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I looked at the US treasury website https://www.treasurydirect.gov/instit/annceresult/annceresult.htm and the usual percentage of interest one should get is around 2.4%. So, if I bought a 4-week treasury bill for $97.60 I would get back $100, making $2.40 profit.

However, in reality I paid $99.85 and got back $100, making a 1% profit instead of 2.4%. Am I reading the table wrong?

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    It’s 1.8%pa on your numbers, so just 0.6 percentage points away from what you were expecting. Did your $99.85 buy price include fees or a buy/sell spread to pay for the broker’s services? – Lawrence Dec 10 '18 at 10:11
  • @Lawrence I don't think there were any fees. I bought directly from the Treasury online. – magnetar Dec 16 '18 at 21:41
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The ~2.4% you are expecting for the 4 week T-Bill is the annual rate, or the rate for 52 weeks. Therefore 2.4% divided by 13 will get you ~0.185% for the four weeks you .

In fact If you go one click beyond the link you included in your question to the actual details for a particular auction you will see:

CUSIP     Security Type Security Term Auction Date  Issue Date  Maturity Date   Price per $100
912796UG2 Bill          4-Week        12/4/2018     12/6/2018   1/2/2019        99.826

For a recent 52 week auction the rate is given as 2.76% and the price was $97.336 for $100 which makes sense becasue 52 weeks is a year.

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    One can account for compounding, the formula is 1.024^(1/13). Barely any difference in this case. – Ben Voigt Dec 10 '18 at 17:38
  • Thanks I didn't realize this was the case. Maybe I didn't see it, but the website could make that more clear that it is an annual rate and not a return on whichever time-span of your choosing. – magnetar Dec 16 '18 at 21:45

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