Bloomberg Barclays US Aggregate Bond Index: Difference between revisions
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The '''Barclays US Aggregate Bond Index''' (ticker: LBUSTRUU), formerly the Lehman Aggregate Bond Index, was created in 1986 with backdated history going back to 1976. The index is a | The ''' Bloomberg Barclays US Aggregate Bond Index''' (ticker: LBUSTRUU), formerly known as the Lehman Aggregate Bond Index and the Barclays US Aggregate Index, was created in 1986 with backdated history going back to 1976. The index has been maintained by Bloomberg L.P. since August 24th 2016. <ref> {{Cite web|title=Bloomberg Completes Acquisition of Barclays Risk Analytics and Index Solutions Business |url=https://www.bloomberg.com/company/announcements/bloomberg-acquisition-barclays-brais/|publisher=Bloomberg|date=August 24, 2016}}</ref>The index is a predominant index benchmark for US bond investors, and is a benchmark index for many US index funds. | ||
==Overview== | ==Overview== | ||
The Index is a composite of four major | The Index is a composite of four major subindices: US Government Index; US Credit Index; US Mortgage Backed Securities Index (1986); and (beginning in 1992) US Asset Backed Securities Index. The index holds investment quality bonds. The ratings are based on S&P, Moody, and Fitch bond ratings. Table 3 in the appendix provides credit quality breakdowns for the index from 2005-2009. The index does not include [[High yield bonds|high yield bonds]], [[Municipal bonds |municipal bonds]], [[Treasury Inflation Protected Securities| inflation-indexed bonds]], or [[Developed market bonds |foreign currency bonds]]. In 2010, the index held more than 8,200 bond issues. <ref> [https://www.ishares.com/us/literature/fact-sheet/agg-ishares-core-u-s-aggregate-bond-etf-fund-fact-sheet-en-us.pdf Ishares Factsheet] </ref> The time line for the addition and subtraction of asset classes, as well as changes in the minimum issue size and credit quality standards for the index are included in the time line sidebar. | ||
{{Quote | {{Quote | ||
|quote ='''Milestones in the Evolution of the Barclays U.S. Aggregate Index''' | |quote ='''Milestones in the Evolution of the Bloomberg Barclays U.S. Aggregate Index''' | ||
*'''1/73''' Inception date for Government/Corporate Index. | *'''1/73''' Inception date for Government/Corporate Index. | ||
*'''1/86''' Introduction date for the Mortgage-Backed, Yankee, and Aggregate Indices, with returns and statistics calculated back to 12/31/75. | *'''1/86''' Introduction date for the Mortgage-Backed, Yankee, and Aggregate Indices, with returns and statistics calculated back to 12/31/75. | ||
Line 27: | Line 27: | ||
*'''10/09''' U.S. ABS Home Equity Loans removed. | *'''10/09''' U.S. ABS Home Equity Loans removed. | ||
*'''01/11''' Covered bonds become eligible, A1A tranches are removed from the CMBS portion of the index. | *'''01/11''' Covered bonds become eligible, A1A tranches are removed from the CMBS portion of the index. | ||
|source = -- ''[http:// | *'''05/12''' Issuer eligibility for fixed-rate ABS no longer based on a predefined list of “eligible” issuers. | ||
*'''04/13''' Loan participation notes (LPNs) eligible for the index. | |||
*'''04/14''' Minimum liquidity for US MBS Index constituents raised from USD250mn to USD1bn. | |||
*'''07/14''' US Agency CMBS added to the index. | |||
|source = -- ''[{{{URL|http://quantlabs.net/academy/download/free_quant_instituitional_books_/%5BLehman%20Brothers%5D%20A%20Guide%20to%20the%20Lehman%20Global%20Family%20of%20Fixed%20Income%20Indices.pdf}}} Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] Figure 7.; [https://index.barcap.com/indices/action/indexDownload?id=-cd39a682e66c4320a4f351cae1cdbb9&pageId=9 US Aggregate Index Factsheet]'' | |||
