Lehman Aggregate Bond Index
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The Lehman Aggregate Bond Index is a broad base index 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.
Managers may often 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 Lehman maintains separate indices for maintaining Municipal-only portfolios.
In August, 2002, Barclays Bank created the iShares Lehman Aggregate Bond exchange-traded fund (Symbol: AGG), to reflect the performance of the index.
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[edit] Index characteristics
The Lehman 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 Lehman Aggregate Bond Index is an intermediate term index. The average maturity as of 2005 is 7.5 years.As of March 31, 2007, the duration of the Lehman Index was 4.42 years.
Lehman Brothers maintains the Lehman Aggregate Bond Index. Lehman Brothers specializes in bond type securities.
[edit] See also
[edit] References
- Richard A. Ferri, All About Asset Allocation, McGraw-Hill, 2006, ISBN 0-07-142958-1
