Replacing SBBI Long-Term Corporate Bond Returns with Moody’s Yields
Summary
The document discusses alternatives for rebuilding long-run historical asset return series after discontinuation of the Stocks, Bonds, Bills, and Inflation Yearbook. It identifies candidate sources for several categories: broad large-cap stocks, Fama–French small-cap stocks, government bonds of different maturities, Treasury bills, and consumer price inflation. The main unresolved gap is long-term corporate bonds, for which the original index used high-grade corporate issues with long maturities.
A response recommends Moody’s seasoned U.S. corporate bond yield series, available historically through FRED, and favors the Baa-rated series because it represents a larger share of outstanding corporate debt and differs more from Treasury yields. The yield spread over Treasuries may help isolate credit risk. This is a practical proxy suggestion, not a demonstrated replication of the original return index: yields are not total returns, and the proposed Baa rating differs from the original AAA/AA composition. Researchers should verify definitions and construct returns consistently before combining the series.
Key ideas
- The SBBI Yearbook’s historical asset-class series are being discontinued, motivating replacement data sources.
- The questioner proposes common market proxies for equities, government bonds, bills, and inflation.
- Moody’s seasoned corporate bond yields are suggested as a long-history corporate credit series.
- Baa yields may better represent aggregate corporate debt and provide a more distinct Treasury spread.
- A yield series is not automatically equivalent to a long-term corporate bond total-return index.
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Full text
# Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement # Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement One of the main aggregate datasets for historical returns on different assets classes (the Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook) is being discontinued. Source: https://www.kroll.com/en/cost-of-capital/stocks-bonds-bills-inflation-sbbi-yearbook For those of you who do not know this book, it literally has time-series since 1926 to 2023 for the following asset classes: - Large-Cap Stocks - Small-Cap Stocks - Long-term Corp Bonds - Long-term Gov’t Bonds - Inter-term Gov’t Bonds - U.S. Treasury Bills - Inflation I am trying to find replacement for all of these time-series. I have a good view on what to replace most of these with: - Large-Cap Stocks: S&P 500 - Small-Cap Stocks: Small cap stocks from Fama-French - Long-term Corp Bonds ??? - Long-term Gov’t Bonds 20-year U.S. government bonds - Inter-term Gov’t Bonds 5-year U.S. government bonds - U.S. Treasury Bills 1-month U.S. government t-bills - Inflation CPI The big issue is long-term corporate bonds. It seems that the Ibbotson index for that is being discontinued. The underlying data seems to be value-weighted returns on AAA and AA corporate bonds with 20 years to maturity (or close to it). Any private or public dataset that would allow me to replicate this? ## Answer by ralex (score 0) https://quant.stackexchange.com/a/80982 You can get the Moody's Seasoned [US] Corporate Bond Yield since 1919:01 from FRED. I suggest the Baa-rated series because it has long represented a larger proportion of the aggregate amount outstanding than the Aaa-rated series. It's also more volatile and less correlated with Treasury yields; particularly useful if you are trying to isolate credit risk by taking the approximate spread to Treasuries. If you prefer the Aaa series just change the last three letters of the URL to 'AAA'. As to the "long-term" characteristic of your original series: if that meant anything longer-dated than T-bills, this series should suffice.
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