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ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR)

Index · Currency in USD · Last updated Mar 23, 2023

Share Price Chart


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Performance

The chart shows the growth of $10,000 invested in ICE U.S. Treasury 10-20 Year TR Index in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $18,138 for a total return of roughly 81.38%. All prices are adjusted for splits and dividends.


50.00%100.00%150.00%200.00%NovemberDecember2023FebruaryMarch
81.38%
176.59%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

S&P 500

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Return

ICE U.S. Treasury 10-20 Year TR Index had a return of 5.41% year-to-date (YTD) and -13.20% in the last 12 months. Over the past 10 years, ICE U.S. Treasury 10-20 Year TR Index had an annualized return of 0.69%, while the S&P 500 had an annualized return of 9.74%, indicating that ICE U.S. Treasury 10-20 Year TR Index did not perform as well as the benchmark.


PeriodReturnBenchmark
1 month3.53%-3.48%
Year-To-Date5.41%2.54%
6 months3.02%2.10%
1 year-13.20%-11.75%
5 years (annualized)-0.45%7.99%
10 years (annualized)0.69%9.74%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20235.50%-4.52%
2022-7.26%-4.92%6.69%-1.31%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current ICE U.S. Treasury 10-20 Year TR Index Sharpe ratio is -0.80. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-2.00-1.50-1.00-0.50NovemberDecember2023FebruaryMarch
-0.80
-0.50
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-40.00%-35.00%-30.00%-25.00%-20.00%-15.00%NovemberDecember2023FebruaryMarch
-29.60%
-17.92%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the ICE U.S. Treasury 10-20 Year TR Index. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the ICE U.S. Treasury 10-20 Year TR Index is 38.27%, recorded on Oct 24, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.27%Mar 10, 2020662Oct 24, 2022
-14.33%Dec 31, 2008111Jun 10, 2009264Jun 29, 2010375
-11.56%Jul 25, 2012279Sep 5, 2013276Oct 14, 2014555
-11.3%Jul 11, 2016566Oct 5, 2018160May 29, 2019726
-10.58%Oct 7, 201084Feb 8, 2011121Aug 2, 2011205
-7.25%Sep 18, 200831Oct 31, 200813Nov 20, 200844
-6.81%Sep 23, 201124Oct 27, 201135Dec 19, 201159
-6.34%Feb 2, 201591Jun 10, 2015159Jan 29, 2016250
-6.33%Mar 24, 200859Jun 13, 200857Sep 4, 2008116
-6.29%Jan 18, 200681May 12, 200691Sep 21, 2006172

Volatility Chart

Current ICE U.S. Treasury 10-20 Year TR Index volatility is 23.27%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%NovemberDecember2023FebruaryMarch
23.27%
21.56%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)