Dynamic Bond Index Replication

Replicating Bloomberg’s US Corporate Bond Index using the TRACE transaction dataset.
This project constructs investable portfolios of 50–100 bonds out of ~6,000 investable bonds using XGBoost and Kalman Filters, and evaluates out-of-sample tracking performance.

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Key Results

Model	OOS Tracking Error	OOS Benchmark Correlation
XGBoost	2.01%	0.808
Kalman Filter	2.60%	0.935

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Data availability

Large files are NOT uploaded to this GitHub repository due to size limits. Download the datasets from the Google Drive links below and place them in the specified folders.

• Raw dataset (place under raw_data/):

  • bond_returns.csv

• Processed datasets (place under processed_data/):

  • clean_bond_returns_long.csv
  • processed_bond_returns.csv