After 18 months of development, Ryan Labs, New York, has launched a Treasury Composite Index dating back to December 1949.
The index, covering all Treasuries longer than one year, was designed to replace the widely used Ibbotson Long Government index, which Ryan executives says contains methodology flaws.
Scott Lummer, managing director of Ibbotson Associates Inc., Chicago, disagrees the index is flawed. He agreed, however, "you need to have multiple indexes. That's why we recently went back to the drawing board and created a new index," called the CFI Database, which tracks the yield and total return of any bond with maturities from one to 30 years, dating back to 1926.
The daily Ryan index has income and price returns broken out separately. "It is certainly the longest accurate measurement of the historical returns of the bond market available today," the firm said in a report.
While money managers and traders often focus on price return and the measurement of price volatility (duration), the most accurate yield measurement is actually current yield or income yield, Ryan contends.
In fact, income return is the key component of total return, the firm said.
In only three years out of 46 did price return exceed income return, according to Ryan Labs.
