Total returns for UK Gilt Sectors of Different Maturities from 1870 onwards
Description
The total returns, together with yield and duration, of UK gilts sectors (i.e., gilts with maturities under 5 years, from 5 to 15 years, over 15 years, etc.) have been calculated using the historical prices, coupons and amounts outstanding of individual gilts for years since 1870. The full method is described in Stocker A.J. (2024). “Total Returns for UK Gilt Sectors of Different Maturities from 1870 Onwards”, Available at SSRN: https://ssrn.com/abstract=4742450 or http://dx.doi.org/10.2139/ssrn.4742450. A full description of the dataset can be found in the readme.txt file.
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Steps to reproduce
The full method is described in Stocker A.J. (2024). “Total Returns for UK Gilt Sectors of Different Maturities from 1870 Onwards”, Available at SSRN: https://ssrn.com/abstract=4742450 or http://dx.doi.org/10.2139/ssrn.4742450