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I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several indices (of the Eurozone). In particular I was looking for:

  • a broad investment grade bond index
  • a long-term and a short-term government bond index
  • a high yield corporate bond index
  • a mortgage-backed securities index
  • a long term corporate bond index
  • a long term treasury index

Many empirical researches make use of Barclays Capital or iBoxx indices. My problem arises when I go to search for these indices, as I cannot see them in the Reuters database. I understand they are available on Bloomberg but I only have access to Thomson Reuters services. I have tried to replace them with ETFs that replicate them, but they are of recent creation and my analysis starts from the early 2000s. How can I get around this problem? Do you know where I can get such indices or other similar indices with which I can conduct my analysis?

Thank you in advance

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Yieldbook finds:

broad investment grade bond index - Euro Broad Investment-Grade (EuroBIG) Corporate Bond Index https://www.yieldbook.com/x/ixPubDoc/factsheet_i_ebigc.pdf

long-term and a short-term government bond index - EMU Government Bond Index (EGBI) https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi.pdf , EMU Government Bond Index (EGBI) 1-3 Years https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi13.pdf , EMU Government Bond Index (EGBI) 15+ Years https://www.yieldbook.com/x/ixPubDoc/factsheet_i_egbi15.pdf

high yield corporate bond index - FTSE Goldman Sachs High Yield Corporate Bond Index https://www.yieldbook.com/x/ixPubDoc/factsheet_i_cfiighyb.pdf

However I don't immediately see these 3. try https://www.yieldbook.com/m/indices/search.shtml

mortgage-backed securities index

long term corporate bond index

long term treasury index

Yieldbook is not free, but is cheaper than Bloomberg terminal.

Also take a look a look at this Credit Suiss Guide.

(Disclosure: I am friends and/or former colleague with some people at some firms mentioned here.)

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