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ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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ICE U.S. Treasury 10-20 Year TR Index

Popular comparisons: ^IDCOT10TR vs. TMF, ^IDCOT10TR vs. TLH

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ICE U.S. Treasury 10-20 Year TR Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


100.00%150.00%200.00%250.00%300.00%December2024FebruaryMarchAprilMay
70.66%
326.30%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

ICE U.S. Treasury 10-20 Year TR Index had a return of -3.99% year-to-date (YTD) and -2.82% in the last 12 months. Over the past 10 years, ICE U.S. Treasury 10-20 Year TR Index had an annualized return of 0.12%, while the S&P 500 had an annualized return of 10.87%, indicating that ICE U.S. Treasury 10-20 Year TR Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-3.99%11.56%
1 month2.96%7.13%
6 months4.10%17.26%
1 year-2.82%26.92%
5 years (annualized)-3.38%13.56%
10 years (annualized)0.12%10.87%

Monthly Returns

The table below presents the monthly returns of ^IDCOT10TR, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.04%-2.47%1.29%-4.56%-3.99%
20235.50%-4.52%4.73%0.67%-2.61%-0.31%-1.67%-2.16%-6.41%-4.10%7.85%7.60%3.30%
2022-3.03%-3.10%-3.38%-7.12%0.06%-3.81%4.65%-4.49%-7.26%-4.92%6.69%-1.31%-24.68%
2021-2.63%-7.73%-1.77%1.94%-0.07%2.88%3.21%0.64%-3.13%0.89%0.64%-0.15%-5.66%
20205.30%4.94%5.65%0.94%-0.78%0.09%2.75%-3.17%0.41%-2.59%0.86%-1.14%13.56%
20190.75%-0.62%3.70%-1.07%4.52%1.46%0.13%6.62%-1.72%-0.43%-0.76%-1.76%10.96%
2018-2.69%-1.58%1.83%-1.52%1.36%0.03%-0.96%1.32%-1.90%-1.20%1.66%3.84%-0.01%
20170.29%1.10%-0.15%1.29%1.05%-0.43%0.05%2.21%-1.59%-0.14%-0.13%0.62%4.19%
20163.43%1.89%0.16%-0.27%0.32%4.04%0.68%-0.98%-0.52%-2.16%-4.93%-0.34%1.03%
20154.57%-2.70%1.00%-1.13%-0.41%-1.88%2.03%-0.19%1.70%-0.71%-0.45%-0.18%1.45%
20143.73%0.72%0.09%1.18%2.26%-0.30%0.06%2.58%-1.35%1.86%1.87%0.99%14.46%
2013-2.34%1.20%0.41%2.41%-4.44%-2.73%-1.08%-0.63%1.18%1.01%-1.68%-1.80%-8.37%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^IDCOT10TR is 6, indicating that it is in the bottom 6% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^IDCOT10TR is 66
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
The Sharpe Ratio Rank of ^IDCOT10TR is 66Sharpe Ratio Rank
The Sortino Ratio Rank of ^IDCOT10TR is 44Sortino Ratio Rank
The Omega Ratio Rank of ^IDCOT10TR is 44Omega Ratio Rank
The Calmar Ratio Rank of ^IDCOT10TR is 88Calmar Ratio Rank
The Martin Ratio Rank of ^IDCOT10TR is 66Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^IDCOT10TR
Sharpe ratio
The chart of Sharpe ratio for ^IDCOT10TR, currently valued at -0.23, compared to the broader market-1.000.001.002.003.00-0.23
Sortino ratio
The chart of Sortino ratio for ^IDCOT10TR, currently valued at -0.23, compared to the broader market-2.00-1.000.001.002.003.004.00-0.23
Omega ratio
The chart of Omega ratio for ^IDCOT10TR, currently valued at 0.97, compared to the broader market0.801.001.201.401.600.97
Calmar ratio
The chart of Calmar ratio for ^IDCOT10TR, currently valued at -0.07, compared to the broader market0.001.002.003.004.005.00-0.07
Martin ratio
The chart of Martin ratio for ^IDCOT10TR, currently valued at -0.46, compared to the broader market0.005.0010.0015.0020.00-0.46
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.34, compared to the broader market-1.000.001.002.003.002.34
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-2.00-1.000.001.002.003.004.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.001.002.003.004.005.001.90
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.93, compared to the broader market0.005.0010.0015.0020.008.93

Sharpe Ratio

The current ICE U.S. Treasury 10-20 Year TR Index Sharpe ratio is -0.23. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of ICE U.S. Treasury 10-20 Year TR Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
-0.23
2.34
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-33.76%
0
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the ICE U.S. Treasury 10-20 Year TR Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the ICE U.S. Treasury 10-20 Year TR Index was 41.24%, occurring on Oct 19, 2023. The portfolio has not yet recovered.

The current ICE U.S. Treasury 10-20 Year TR Index drawdown is 33.76%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.24%Mar 10, 2020910Oct 19, 2023
-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

Volatility

Volatility Chart

The current ICE U.S. Treasury 10-20 Year TR Index volatility is 2.27%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%December2024FebruaryMarchAprilMay
2.27%
3.10%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)