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I am looking for a long time series of US Treasury bond returns (or index values). The problem with standard indices is that they go back to at most the 1980s, while I would like to also see the returns from the 70s. Publicly available sources like this one have long data but only in annual form, while I need at least monthly data. Would you know of sources with long histories of monthly returns?

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The Bloomberg US Treasury Index (formerly Bloomberg Barclays US Treasury Index) has history going back to 1973. This is the most widely used US Treasury benchmark.

For even longer histories, Ibbotson's 5-year and 20-year government bond indices ("Ibbotson SBBI") have monthly histories since 1926. These are now available for free to CFA members.

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  • $\begingroup$ Thanks, will check these. $\endgroup$
    – fesman
    Sep 7 at 14:06
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FRED economic data is a good source for historical data. See https://fred.stlouisfed.org/series/DGS3MO for 3 month Treasury rates and https://fred.stlouisfed.org/series/DBAA for Baa corporate yields (since 1981). 10 Year Treasury rates have data from 1962 at https://fred.stlouisfed.org/series/DGS10. Data is available in daily, monthly, quarterly, and yearly form. I hope this helps.

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  • $\begingroup$ I am looking for bond return data not yield data. Using such yield data provided e.g. by Fred I can only roughly approximate bond returns. $\endgroup$
    – fesman
    Sep 7 at 10:53
  • $\begingroup$ Oh, so price data? If so, wsj.com/market-data/quotes/bond/BX/TMUBMUSD10Y/… has daily price data for 10 year notes from 2006 (from which you could calculate bond returns). However, there aren't too many free sources for reliable price data. Sorry I couldn't be of more help. $\endgroup$
    – UNOwen
    Sep 7 at 10:59
  • $\begingroup$ I am looking for return data not price data or yield data. Also 2006 is way too short, I already have data going back to 80s but would like to extend that. $\endgroup$
    – fesman
    Sep 7 at 11:03
  • $\begingroup$ What do you mean by returns? Are daily returns expressed as $R_{daily}=\frac{P_{t}-P_{t-1}}{P_{t-1}}$? Note that prices for a 10 Year treasury may be calculated with the yield $r$ and coupon $c$ such that $P=\frac{1000}{\left(1+r\right)^{10}}+\sum_{t=1}^{10}\frac{1000c}{\left(1+r\right)^{t}}$ (face value is $1000). $\endgroup$
    – UNOwen
    Sep 7 at 11:14
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    $\begingroup$ I mean monthly returns from investing in a given maturity bond. Your return formula ignores coupons and roll down. It is not trivial how to properly create a bond return index. This is why most of these are costly, see e.g. the FTSE indices. $\endgroup$
    – fesman
    Sep 7 at 11:21

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