Just want to make a reference to a closely related thread: Monthly Return on 10-Year Bond
From the Damodoran link :
Damodoran calculates the returns on 3 mo T-Bills as the simple average of interest rates sampled over discrete quarterly intervals (Jan, Apr, Jul, Oct). This is quite frankly not the best way to do this, nor the canonical way, but it’s close enough for rough approximation.
When I download the raw data on H.15 Selected Interest Rates from the Federal Reserve data system, I can match his results up to 2011 with 100% accuracy. Peculiar is that my results begin to differ from Damodaron’s after 2011. It appears that he changed methodologies since this time. Of note, I get ~.86% returns for 2017 using his legacy method.
However, even when I impute bond returns using a “better” method, my results differ significantly from Damodoran’s. Notably, I get .927% to .931% for 2017 (depending on the convention).
This data corroborates a long held intuition I’ve had about Damodoran… In any case, I would personally not use his data.