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1、CHAPTERFOURBONDMARKETINDEXESFRANKK.REILLY,PH.D.,CFABernardJ.HankProfessorofFinanceUniversityofNotreDameDAVIDJ.WRIGHT,PH.D.ProfessorofFinanceUniversityofWisconsin–ParksideThevalueofnonmunicipalbondsoutstandingintheUnitedStatesatover$8trillionisfairlyclosetoth
2、ecombinedvalueofequityintheUnitedStates,andasimilarcomparisonholdsforworldcapitalmarkets,wherethevalueoffixedincomesecuritiesistypicallysimilartothetotalvalueofequity.Theonlyinstancewherethiscapitalcomparisondoesnotholdisinsomeemerging-marketcountries,whereth
3、ebondmarketshavenotyetdeveloped.Giventheeconomicimportanceoffixedincomemarkets,itisdifficulttounderstandwhytherehasnotbeengreaterconcernandanalysisofbondmarketindexes.Partofthereasonforthislackofanalysisofbondmarketindexesistherelativelyshorthistoryoftheseinde
4、xes.Specifically,incontrasttostockmarketindexesthathavebeeninexis-tenceforover100years,totalrate-of-returnbondindexeswerenotdevelopeduntilthe1970s,andthosecreatedinthe1970swerelimitedtoU.S.investment-gradebonds.Forexample,indexesforU.S.high-yieldbonds,whereth
5、emarkethasgrowntoover$500billion,werenotestablisheduntilthemid-1980s,whichisalsowheninternationalgovernmentbondindexeswerecreated.Therearefourpartstothischapter.Thefirstsectionconsidersthemajorusesforbondmarketindexes.Thesecondsectionisconcernedwiththedifficul
6、-tyofbuildingandmaintainingabondmarketindexcomparedwiththerequire-mentsforastockmarketindex.Thethirdsectioncontainsadescriptionoftheindexesavailableinthreemajorcategories.Finally,wepresenttherisk/returncharacteristicsofthealternativebondmarketsectorsandexami
7、nethecorrela-tionsamongthealternativeindexes.USESOFBONDINDEXESAnanalysisofbondmarketindexesisimportantandtimelyforseveralreasons.First,thebondportfoliosofbothpensionfundsandindividualshavegrown53Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCom
8、panies,Inc.Clickherefortermsofuse.54PART1Backgroundsubstantiallyinrecentyears;salesoffixedincomemutualfundshaveexceed-edequitymutualfundsalesinanumberofyears.Withtheincreaseinthenum-berandsizeofb
