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

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.

NIFTY固定收益指数（NIFTY Fixed Income indices）为印度固定收益市场提供独立且全面的基准，覆盖包括政府证券、不同信用评级类别公司债、商业票据等在内的全品类固定收益资产。

本数据集包含14支NIFTY固定收益指数的日度对数收益率百分比数据，时间跨度从各指数的基期至2018年3月31日（即上一财年的最后一日）。指数的日度对数收益率数值，为特定时段内连续两个交易日指数收盘价比值的自然对数；对数收益率百分比则是将对数收益率数值乘以100得到。

前6个CSV文件为NIFTY AAA级公司债指数的日度对数收益率百分比，该指数用于衡量6个久期区间内AAA评级公司债的表现。该系列下每支指数最多包含14家流动性最佳的发行主体，以其流动性最优的债券作为代表标的。详见：https://www.nseindia.com/content/indices/Factsheet_NIFTY_AAA_Corporate_Bond_Indices.pdf

后续6个CSV文件对应印度政府（Government of India, GOI）期限超过1年的国债（G-Sec bonds）日度对数收益率百分比，CSV文件名即标明了该指数下国债的久期。文件“Gseccompreturns.csv”包含NIFTY综合国债指数的对数收益率，该指数基于交易市值排名前10的流动性印度政府债券构建，这些债券剩余期限大于1年且未清偿发行量超过5000千万卢比（Rs.5000 crores）。

文件“moneymarketreturns.csv”包含Nifty 1D利率指数的日度对数收益率。印度隔夜市场是货币市场中活跃度最高的组成部分，贷方仅向借方提供“隔夜”资金，即借方需在下一个营业日本息偿还借款。该指数旨在衡量市场参与者在隔夜市场放贷所获得的收益。详见：http://www.niftyindices.com/Methodology/Method_Nifty_1D_Rate.pdf

最后一个文件“sdlreturns.csv”包含NIFTY 10年期邦开发贷款（State Development Loans, SDLs）指数的日度对数收益率百分比，该指数旨在衡量印度剩余期限约为10年的邦开发贷款组合的表现。详见：https://www.nseindia.com/content/indices/NIFTY_10_Year_SDL_Index_Methodology.pdf

数据集的应用价值如下：
1. 基于在险价值（Value at Risk）、期望短缺（Expected Shortfall）、中位数短缺（Median Shortfall）指标，估算NIFTY固定收益指数的日度市场风险
2. 基于夏普比率（Sharpe ratio）指标，估算NIFTY固定收益指数的经风险调整后收益
3. 对比印度各类固定收益指数与其他发达金融市场同类指数的风险与收益表现
4. 估算NIFTY固定收益指数的边际损失分布。