Sources for Long Monthly Histories of US Treasury Returns

Summary

The document responds to a request for monthly US Treasury bond return histories extending earlier than commonly used benchmark indices. It identifies the Bloomberg US Treasury Index as having history back to 1973 and points to Ibbotson SBBI five-year and twenty-year government bond indices, with monthly records extending to 1926 and access described for CFA members.

It also mentions FRED Treasury yield series as supplementary historical data, including three-month and ten-year Treasury rates, and notes that frequencies such as daily and monthly are available. These are yields rather than total-return index values, so they are not interchangeable with bond returns without further assumptions or calculations. The recommendations provide possible data sources but do not discuss licensing, methodology changes, or the construction of comparable return series across eras.

Key ideas

• The Bloomberg US Treasury Index history is cited as beginning in 1973.
• Ibbotson SBBI five-year and twenty-year government bond indices are cited with monthly histories since 1926.
• FRED Treasury yield series offer long historical observations at multiple frequencies.
• Yield data and total-return index data measure different things and should not be treated as interchangeable.

Tags

# Long historical time series of Treasury bond returns


# Long historical time series of Treasury bond returns












I am looking for a long time series of US Treasury bond returns (or index values). The problem with standard indices is that they go back to at most the 1980s, while I would like to also see the returns from the 70s. Publicly available sources like this one have long data but only in annual form, while I need at least monthly data. Would you know of sources with long histories of monthly returns?

## Answer by Helin (score 4, accepted)

https://quant.stackexchange.com/a/67804

The Bloomberg US Treasury Index (formerly Bloomberg Barclays US Treasury Index) has history going back to 1973. This is the most widely used US Treasury benchmark.

For even longer histories, Ibbotson's 5-year and 20-year government bond indices ("Ibbotson SBBI") have monthly histories since 1926. These are now available for free to CFA members.

## Answer by UNOwen (score 0)

https://quant.stackexchange.com/a/67800

FRED economic data is a good source for historical data. See https://fred.stlouisfed.org/series/DGS3MO for 3 month Treasury rates and https://fred.stlouisfed.org/series/DBAA for Baa corporate yields (since 1981). 10 Year Treasury rates have data from 1962 at https://fred.stlouisfed.org/series/DGS10. Data is available in daily, monthly, quarterly, and yearly form. I hope this helps.

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