There is such Human Freedom Index, covering a wide range of areas including freedom of religion, freedom of movement, freedom to trade and many more. After plotting this index against the Democracy Index I saw a super clear relationship: democracy and freedom go together!
What: Human Freedom Index and Democracy Index
Where: 157 countries of the world
Source: EIU for Democracy Index and Ian Vásquez and Tanja Porčnik, The Human Freedom Index 2018: A Global Measurement of Personal, Civil, and Economic Freedom (Washington: Cato Institute, Fraser Institute, and the Friedrich Naumann Foundation for Freedom, 2018).