fixed income historical data


Pierre Asselin

Is there a bond index of some sort that is to fixed income as the
S&P500 is to equities, and for which historical data is available
over a long period ?

(For example, Robert Shiller maintains a S&P500 time series
going back to 1871).




St Louis Fed has monthly bond index data back to 1919.

Moody's Seasoned Aaa Corporate Bond Yield (AAA)
Yes, but the AAA segment of the corporate bond market is pretty small now, and to estimate the total returns from holding the bonds you need historical data on the average duration and the number of AAA bonds that were downgraded.

Historical total return data for the Barclays Capital Aggregate Bond Index would be good if you can find it.


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