Finding Eurozone Bond Indices for Historical Portfolio Analysis
Summary
The discussion addresses how to obtain historical Eurozone fixed-income index data for a multi-factor study of European bond funds when Bloomberg is unavailable and replacement ETFs lack sufficiently long histories. The response names Yieldbook index families as a possible source, including a broad investment-grade corporate index, government bond indices, maturity-segmented government indices, and a high-yield corporate index.
It does not identify all the requested categories: mortgage-backed securities, long-term corporate bonds, and long-term Treasury indices remain unresolved, and the answer points the reader toward further index searching and a credit-market guide. Yieldbook is described as a paid service that may cost less than a Bloomberg terminal. The answer provides candidate index names rather than evidence about their coverage, historical availability, licensing, or suitability for the intended factor model, so researchers would need to verify those details before using the series.
Key ideas
- Yieldbook is suggested as a source for historical Eurozone bond index data.
- The response lists candidate broad investment-grade, government, maturity-specific government, and high-yield indices.
- The requested mortgage-backed and long-term corporate and Treasury categories are not resolved.
- Index history, access terms, and fit for a particular study need to be checked independently.
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Full text
# What are the eurozone bond indices? And where can I find them? # What are the eurozone bond indices? And where can I find them? I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several indices (of the Eurozone). In particular I was looking for: - a broad investment grade bond index - a long-term and a short-term government bond index - a high yield corporate bond index - a mortgage-backed securities index - a long term corporate bond index - a long term treasury index Many empirical researches make use of Barclays Capital or iBoxx indices. My problem arises when I go to search for these indices, as I cannot see them in the Reuters database. I understand they are available on Bloomberg but I only have access to Thomson Reuters services. I have tried to replace them with ETFs that replicate them, but they are of recent creation and my analysis starts from the early 2000s. How can I get around this problem? Do you know where I can get such indices or other similar indices with which I can conduct my analysis? Thank you in advance ## Answer by Dimitri Vulis (score 1) https://quant.stackexchange.com/a/61723 Yieldbook finds: broad investment grade bond index - Euro Broad Investment-Grade (EuroBIG) Corporate Bond Index https://www.yieldbook.com/x/ixPubDoc/factsheet_i_ebigc.pdf long-term and a short-term government bond index - EMU Government Bond Index (EGBI) https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi.pdf , EMU Government Bond Index (EGBI) 1-3 Years https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi13.pdf , EMU Government Bond Index (EGBI) 15+ Years https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi15.pdf high yield corporate bond index - FTSE Goldman Sachs High Yield Corporate Bond Index https://www.yieldbook.com/x/ixPubDoc/factsheet_i_cfiighyb.pdf However I don't immediately see these 3. try https://www.yieldbook.com/m/indices/search.shtml mortgage-backed securities index long term corporate bond index long term treasury index Yieldbook is not free, but is cheaper than Bloomberg terminal. Also take a look a look at this Credit Suiss Guide. (Disclosure: I am friends and/or former colleague with some people at some firms mentioned here.)
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