}} | }} | ||
The current bond asset classes that compose the index: <ref> Richard A. Ferri, ''All About Index Funds''; p. 182. ISBN 0-07-148492-2 </ref> | |||
The current bond asset classes | |||
#Government | #Government | ||
##[[Treasury bonds |Treasury bills, notes, and bonds]] | ##[[Treasury bonds |Treasury bills, notes, and bonds]] | ||
Line 50: | Line 52: | ||
##Home equity loans | ##Home equity loans | ||
The relative weighting of asset classes within the index changes over time as new asset classes are added to the index, as issuance of bonds grows and ebbs, and as market security values fluctuate. The following table shows the index sector allocation over the period 1973-2013. A breakdown of mortgage backed securities (GNMA, FHLMC, FNMA) in the index from 1978-2001 is included in the notes. | |||
In June 2009, as a result of the 2008 financial crisis, Barclay's announced the creation of the US Aggregate Float Adjusted Index that excludes Treasuries, agencies and MBS held in Federal Reserve accounts.<ref> [http://www.marketwired.com/press-release/barclays-capital-announces-the-creation-of-the-us-aggregate-float-adjusted-index-1214078.htm Barclays press release, July 30, 2009] </ref> | |||
<center> | <center> | ||
{| class=wikitable style="text-align:center" width=700px | {| class=wikitable style="text-align:center" width=700px | ||
|+ Table | |+ Table. Bloomberg Barclays US Aggregate Bond Index Sector Allocation<br>Trailing 5 years<ref>[http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref> <ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009, 2014-2016; [https://www.bbhub.io/indices/sites/2/2016/08/2017-02-08-Factsheet-US-Aggregate.pdf. Bloomberg Barclays U.S Aggregate Factsheet], 2017. </ref> | ||
| align="center" style="background:#f0f0f0;"|'''Year''' | | align="center" style="background:#f0f0f0;"|'''Year''' | ||
| align="center" style="background:#f0f0f0;"|'''Government''' | | align="center" style="background:#f0f0f0;"|'''Government''' | ||
Line 96: | Line 96: | ||
|- | |- | ||
|2013 || 45.7% || 22.3% || 32.0% || - | |2013 || 45.7% || 22.3% || 32.0% || - | ||
|- | |||
| 2014 || 45.3%|| 23.3%|| 31.4% ||- | |||
|- | |||
| 2015 || 45.8% || 24.2%|| 31.0%|| - | |||
|- | |||
| 2016 || 44.7% || 25.4%|| 30.0%||- | |||
|- | |||
| 2017 || 44.0% || 25.8%|| 30.3%||- | |||
|} | |} | ||
</center> | </center> | ||
The modified adjusted [[duration]] of the U.S. Aggregate index is 5.51 years (as of 30-Aug-2016).<ref>[https://index.barcap.com/Benchmark_Indices/Aggregate/Bond_Indices Barclays - Index Products], viewed August 31, 2016.</ref> | |||
= | All bonds have a final maturity of at least one year. Subindices based on ''intermediate'' maturity bands range from 1 to 9.999 years; ''long'' maturity bands include maturity bands of 10 years or greater.<ref>[https://index.barcap.com/indices/action/indexDownload?id=-4dc127143d5fed8061d77026cd51ffdd US Aggregate Index Fact Sheet], viewed August 31, 2016.</ref> | ||
The following table provides return data for the index. | ==Credit quality== | ||
The table below shows the annual distribution of credit quality holdings in the index.<ref group="note"> Breakdown of mortgage backed securities in the index. | |||
{| class=wikitable style="text-align:center" width=700px | |||
|+ Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 2010 forward | |||
| align="center" style="background:#f0f0f0;"|'''Year''' | |||
| align="center" style="background:#f0f0f0;"|'''GNMA''' | |||
