Just like the price indices performance indices are calculated as the 3-month (91 days), 6-month (182 days), 9-month (273 days), 12-month (365 days) and 15-month (456 days) indices.
Performance indices that are calculated on a daily basis take into account the reduction in the number of days to maturity, which is not covered by the price indices, and reflect the final return which the investor earns in a certain period of time.
The maturity-yield graph derived from the rate of return which is calculated over the weighted average prices of discounted securities published on the daily bulletin at the end of each trading day and the number of days to maturity is converted to a maturity-yield curve through regression analysis. The prices of bills and bonds at different maturities are calculated with the help of this function.
The return on bond and bill investments can be compared with other investment options with the use of performance indices. The return on a bond or a bill for a certain term (for example 3-year return on a bond with a 15-month term) is found with the formula below:
Return% = [(index value at the end-of-term – index value at the beginning-of-term) / index value at the beginning-of-term]