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I want to backtest some portfolios that involve leveraged long term treasury bond funds like TMF, at least as far back as the 1970s. Since there does not seem to be any T-bond ETFs with history going that far back (and leveraged ETFs have even shorter histories), I could approximate the price of a hypothetical leveraged T-bond ETF using daily market prices of some class of bond, e.g. 30 year T-bonds.

Where can I get daily (like end of day quotes) price data for something like 30 year T-bonds going back to 1970 (or earlier)? There are indices like ^TYX which are bond yield, and yahoo finance has daily quotes on ^TYX going back to 1977. But I'm looking for the bond price rather than the yield. ^IDCOT20TR is such an index of 20 year T-bond prices (which TMF tries to track 3X), but I cannot find more than a few years of history on it.

danabo
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    Does this answer your question? What data sources are available online? – Alper Dec 31 '21 at 02:12
  • I'm not seeing anything that has bond prices. I did find the fed's data download page which has some nice bond yield data, but not price data. I suspect that its assumed one can calculate prices from yields using a formula like this, but then I need to know the face value and coupon payment rate. – danabo Dec 31 '21 at 04:46
  • As far as I know, the longest daily 30-year Treasury index was compiled by Ryan Labs, with history going back to 1973. The problem is that Ryan Labs seemed to have been acquired by Sun Life and I can't find any information on how one would go about accessing this index anymore. – Helin Dec 31 '21 at 06:24

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History for the long bond future starts in 1977. Futures are inherently leveraged. The data is relatively easy to access. The market is liquid. Offhand, this seems like an obvious choice though I appreciate it doesn't meet all of your criteria, such as "going back to 1970".

HTH.

user42108
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