fixed income historical data


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).
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pa at panix dot com
Reply to
Pierre Asselin

"Pierre Asselin" wrote in message news:lejhfb$80i$ snipped-for-privacy@reader1.panix.com...
St Louis Fed has monthly bond index data back to 1919.
Moody's Seasoned Aaa Corporate Bond Yield (AAA)
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Reply to
news

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.
Reply to
Beliavsky

I have found the following history of treasuries with a 5-year maturity, going back to 1962, helpful at times:
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Reply to
honda.lioness

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