Bloomberg Barclays US Aggregate Bond Index
The Bloomberg Barclays US Aggregate Bond Index, which until August 24th 2016 was called the Barclays Capital Aggregate Bond Index, and which until November 3rd 2008 was called the "Lehman Aggregate Bond Index," is a broad base index, maintained by Bloomberg L.P. since August 24th 2016, and prior to then by Barclays which took over the index business of the now defunct Lehman Brothers, and is often used to represent investment grade bonds being traded in United States. Index funds and exchange-traded funds are available that track this bond index.
The Lehman Aggregate Bond Index was co-created in 1973 by Art Lipson and John Roundtree, both of Kuhn Loeb & Co., a boutique investment bank. It was later renamed the Barclays Capital Aggregate Bond Index.
The Bloomberg Barclays US Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. Municipal bonds, and Treasury Inflation-Protected Securities are excluded, due to tax treatment issues. The index includes Treasury securities, Government agency bonds, Mortgage-backed bonds, Corporate bonds, and a small amount of foreign bonds traded in U.S.
The Bloomberg Barclays US Aggregate Bond Index is an intermediate term index. The average maturity as of December 31, 2009 was 4.57 years.
Many index funds and exchange-traded funds attempt to replicate (before fees and expenses) the performance of the Bloomberg Barclays US Aggregate Bond Index. Some examples of such funds include iShares Core US Aggregate Bond Index (AGG), Thrift Savings Plan (F Fund) Fixed Income Index fund, Vanguard Total Bond Market Index Fund (VBMFX), and Fidelity U.S. Bond Index Fund (FBIDX). Fund managers sometimes subdivide the different parts of the Aggregate by maturity or sector for managing individual portfolios. The Municipal section of the index is the only part of the index that cannot be used for this purpose - because municipal debt is issued by so many different entities, the Municipals in the Aggregate are only intended to be representative, and Bloomberg maintains separate indices for maintaining Municipal-only portfolios.
- Richard A. Ferri, All About Asset Allocation, McGraw-Hill, 2006, ISBN 0-07-142958-1