Bloomberg Barclays index returns (e.g. LF98TRUU Index "index_total_return_mtd" & "index_excess_return_mtd") and sub-index returns (e.g. BCBATRUU Index "index_total_return_mtd" & "index_excess_return_mtd") are published by Bloomberg. Index constituent returns, market-values, and excess returns are also available through Bloomberg.
I have access to the constituent-level data from Bloomberg and would like to replicate the monthly returns from the bottom up. Bloomberg publishes their methodology here: https://data.bloomberglp.com/professional/sites/10/Index-Methodology-2019-07-10.pdf
However, I am unable to exactly tie-out the returns. I can get within 4bps of tracking error to LF98TRUU-index_total_return_mtd & index_excess_return_mtd, and about 27 bps of tracking error to BCBATRUU total/excess returns.
Question: Is it possible to exactly replicate these indices using the Bloomberg Barclays constituent data (edited to specify this constraint)? Or does replication somehow require other data?
If the answer is yes, then I must be doing something wrong and may create another question to go over my understanding of the methodology and where an error may be introduced.