Hi, I’m looking for daily historical returns for the Barclays AGG index for the past few years…anybody know where I can find this in an excel format?
My client gets these from Bloomberg, and I’d imagine you might have access to that. I have weekly close data that I have put together over the last few years if that is close enough. I don’t have the daily data though. brucebiz_wi at yahoo dot com.
That’s a “spammable” email though, so let me know if I should look for something from you.
It is interesting how since 2000, bonds have been by far the best performing asset class on a risk-adjusted basis. It’s not that surprising in retrospect, but a lot of people don’t realize it until you look at the data.
You misspelled “depressing”. 
Gold crushed bonds. I think REITs may have actually beat out bonds too, but certainly not on a risk-adjusted basis.
I haven’t done the risk adjustment on gold, but it is true that gold crushed bonds on an absolute basis.
Well High yield also beat stocks on a risk adjusted basis. Even if u isolate the Spring 09 onwards Bull market, HY has a higher sharpe ratio.
Be careful using AGG as a proxy. It has huge tracking error at times…as do most all bond ETFs. One very good reason to use an active manager for fixed income products.