Corporate Bonds Indices

Content

Yield and total return indices for many categories of corporate bonds, mostly US and EM. Different indices have different durations of availability, ranging from 1975 onwards for US Gen Y to 1998 onwards for EMEA Gen TR.

For the naming convention:
Location
US=United States, EM=Emerging Markets, EMEA= Europe, Middle East & Africa
Type/Grade
Gen=General (All grades), Good= High Grade, High= High Yield, AAA=AAA-rated, AA=AA-rated and so on ...
Index type
Y=Yield, TR=Total Return

Sources

Data collected using Quandl API reference from Merrill Lynch into Python, before writing to csv using Pandas. For the combined mastersheet, I used pd.merge so the indices were inner joined on the date column starting with the longest range (US Gen TR) so the final range for the combined spreadsheet is shorter than the individual ranges.

Inspiration

How do the movement of yieldss and total return indices correlate to each other? Will post my notebook showing the correlation matrix of the bond yields and bond total returns soon!