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


1 Answer 1


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.)


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.