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