Retrieving Bond Total Returns with Bloomberg Data

Summary

The document addresses how to obtain daily bond total returns in Bloomberg, where total return includes price movement and coupon income. It notes that the equity field used as an example has no direct bond counterpart in the described workflow. The suggested alternative is the holding period total return field, with start and end dates overridden to build a sequence of period returns.

For a manual calculation, the answer points to retrieving accrued interest for a settlement date and combining it with price change and coupon information. It does not provide a complete worked calculation or confirm that the suggested field covers every bond or return convention. Users are advised to check field parameters and consult Bloomberg support, so field availability and settings should be verified for the instrument and dates in question.

Key ideas

• The cited equity daily total return field has no direct bond equivalent in the described workflow.
• A holding period bond total return field can be queried with adjusted start and end dates to assemble a time series.
• A manual return calculation requires price movement and coupon related information, including accrued interest.
• Field parameters and applicability should be checked for the bond and date conventions used.

Tags

# Bloomberg formula for bond total return


# Bloomberg formula for bond total return












Do you know a bloomberg excel formula to retrieve the dayly total return of a bond over a period?

By total return I mean : (change in price + coupon)/initial price

Same as for a stock but with coupon instead of dvd. For equities there is this formula : BDH("IBM US EQUITY","day_to_day_tot_return_gross_dvds",t0,t1) This formula give the total return for each day of the period and I would like the same thing but for a bond. If not possible then at least something to retieve the coupon and then I'll finish the calculation on my own.

Thanks for your help

## Answer by oronimbus (score 2, accepted)

https://quant.stackexchange.com/a/39464

There is no field for bonds like you have for stocks to get daily returns in a time series format. However you can try using CUST_TRR_RETURN_HOLDING_PER. This gives you total return over a specific period, you can look up the valid parameters on FLDS (for instance, to adjust the start and end date). Overriding start and end date you can create your own time series.

If you don't want to use this method, then you can try calculating the return yourself using the accrued interest and coupon. The formula should look like this =BDP(Bond,"INT_ACC","SETTLE_DT=20180426"). Best to check with BBG support, if there's anything else they can recommend.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.