Total Return
This data represents the total return of the ICE BofA Indices, When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.
The total return is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time.
See definitions:
- Ratings: https://fred.stlouisfed.org/series/BAMLCC0A4BBBTRIV
- Maturity: https://fred.stlouisfed.org/series/BAMLCC1A013YTRIV
Total Return in Python
get_ice_bofa_total_return is part of the Fixed Income module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_ice_bofa_total_return as shown below.
from financetoolkit import FixedIncome
fixedincome = FixedIncome(
start_date='2024-01-01',
end_date='2024-01-15',
)
fixedincome.get_ice_bofa_total_return(maturity=True)
Which returns:
| Date | 1-3 Years | 3-5 Years | 5-7 Years | 7-10 Years | 10-15 Years | 15+ Years |
|---|---|---|---|---|---|---|
| 2024-01-01 | 1913.78 | 2487.68 | 809.13 | 585.705 | 4206.25 | 4358.69 |
| 2024-01-02 | 1912.73 | 2484.25 | 807.62 | 584.32 | 4193.7 | 4343.71 |
| 2024-01-03 | 1912.18 | 2483.95 | 807.54 | 583.84 | 4194.39 | 4339.07 |
| 2024-01-04 | 1910.86 | 2477.9 | 804.35 | 580.42 | 4163.24 | 4289.24 |
| 2024-01-05 | 1910.86 | 2475.75 | 802.82 | 578.73 | 4148.31 | 4262.52 |
| 2024-01-08 | 1912.48 | 2480.39 | 804.97 | 580.71 | 4167.04 | 4302.16 |
| 2024-01-09 | 1913.5 | 2482.27 | 805.72 | 581.26 | 4173.04 | 4303.34 |
| 2024-01-10 | 1914.12 | 2483.6 | 806.21 | 581.29 | 4175.16 | 4304.82 |
| 2024-01-11 | 1918.28 | 2492.25 | 809.94 | 583.92 | 4200.49 | 4330.72 |
| 2024-01-12 | 1922.1 | 2498.89 | 812.41 | 585.2 | 4213.47 | 4338.43 |
| 2024-01-15 | 1922.67 | 2499.76 | 812.67 | 585.41 | 4215.34 | 4340.24 |
Parameters
get_ice_bofa_total_return accepts the following parameters:
- maturity (bool, optional): Whether to return the maturity total return or the rating total return.
- rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. Defaults to False.