Approximating Historical Bloomberg Long Treasury Returns
Summary
The document discusses ways to obtain a long history of returns for the Bloomberg US Long Treasury index when direct access to Bloomberg data is unavailable. One suggested proxy is the Goyal and Welch dataset, which draws long-term government bond yields and returns from historical sources including NBER material and Ibbotson data. The response suggests that this series may correlate closely with the Bloomberg index, but does not provide a measured comparison in the post.
A second approach is to estimate bond total returns from yield data, following a published method that compares its approximation with Bloomberg and other indices. The discussion points to yield data as an input and notes that an implementation exists in an R package. These are alternatives for research where an approximation is acceptable, not guaranteed substitutes for the licensed Bloomberg index history. Differences in index rules, maturity exposure, rebalancing, and return conventions may affect comparability, and the document gives no cost details for data vendors.
Key ideas
- The question seeks a long historical return series for the Bloomberg US Long Treasury index.
- A long-term government bond dataset assembled from historical yield and return sources may serve as a proxy.
- Bond total returns can also be approximated from yields using a published method.
- The suggested alternatives are approximations and may differ from the Bloomberg index methodology.
- The document does not report a quantified correlation or compare vendor prices.
Tags
Full text
# Sources for Bloomberg Index data
# Sources for Bloomberg Index data
I'm looking for a data source for historical returns of Bloomberg Indices (specifically the Bloomberg US Long Treasury index). Bloomberg's website has data going back 10 years, but I'm looking the full history going back to 1973.
I'm a retail investor so I don't have access to a Bloomberg terminal, but Bloomberg's website mentions the data being available via "authorized redistributors". That seemed like my best for getting the data. Is anyone aware of a third-party data vendor that carries Bloomberg index data (hopefully at a price that's less than a Bloomberg Terminal subscription)? I've attempted to ask Bloomberg sales, but they don't seem to know.
## Answer by phdstudent (score 2)
https://quant.stackexchange.com/a/82016
You can use Goyal & Welch dataset, from the paper: A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
For long-term government bonds they use:
``Long Term Yield (lty) : Our long-term government bond yield data from 1919 to 1925 is the U.S. Yield On Long-Term United States Bonds series in the NBER’s Macrohistory data base. Yields from 1926 to 2005 are from Ibbotson’s Stocks, Bonds, Bills and Inflation Yearbook, the same source that provided the Long Term Rate of Returns (ltr)."
You can find the updated data, up to 2023, under Goyal's webpage here: https://sites.google.com/view/agoyal145
I am pretty sure this will have a very high correlation with the bloomberg index.
## Answer by Enrico Schumann (score 1)
https://quant.stackexchange.com/a/82023
If an approximation is enough, then Swinkels (2019) describes how to compute a total-return series from yields (which are available, e.g. from FRED):
```
@Article{,
author = {Swinkels, Laurens},
title = {Treasury Bond Return Data Starting in 1962},
journal = {Data},
volume = 4,
year = 2019,
number = 3,
doi = {10.3390/data4030091}
}
```
The author also compares the approximation with a Bloomberg index, among others.
The method is implemented in the function approxBondReturn in the R package NMOF (which I maintain).Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.