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Using Long Bond Futures for Historical Treasury Backtests

Article Quant Q&A · Author: danabo
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Summary

The document addresses the lack of long histories for Treasury bond ETFs, especially leveraged funds, when backtesting portfolios over periods earlier than those products existed. It suggests using long bond futures as a proxy source of historical exposure to long-term Treasury prices. The answer says that futures history begins in 1977 and describes the market as liquid and the data as relatively accessible.

Futures are inherently leveraged, which makes them a potentially useful comparison for a leveraged bond fund. However, the suggestion does not satisfy a request for data reaching 1970, and the document gives no data source, contract construction details, or method for translating futures returns into a leveraged ETF series. A backtest using this proxy would also need to account for futures roll behavior and differences between futures exposure and a fund tracking a Treasury bond index. The proposal is therefore a practical starting point, not a complete reconstruction method.

Key ideas

  • Long bond futures can provide a historical proxy when Treasury bond ETFs lack sufficient price history.
  • The answer identifies futures data beginning in 1977, which does not reach back to 1970.
  • Futures are leveraged instruments and may offer liquid exposure relevant to leveraged bond backtests.
  • The document does not explain contract rolls or how to convert futures returns into an ETF proxy.

Tags

Fixed incomeFuturesBacktestingUS markets
Full text
# Where can I find historical daily market prices for long term treasury bonds?


# Where can I find historical daily market prices for long term treasury bonds?












I want to backtest some portfolios that involve leveraged long term treasury bond funds like TMF, at least as far back as the 1970s. Since there does not seem to be any T-bond ETFs with history going that far back (and leveraged ETFs have even shorter histories), I could approximate the price of a hypothetical leveraged T-bond ETF using daily market prices of some class of bond, e.g. 30 year T-bonds.

Where can I get daily (like end of day quotes) price data for something like 30 year T-bonds going back to 1970 (or earlier)? There are indices like ^TYX which are bond yield, and yahoo finance has daily quotes on ^TYX going back to 1977. But I'm looking for the bond price rather than the yield. ^IDCOT20TR is such an index of 20 year T-bond prices (which TMF tries to track 3X), but I cannot find more than a few years of history on it.

## Answer by user42108 (score -1)

https://quant.stackexchange.com/a/69298

History for the long bond future starts in 1977. Futures are inherently leveraged. The data is relatively easy to access. The market is liquid. Offhand, this seems like an obvious choice though I appreciate it doesn't meet all of your criteria, such as "going back to 1970".

HTH.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.