changes. They are published as excess returns, which remove the risk-free level from discount returns; adding the risk-free returns back gives a five-factor representation of discount returns.
Shrinking the Term Structure · Paper & citation →