Knowledge Base

Why are there missing data in Fama Maturity Portfolios Return Files in the CRSP Monthly US Treasury Database?

Only callable, non-callable, non-flower notes and bonds are included in the portfolios. Partially or fully tax-exempt issues are excluded. Not all portfolio categories have valid records each month, especially in earlier years. There were no bonds of over 10 years in length dated between April 1963 and November, 1971, and the long-term bonds issued between 1942 and 1963 were all flower bonds and therefore excluded.