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?

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    $\begingroup$ The Dow Jones Equal Weight US Corporate Bond Total Return Index ( DJCBT ) goes back to 1997. The S&P US Treasury Bond Total Return Index ( SPBDUSBT) goes back to 1990. I've added this as a comment as this sort of data is usually only available through a paid data source (we pay to redistribute that data - Disclosure: Norgate Data is a data vendor) $\endgroup$ – Norgate Data Aug 14 '18 at 0:23

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.



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