Ibbotson U.S. 30-day Treasury Bill Index is compiled from Wall Street Journal prices for 1977-Present and the CRSP U.S. Government Bond File from 1926 to 1976. Each month a one-bill portfolio containing the shortest-term bill having not less than one month to maturity is constructed. To measure holding period returns for the one-bill portfolio, the bill is priced as of the last trading day of the previous month-end and as of the last trading day of the current month.