| align="center" style="background:#f0f0f0;"|'''FHLMC''' | |||
| align="center" style="background:#f0f0f0;"|'''FNMA''' | |||
|- | |||
|2013 || 26.7%|| 26.9% || 40.6% | |||
|- | |||
|2012 || 25.7% || 22.9% ||46.5% | |||
|- | |||
|2011 || 23.5% || 30.3% ||46.2% | |||
|- | |||
|2010 || 20.4% || 32.2% || 47.4% | |||
|} | |||
from [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets Barclays bond index guides] | |||
{| class=wikitable style="text-align:center" width=700px | |||
|+ Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 1978 - 2001 | |||
| align="center" style="background:#f0f0f0;"|'''Year''' | |||
| align="center" style="background:#f0f0f0;"|'''GNMA''' | |||
| align="center" style="background:#f0f0f0;"|'''FHLMC''' | |||
| align="center" style="background:#f0f0f0;"|'''FNMA''' | |||
|- | |||
|1978 || 89%|| 11% || 0% | |||
|- | |||
|1983 || 69% || 22% || 9% | |||
|- | |||
|1988 || 50% || 30% || 20% | |||
|- | |||
|1993 || 32% || 33% || 35% | |||
|- | |||
|1998 || 26% || 34% || 40% | |||
|- | |||
|1999 || 25% || 34% || 41% | |||
|- | |||
|2000 || 24% || 34% || 42% | |||
|- | |||
|2001 || 21% || 35% || 44% | |||
|} | |||
from [http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref> All four designations (AAA to Baa} are considered investment quality, with specific distinctions: | |||
*Aaa rating: highest quality | |||
*Aa rating: high quality | |||
*A rating: strong | |||
*Baa rating: medium grade | |||
{| class="wikitable sortable" style="text-align:center" width=700px | |||
|+ Table. Bloomberg Barclays US Aggregate Bond Index Credit Quality<br>Trailing 5 years<ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009, [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets US Aggregate Index Factsheet], 2004-2014, [https://index.barcap.com/index.dxml?pageId=9 Aggregate/Broad Market Indices] (US Aggregate Index), 2015-2016; [https://www.bbhub.io/indices/sites/2/2016/08/2017-02-08-Factsheet-US-Aggregate.pdf. Bloomberg Barclays U.S Aggregate Factsheet], 2017. </ref> | |||
| align="center" style="background:#f0f0f0;"|'''Year''' | |||
| align="center" style="background:#f0f0f0;"|'''Aaa''' | |||
| align="center" style="background:#f0f0f0;"|'''Aa''' | |||
| align="center" style="background:#f0f0f0;"|'''A''' | |||
| align="center" style="background:#f0f0f0;"|'''Baa''' | |||
|- | |||
|2005 || 78.6% || 4.7% || 8.8% || 7.8% | |||
|- | |||
|2006 || 78.9% || 5.0% || 8.7% || 7.5% | |||
|- | |||
|2007 || 79.2% || 5.4% || 8.2% || 7.2% | |||
|- | |||
|2008 || 80.9% || 3.1% || 9.3% || 6.7% | |||
|- | |||
|2009 || 78.1% || 4.1% || 9.7% || 8.1% | |||
|- | |||
|2010 || 77.7% || 4.5% || 9.7% || 8.1% | |||
|- | |||
|2011 || 75.1% || 5.1% ||10.7% || 9.1% | |||
|- | |||
|2012 || 73.1% || 5.1% || 11.0%|| 10.8% | |||
|- | |||
|2013 || 72.4%|| 4.9% || 11.1%|| 11.6% | |||
|- | |||
| 2014 || 71.8% || 4.6% || 11.8% || 11.9% | |||
|- | |||
| 2015 || 71.5% || 4.4% || 11.4% || 12.7% | |||
|- | |||
| 2016 || 70.8% || 4.4% || 11.3% || 13.5% | |||
|- | |||
| 2017 || 70.9% || 4.8% || 10.6% || 13.8% | |||
|} | |||
==Index returns== | |||
The following expandable table provides return data for the index. The annual returns of the index from 1976 to date have ranged between -2.92% in 1994 to 32.60% in 1982. | |||
{| class="wikitable mw-collapsible sortable mw-collapsed" border="1" style="text-align:center" width=250px | {| class="wikitable mw-collapsible sortable mw-collapsed" border="1" style="text-align:center" width=250px | ||
