There are many indexes of bond returns. Each track the returns on a particular portfolio of bonds.
For returns on local-currency-denominated government bonds across a variety of countries, a prominent returns index is JPMorgan’s Government Bond Index (GBI). The main GBI is for advanced economies; it consists of the local currency sovereign bonds of 23 developed countries. There are also indexes for emerging markets (EM); the GBI-EM has local currency bonds for 13 emerging markets, whereas the GBI-EM Broad contains bonds for 16 emerging markets.
Returns indices aid both investors and researchers. Investors are provided with a benchmark, enabling the analysis of past returns. Researchers are also consumers of index data. For example, a recent paper, “Investing in Local Currency Bond Markets,” (NBER Working Paper #16249, August 2010), depicted the returns available to US investors from holding the sovereign bonds of various countries and showed that the returns on a relatively new asset class - emerging market countries' local-currency-denominated sovereign bonds - were quite attractive. Such a study would be difficult without an off-the-shelf index such as the GBI.