Thanks for those kind words, James. I’ve updated the bond data set with a new series, in a paper that you can read here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4899187. It’s discussed in a later EI blog The last blog in the series is here: https://blogs.cfainstitute.org/investor/2024/12/13/a-guide-for-investme…. It includes links to Parts I and II.

Answering your questions in terms of the FAJ bond data:
1. Post-1925, it’s the Ibbotson SBBI long government bond series
2. Pre-1926, these are all long bonds: some as long as 100 years. Very different from today’s total bond market indexes with average duration near 7 years
3. In the FAJ online appendix, there is a table showing year by year which sort of bonds were included: when there were munis, when there were corporates, etc.
4. Only investment grade bonds were included (keeping in mind that Moody’s ratings only go back to 1910 and the term investment grade originated in the 1930s with New Deal legislation.) Put another way: no high yield bonds.
5. Domestic US bonds only. When there were corporate bonds, the railroad sector dominated.