|+ Table | |+ Table.Annual Returns <ref> '''Data Sources''':[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital US Aggregate Bond Index Factsheet 1976-1983]; [http://www.pacadvisory.com/new/pacadvisory/Callan_Chart.pdf Callan Chart 1984-2004]; [https://www.ishares.com/us/products/239458/ishares-core-total-us-bond-market-etf Ishares Performance 2004-2010]; [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets US Aggregate Index Factsheet 2004-2013]</ref><ref>{{cite web|url=https://docs.google.com/spreadsheets/d/1c72c7eGVqpujiVzrF9qG9cW7Did1LGyDRP0PLLLcUVg/pubhtml|title=Source of chart}} google drive</ref> | ||
! scope="col" |'''Year''' | ! scope="col" |'''Year''' | ||
! scope="col"|'''Total Return''' | ! scope="col"|'''Total Return''' | ||
Line 185: | Line 279: | ||
|- | |- | ||
| 2014|| 5.97% | | 2014|| 5.97% | ||
|- | |||
| 2015|| 0.55% | |||
|- | |||
|2016|| 2.65% | |||
|- | |||
|2017|| 3.54% | |||
|- | |||
|2018|| 0.01% | |||
|- | |||
|2019|| 8.72% | |||
|} | |} | ||
{{#widget:Google Spreadsheet | |||
|key=1c72c7eGVqpujiVzrF9qG9cW7Did1LGyDRP0PLLLcUVg | |||
|width=600 | |||
|height=450 | |||
}} | |||
==Index | ==Index funds== | ||
The Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 800 to 1600 bonds for SPDR and Ishares ETFs; and from approximately 930 bonds (TRowePrice) to 5200 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund. | The Bloomberg Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 800 to 1600 bonds for SPDR and Ishares ETFs; and from approximately 930 bonds (TRowePrice) to 5200 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund. | ||
{| class="wikitable" | {| class="wikitable" | ||
|+ Index funds tracking Barclays US Aggregate Bond Index | |+ Index funds tracking Bloomberg Barclays US Aggregate Bond Index | ||
|- | |- | ||
! Fund !! Link !! ETF!! Link | ! Fund !! Link !! ETF!! Link | ||
Line 200: | Line 306: | ||
| Dreyfus Bond Market Index Fund || {{MStarFundLink|DBMIX}} || Ishares Barclays Aggregate Bond ETF|| {{MStarFundLink|AGG}} | | Dreyfus Bond Market Index Fund || {{MStarFundLink|DBMIX}} || Ishares Barclays Aggregate Bond ETF|| {{MStarFundLink|AGG}} | ||
|- | |- | ||
| T Rowe Price US Bond Index Fund || {{MStarFundLink|PBDIX} ||SPDR Barclays Aggregate Bond ETFE || {{MStarFundLink|BNDS}} | | T Rowe Price US Bond Index Fund || {{MStarFundLink|PBDIX}} ||SPDR Barclays Aggregate Bond ETFE || {{MStarFundLink|BNDS}} | ||
|- | |- | ||
| TIAA-CREF Bond Index || {{MStarFundLink|TRILX}}|| Vanguard Total Bond Market ETF(Float-Adjusted || {{MStarFundLink|BND}} | | TIAA-CREF Bond Index || {{MStarFundLink|TRILX}}|| Vanguard Total Bond Market ETF(Float-Adjusted || {{MStarFundLink|BND}} | ||
|- | |- | ||
| Vanguard Total Bond Market Index Fund](Float-Adjusted)|| {{MStarFundLink|VBTLX}}|| || | | Vanguard Total Bond Market Index Fund](Float-Adjusted)|| {{MStarFundLink|VBTLX}}|| || | ||
|} | |} | ||
==Notes== | |||
<references group="note"/> | |||
==References== | ==References== | ||
{{Reflist|30em}} | {{Reflist|30em}} | ||
==External links== | |||
*[https://www.bloomberg.com/professional/product/indices/bloomberg-barclays-indices-fact-sheets-publications/ Bloomberg Barclays Index Factsheets] | |||
[[Category:Bonds]] | [[Category:Bonds]] | ||
[[Category:Indexing]] | [[Category:Indexing]] |
Revision as of 18:45, 26 December 2020
Bond market indexing |
---|
Indexing |
US index returns |
The Bloomberg Barclays US Aggregate Bond Index (ticker: LBUSTRUU), formerly known as the Lehman Aggregate Bond Index and the Barclays US Aggregate Index, was created in 1986 with backdated history going back to 1976. The index has been maintained by Bloomberg L.P. since August 24th 2016. [1]The index is a predominant index benchmark for US bond investors, and is a benchmark index for many US index funds.
