Historical US Bond Benchmarks and Their Data Availability

Summary

The discussion identifies potential benchmarks for US corporate and Treasury bond strategies over a historical daily sample. It distinguishes an investable exchange-traded fund from the index it tracks: the fund’s price history begins later, while the underlying broad aggregate index extends further back. Bloomberg is cited as a source for daily index data, and FRED is suggested for publicly accessible investment-grade corporate bond series.

The answer notes a key gap: the respondent knows of no comparable public Treasury bond index series and no older aggregate bond ETF. The suggestions therefore do not establish that a complete, freely available daily benchmark set exists for both sectors across the requested period. Researchers should check data coverage, index definitions, and access terms before comparing strategy results, and ensure that the benchmark’s composition matches the portfolio being evaluated.

Key ideas

• The broad US aggregate bond index has a longer history than the ETF that tracks it.
• Bloomberg is identified as a source for daily aggregate index data.
• FRED offers some investment-grade corporate bond indices.
• The answer identifies no publicly available Treasury index series or older aggregate ETF known to the respondent.

Tags

# What's the most accurate benchmark index for US corporate and treasury bonds


# What's the most accurate benchmark index for US corporate and treasury bonds












I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range `2001-2015` with daily frequency, the most fitting benchmark for treasury bonds I could find was `AGG` but the data is only available from the end of 2003.

Where can I find publicly available benchmarks for US corporate and treasury bonds?

## Answer by J-F (score 3, accepted)

https://quant.stackexchange.com/a/41241

AGG tracks the Bloomberg Barclays US Aggregate Bond Index, which goes back to the early 1980s. Daily data is available on Bloomberg (ticker: LBUSTRUU).

As for publicly available data, FRED has some IG corporate bond indices that you may be interested in (see link below), but no treasury bond indices (that I know of). I unfortunately don't know any other (aggregate) bond ETF that goes back further than AGG.

https://fred.stlouisfed.org/categories/32413

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