Global bond index returns

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Global bond index returns chronicles the annual returns of global bond indexes.[note 1] Global bond indexes are designed by index providers, which include Bank of America Merrill Lynch, Barclays Capital, FTSE, [1], Morningstar, J.P. Morgan, [2] and Standard and Poors (S&P).

Nominal bond indexes

The broadest Barclays nominal global bond indexes include the Barclays Global Aggregate Bond Index, which measures investment grade bonds, and the even broader Multiverse index, which combines the Global Aggregate Index and Barclays Global High Yield Bond Index.[note 2]

S&P provides nominal bond indexes in local currency, the S&P Global Developed Sovereign Bond Index, and in US dollars, the S&P Global Developed Sovereign Bond (USD) Index.[note 3]

Morningstar provides the Morningstar Global Government Bond Index, denominated in the US dollar.[note 4]

Nominal bond index returns

The table below provides annual total returns for the Barclays Global Aggregate Bond Index (both hedged and unhedged index returns) for major world currencies. Currencies include the US dollar, the EURO, the Japanese yen, the British pound, the Swiss franc, and the Canadian dollar. The second tab of the table provides returns for the Barclay's Multiverse Index, denominated in unhedged US dollars; the third tab provides data for the S&P Global Developed Sovereign Bond Index in both local currency and US dollars; the fourth tab provides data from the Morningstar Global Government Bond Index (in US dollars)

Table: Global Bond Index returns[3] [4] [5]

(View Google Spreadsheet in browser, then File --> Download as to download the file.)

Inflation-linked bond indexes

Barclays also provides global inflation-indexed bond indexes. The Barclays World Government Inflation-Linked Bond Index measures the performance of developed market inflation-indexed bonds. The Barclays Universal Government Inflation-Linked Bond Index is comprised of the World Government Inflation-Linked Bond Index and the Barclays Emerging Markets Government Inflation-Linked Bond index. [note 5]

Bank of America Merrill Lynch provides the Bank of America Merrill Lynch Global Diversified Inflation-Linked Index,[note 6] which serves as the tracking index for the iShares Global Inflation-Linked Bond ETF (GTIP)[6]

S&P provides the S&P Global Developed Inflation-Linked Bond Index in both local currency and US dollar versions.[note 7]

Inflation-Indexed bond index returns

The table below provides annual total returns for the Barclays Worldwide Inflation-Linked Bond Index (both hedged and unhedged index returns) for major world currencies. Currencies include the US dollar, the Euro, the Japanese yen, the British pound, the Swiss franc, and the Canadian dollar.

The second tab provides unhedged US dollar returns for the BofA Merrill Lynch Global Diversified Inflation-Linked Index; the third tab provides data for the S&P Global Developed Inflation-Linked Bond Index in both local currency and US dollars.

Table: Global Inflation-Linked Bond Index returns[3] [7]

(View Google Spreadsheet in browser, then File --> Download as to download the file.)

Notes

  1. For a long-term view of nominal global bond market returns refer to Global investment, Financial page, (affiliate site blog)
  2. The Barclays Global Aggregate Bond index was created on January 1, 1999. The data series inception goes back to January 1, 1990. The Multiverse Index was created on January 1, 2001 with back-filled data dating back to January 1, 1999. According to Barclays:

    "The Barclays Global Aggregate Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. There are four regional aggregate benchmarks that largely comprise the Global Aggregate Index: the US Aggregate (USD300mn), the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The Global Aggregate Index also includes Eurodollar, Euro-Yen, and 144A Index-eligible securities, and debt from five local currency markets not tracked by the regional aggregate benchmarks:CLP (Chile-peso), MXN (Mexico-peso), ZAR (South Africa-rand), ILS (Israel-shekel) and TRY (Turkey-lira)."

  3. The S&P Global Developed Sovereign Bond Index has an inception date of December 29, 1989. The US dollar version of the index was created on December 31, 2013. The index consists of twenty-four national bond markets, including Australia, Canada, Hong Kong, Israel, Japan, New Zealand, Singapore, South Korea, and the U.S. The index also includes two additional sub-indexes:
    • Pan-Europe: Denmark, Norway, Sweden, Switzerland, UK
    • Eurozone: Austria, Belgium, Finland, France, Germany, Italy, Luxembourg, Netherlands, Portugal, and Spain
  4. The Morningstar Global Government Bond Index inception began on December 31 ,2001. The index is comprised of the following subindexes:
    • Australasia
    • Canada
    • Eurozone
    • Japan
    • Switzerland
    • UK
    • US treasury
  5. The Barclays Worldwide Inflation-Linked Bond Index (WGILB) was created on October 1, 1997 with a base date of December 31, 1996. The Barclays Worldwide Inflation-Linked Bond Index includes bonds from the following countries:
    • Americas: United States, Canada
    • Pan-European: United Kingdom, Sweden, France, Germany, Denmark, Italy, Spain
    • Asian-Pacific: Australia, Japan, New Zealand
    The Barclays Universal Inflation-Linked Bond Index (UGILB) was created on December 31, 1996. The UGILB primarily includes all markets measured in the WGILB and Emerging Markets Government Inflation-linked Bond Index (EMGILB) Indices, as well as other former markets that may no longer be eligible for these indices. The countries included in the UGILB at present are:
    • WGILB: US, UK, France, Italy, Germany, Japan, Canada, Sweden, and Australia
    • EMGILB: Brazil, Turkey, Mexico, Israel, South Africa, Argentina, Chile, Poland, South Korea, and Colombia
    • Former WGILB and EMGILB markets that no longer satisfy the respective index inclusion criteria. This currently includes Greece.
  6. Bank of America Merrill Lynch Global Diversified Inflation-Linked Index includes bonds from the following countries : Australia, Brazil, Canada, Chile, Colombia, Denmark, France, Germany, Israel, Italy, Japan, Mexico, New Zealand, Poland, South Africa, South Korea, Spain, Sweden, Thailand, Turkey, the United Kingdom and the United States.
  7. The S&P Global Developed Inflation-Linked Bond Index was launched on July 14, 2014, with back data going back to January 30, 1998. The index is based on sub-indexes that benchmark bonds from the following countries: Australia, Canada, Denmark, Israel, Japan, New Zealand, South Korea, Sweden, the UK, the US and the Eurozone (consisting of France, Germany, Italy and Spain).

References

  1. See FTSE Global Bonds
  2. See J.P. Morgan Global Aggregate Bond Index (JPM GABI), Index Suite | J.P. Morgan
  3. 3.0 3.1 Index factbook guides, downloaded from Factsheets, Barclays
  4. S&P returns data available from factsheets downloaded from The S&P Global Developed Sovereign Bond Index and The S&P Global Developed Sovereign Bond Index (USD).
  5. Morningstar data available at Morningstar Fixed Income Data
  6. See GTIP. In the UK, the ishares global inflation-linked ETF tracks the Barclay index. See IGIL
  7. Data for BofA Merrill Lynch DILI comes from GTIP; data for S&P comes from factbook, accessible from The S&P Global Developed Inflation-Linked Bond Index.

External links