Overview
The Index is a composite of four major subindices: US Government Index; US Credit Index; US Mortgage Backed Securities Index (1986); and (beginning in 1992) US Asset Backed Securities Index. The index holds investment quality bonds. The ratings are based on S&P, Moody, and Fitch bond ratings. Table 3 in the appendix provides credit quality breakdowns for the index from 2005-2009. The index does not include high yield bonds, municipal bonds, inflation-indexed bonds, or foreign currency bonds. In 2010, the index held more than 8,200 bond issues. [2] The time line for the addition and subtraction of asset classes, as well as changes in the minimum issue size and credit quality standards for the index are included in the time line sidebar.
Milestones in the Evolution of the Bloomberg Barclays U.S. Aggregate Index
| |
-- Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices Figure 7.; US Aggregate Index Factsheet |
The current bond asset classes that compose the index: [3]
- Government
- Credit
- Industrial
- Finance
- Utility
- Yankee Bonds
- Mortgage Backed
- GNMA
- FNMA
- FHLMC
- Asset backed
- Credit card receivables
- Auto Loans
- Home equity loans
The relative weighting of asset classes within the index changes over time as new asset classes are added to the index, as issuance of bonds grows and ebbs, and as market security values fluctuate. The following table shows the index sector allocation over the period 1973-2013. A breakdown of mortgage backed securities (GNMA, FHLMC, FNMA) in the index from 1978-2001 is included in the notes.
In June 2009, as a result of the 2008 financial crisis, Barclay's announced the creation of the US Aggregate Float Adjusted Index that excludes Treasuries, agencies and MBS held in Federal Reserve accounts.[4]
Year | Government | Corporate | Mortgage Backed | Asset Backed |
1973 | 49.0% | 51.0% | 0.0% | 0.0% |
1983 | 59.0% | 24.0% | 17.0% | 0.0% |
1993 | 53.0% | 17.0% | 28.0% | 2.0% |
1998 | 46.0% | 22.0% | 31.0% | 1.0% |
1999 | 42.0% | 21.0% | 34.0% | 2.0% |
2000 | 38.0% | 24.0% | 35.0% | 4.0% |
2001 | 34.0% | 27.0% | 35.0% | 4.0% |
2005 | 40.2% | 19.5% | 34.9% | 5.3% |
2006 | 39.4% | 19.4% | 35.1% | 6.1% |
2007 | 35.4% | 19.6% | 38.6% | 6.5% |
2008 | 38.6% | 17.7% | 39.6% | 4.1% |
2009 | 40.8% | 18.8% | 36.8% | 3.6% |
2010 | 45.8% | 18.8% | 32.7% | 2.8% |
2011 | 46.0% | 19.9% | 34.1% | - |
2012 | 46.7% | 21.5% | 31.8% | - |
2013 | 45.7% | 22.3% | 32.0% | - |
2014 | 45.3% | 23.3% | 31.4% | - |
2015 | 45.8% | 24.2% | 31.0% | - |
2016 | 44.7% | 25.4% | 30.0% | - |
2017 | 44.0% | 25.8% | 30.3% | - |
The modified adjusted duration of the U.S. Aggregate index is 5.51 years (as of 30-Aug-2016).[7]
All bonds have a final maturity of at least one year. Subindices based on intermediate maturity bands range from 1 to 9.999 years; long maturity bands include maturity bands of 10 years or greater.[8]
Credit quality
The table below shows the annual distribution of credit quality holdings in the index.[note 1] All four designations (AAA to Baa} are considered investment quality, with specific distinctions:
- Aaa rating: highest quality
- Aa rating: high quality
- A rating: strong
- Baa rating: medium grade
Year | Aaa | Aa | A | Baa |
2005 | 78.6% | 4.7% | 8.8% | 7.8% |
2006 | 78.9% | 5.0% | 8.7% | 7.5% |
2007 | 79.2% | 5.4% | 8.2% | 7.2% |
2008 | 80.9% | 3.1% | 9.3% | 6.7% |
2009 | 78.1% | 4.1% | 9.7% | 8.1% |
2010 | 77.7% | 4.5% | 9.7% | 8.1% |
2011 | 75.1% | 5.1% | 10.7% | 9.1% |
2012 | 73.1% | 5.1% | 11.0% | 10.8% |
2013 | 72.4% | 4.9% | 11.1% | 11.6% |
2014 | 71.8% | 4.6% | 11.8% | 11.9% |
2015 | 71.5% | 4.4% | 11.4% | 12.7% |
2016 | 70.8% | 4.4% | 11.3% | 13.5% |
2017 | 70.9% | 4.8% | 10.6% | 13.8% |
Index returns
The following expandable table provides return data for the index. The annual returns of the index from 1976 to date have ranged between -2.92% in 1994 to 32.60% in 1982.
