Treasury Return Calculator, With Coupon Reinvestment

June 15th, 2024 by 

The Treasury Return Calculator below uses long run 10-year Treasury Data from Robert Shiller to compute returns based on reinvesting the coupon payments.  You can see the total returns for the 10 Year Treasury for any arbitrary period from 1871 until today.

Through 6/14/2024 close.

(If you are looking for a similar calculator for the S&P 500, Dow Jones Industrial Average, Gold, or Daily Inflation we've got that too.

The 10-Year Treasury Return Calculator (With Inflation Adjustment and Coupon Payment Reinvestment)

One issue you run into a lot when you are discussing optimal savings strategies is the inability to produce a fair comparison (or, at least, not pay someone for one) - especially when it comes to bonds and treasuries. In the case of the 10-Year Treasury, investors will eyeball a chart of historic yields but past that point it's hard to figure out what the returns for 'staying in the market' would be without, at minimum, a spreadsheet program.  Let's fix that today.

Here are the values the tool computes:

  • Reinvested 10 Year Treasury Return - The total price return of 10 Year Treasuries over the time-frame you chose. So if you buy and sell the same month, it'll be 0.
  • Annualized 10 Year Treasury Return - The total price return of 10 Year Treasuries (as above), annualized. This number basically gives your 'return per year' if your time period was compressed or expanded to a 12 month timeframe.
  • Inflation Adjusted (CPI)? - Whether the calculation you did is using CPI adjusted values gathered by Shiller, or showing return before inflation. Hit the checkbox above the buttons to turn on or off the inflation adjustment, and rerun the calculator for the opposite adjustment.

Methodology for the Treasury Return Calculator

Professor Shiller lists his methodology on his site - all values internal to this tool use the values he provided. One thing to note is that the month's '10-Year Yield Price' isn't the price on a particular day, but the blended average of daily yields, comparable to the 10 Year Yields (also known as 'constant maturity') which you can find at the Treasury's site.

What does that mean?  It means, in short, these numbers are 'fake' - they are a blend of the yields available throughout the months (on 'average'), had a new 10 year note even been sold that month.

You can reproduce the monthly values using St. Louis FRED and the 10 Year Constant Maturity yield. Try: // Aggregate with Monthly // Aggregate with Average

A 10 Year Treasury note pays a coupon every 6 months.  The calculator assumes bonds are bought at face value with no transaction fees and a tax rate of 0%.  Since we only have a 10-year yield number, we had to take some liberties when calculating bond prices - we properly compute dirty and clean prices of the bonds, but we are assuming that bonds are sold at the 7 year mark asking for the 10 year yield.  Why does that matter?  Using the 10 year yield at the 7 year mark assumes a flat yield curve.  For an example of this method breaking down, see the constant maturity series for 1/02/2013 - the 10 year prevailing yield was 1.86%, but the 7 year yield was 1.25%.  If you have yield curve data going back to 1871 feel free to excoriate me (just be sure to release that data into the public domain so I can use it!)... otherwise, deal with it.

How to Use This Data

As we mentioned above, there isn't much in the way of good Treasury Yield Curve data going back to 1871 - so we don't have a great way of determining how, exactly, to price 10 year treasuries with roughly 7 years to maturity.  With that in mind, this data is best used as an approximation of how an investor would have fared, than the ultimate arbiter of investor returns.  However - you should have guessed that anyway, since the resolution is only one month.

Considering these shortcomings, please look at this data as a 'decent approximation' of returns from the past.  Remember, just like with stocks, the time of day, the weather, general sentiment, daily inflation, and numerous other factors would affect the price of a security at any point in time - including the actual purchase of that security.

Thank Yous

To Robert Shiller, of course, for posting his data publicly.
To Jim at Free By 50, who assisted with some assumptions.

Is this a useful tool? Anything else you'd like to see added to the Treasury Return Calculator?



PK started DQYDJ in 2009 to research and discuss finance and investing and help answer financial questions. He's expanded DQYDJ to build visualizations, calculators, and interactive tools.

PK lives in New Hampshire with his wife, kids, and dog.

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