Daily log returns of the NIFTY Fixed Income indices in National Stock Exchange India

Published: 27-06-2018| Version 1 | DOI: 10.17632/v237hjnktr.1
Dristi Das


NIFTY Fixed Income indices offer independent and comprehensive benchmarks for the fixed income market in India, covering universe of fixed income assets including government securities, corporate bonds of different credit rating categories, commercial papers etc. The data set consists of daily log return percentages of 14 NIFTY Fixed Income indices, since the base period of each index upto the 31st March 2018 (which is the last day of the previous financial year). The daily log return values of an index are natural logarithms of the ratios of the closing values of the index on two consecutive trading days within a specified period. The log return percentage values are simply the log return values multiplied by hundred. The first six csv files are the daily log return percentages of NIFTY AAA Corporate Bond Indices, which measure the performance of AAA rated corporate bonds across 6 duration buckets. Each index in the series consists of up to 14 most liquid issuers represented by their most liquid bonds. see https://www.nseindia.com/content/indices/Factsheet_NIFTY_AAA_Corporate_Bond_Indices.pdf The next six csv files correspond to the daily log return percentages of Government of India (GOI) G-Sec bonds of maturity exceeding 1 year. The names of the csv files indicate the duration of the G Sec bonds in that index. The csv file "Gseccompreturns.csv" consists of the log returns of the NIFTY Composite G-Sec index, which is constructed using the prices of top 10 (in terms of traded value) liquid GOI bonds with residual maturity greater than 1 year and having outstanding issuance of over Rs.5000 crores. The file moneymarketreturns.csv contains the daily log retruns of the Nifty 1D Rate Index. The overnight market in India is the most active component of the money market. Lenders agree to lend borrowers funds only "overnight" i.e. the borrower must repay the borrowed funds plus interest on next business day. The objective of this index is to measure the returns generated by market participants lending in the overnight market. See http://www.niftyindices.com/Methodology/Method_Nifty_1D_Rate.pdf The last file sdlreturns.csv contains the daily log return percentage values of the NIFTY 10 Year SDL Index, which seeks to measure the performance of a portfolio of State Development Loans (SDLs) in India with residual maturity of about 10 years. See https://www.nseindia.com/content/indices/NIFTY_10_Year_SDL_Index_Methodology.pdf Value of the data 1. To estimate daily market risk in terms of the Value at Risk, Expected Shortfall, Median Shortfall of the NIFTY Fixed Income indices 2. To estimate the risk adjusted returns in terms of Sharpe ratio of the NIFTY Fixed Income indices 3. Compare the risk and returns of the various fixed income indices in India, with the same in other developed financial markets 4. Estimating the marginal loss distribution of the NIFTY fixed income indices.