Year | Total Return |
---|---|
1976 | 15.60% |
1977 | 3.00% |
1978 | 1.40% |
1979 | 1.90% |
1980 | 2.70% |
1981 | 6.30% |
1982 | 32.60% |
1983 | 8.40% |
1984 | 15.15% |
1985 | 22.11% |
1986 | 15.26% |
1987 | 2.76% |
1988 | 7.89% |
1989 | 14.53% |
1990 | 8.96% |
1991 | 16.00% |
1992 | 7.40% |
1993 | 9.75% |
1994 | -2.92% |
1995 | 18.47% |
1996 | 3.63% |
1997 | 9.65% |
1998 | 8.69% |
1999 | -0.82% |
2000 | 11.63% |
2001 | 8.44% |
2002 | 10.26% |
2003 | 4.10% |
2004 | 4.34% |
2005 | 2.43% |
2006 | 4.33% |
2007 | 6.97% |
2008 | 5.24% |
2009 | 5.93% |
2010 | 6.54% |
2011 | 7.84% |
2012 | 4.21% |
2013 | -2.02% |
2014 | 5.97% |
2015 | 0.55% |
2016 | 2.65% |
2017 | 3.54% |
2018 | 0.01% |
2019 | 8.72% |
Index funds
The Bloomberg Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 800 to 1600 bonds for SPDR and Ishares ETFs; and from approximately 930 bonds (TRowePrice) to 5200 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund.
Fund | Link | ETF | Link |
---|---|---|---|
Dreyfus Bond Market Index Fund | DBMIX | Ishares Barclays Aggregate Bond ETF | AGG |
T Rowe Price US Bond Index Fund | PBDIX | SPDR Barclays Aggregate Bond ETFE | BNDS |
TIAA-CREF Bond Index | TRILX | Vanguard Total Bond Market ETF(Float-Adjusted | BND |
Vanguard Total Bond Market Index Fund](Float-Adjusted) | VBTLX |
Notes
- ↑ Breakdown of mortgage backed securities in the index.
Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 2010 forward Year GNMA FHLMC FNMA 2013 26.7% 26.9% 40.6% 2012 25.7% 22.9% 46.5% 2011 23.5% 30.3% 46.2% 2010 20.4% 32.2% 47.4% from Barclays bond index guides
Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 1978 - 2001 Year GNMA FHLMC FNMA 1978 89% 11% 0% 1983 69% 22% 9% 1988 50% 30% 20% 1993 32% 33% 35% 1998 26% 34% 40% 1999 25% 34% 41% 2000 24% 34% 42% 2001 21% 35% 44% from Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices 1973-2001
References
- ↑ "Bloomberg Completes Acquisition of Barclays Risk Analytics and Index Solutions Business". Bloomberg. August 24, 2016.
- ↑ Ishares Factsheet
- ↑ Richard A. Ferri, All About Index Funds; p. 182. ISBN 0-07-148492-2
- ↑ Barclays press release, July 30, 2009
- ↑ Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices 1973-2001
- ↑ Barclays Capital U.S. Aggregate Factsheet 2005-2009, 2014-2016; Bloomberg Barclays U.S Aggregate Factsheet, 2017.
- ↑ Barclays - Index Products, viewed August 31, 2016.
- ↑ US Aggregate Index Fact Sheet, viewed August 31, 2016.
- ↑ Barclays Capital U.S. Aggregate Factsheet 2005-2009, US Aggregate Index Factsheet, 2004-2014, Aggregate/Broad Market Indices (US Aggregate Index), 2015-2016; Bloomberg Barclays U.S Aggregate Factsheet, 2017.
- ↑ Data Sources:Barclays Capital US Aggregate Bond Index Factsheet 1976-1983; Callan Chart 1984-2004; Ishares Performance 2004-2010; US Aggregate Index Factsheet 2004-2013
- ↑ "Source of chart". google drive