Abstract: The paper first analyzes daily returntime series of Chinese treasury bonds market from July 1 2004 to November 12 2004.And on the basis of that,the daily return time series are detrended.Then,a new metrical approach of distance by using the correlation of bond daily returns is proposed and the clustering analysis for the bond daily returns is conducted with the modified series of daily returns according to the new method.At last,the 17 bonds are classified into five categories by trading off between threshold value and hierarchical tree.The classification result indicates that the correlation of Chinese treasury bonds daily return does not evidently depend on their maturities,thus there may be an opportunity to arbitrage.