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One of the main aggregate datasets for historical returns on different assets classes (the Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook) is being discontinued. Source: https://www.kroll.com/en/cost-of-capital/stocks-bonds-bills-inflation-sbbi-yearbook

For those of you who do not know this book, it literally has time-series since 1926 to 2023 for the following asset classes:

  • Large-Cap Stocks
  • Small-Cap Stocks
  • Long-term Corp Bonds
  • Long-term Gov’t Bonds
  • Inter-term Gov’t Bonds
  • U.S. Treasury Bills
  • Inflation

I am trying to find replacement for all of these time-series. I have a good view on what to replace most of these with:

  • Large-Cap Stocks: S&P 500
  • Small-Cap Stocks: Small cap stocks from Fama-French
  • Long-term Corp Bonds ???
  • Long-term Gov’t Bonds 20-year U.S. government bonds
  • Inter-term Gov’t Bonds 5-year U.S. government bonds
  • U.S. Treasury Bills 1-month U.S. government t-bills
  • Inflation CPI

The big issue is long-term corporate bonds. It seems that the Ibbotson index for that is being discontinued. The underlying data seems to be value-weighted returns on AAA and AA corporate bonds with 20 years to maturity (or close to it).

Any private or public dataset that would allow me to replicate this?

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    $\begingroup$ I take the US T-Bills rate from here aqr.com/Insights/Datasets $\endgroup$
    – KaiSqDist
    Commented Oct 24 at 18:05
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    $\begingroup$ Those are easy to get, I can get them from Fama-French or FRED too. Corporate bonds is the tricky one. But thanks! $\endgroup$
    – phdstudent
    Commented Oct 24 at 18:10

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You can get the Moody's Seasoned [US] Corporate Bond Yield since 1919:01 from FRED.

I suggest the Baa-rated series because it has long represented a larger proportion of the aggregate amount outstanding than the Aaa-rated series. It's also more volatile and less correlated with Treasury yields; particularly useful if you are trying to isolate credit risk by taking the approximate spread to Treasuries. If you prefer the Aaa series just change the last three letters of the URL to 'AAA'.

As to the "long-term" characteristic of your original series: if that meant anything longer-dated than T-bills, this series should suffice.

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  • $\begingroup$ Unfortunately (without additional data such as duration, etc.) it is difficult to go from a yield time series to a time series of returns. $\endgroup$
    – nbbo2
    Commented Oct 25 at 20:12

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