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

Index · Currency in USD · Last updated Oct 1, 2022

^IDCOT10TRShare Price Chart


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^IDCOT10TRPerformance

The chart shows the growth of $10,000 invested in ICE U.S. Treasury 10-20 Year TR Index in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $13,858 for a total return of roughly 38.58%. All prices are adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptember
-17.63%
-20.76%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

^IDCOT10TRReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M-7.94%-10.05%
6M-17.74%-20.85%
YTD-25.31%-24.77%
1Y-24.45%-17.75%
5Y-2.29%7.01%
10Y-0.10%9.58%

^IDCOT10TRMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2022-3.03%-3.10%-3.38%-7.12%0.06%-3.81%4.65%-4.49%-7.94%
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%
20205.30%4.94%5.65%0.94%-0.78%0.09%2.75%-3.17%0.41%-2.59%0.86%-1.14%
20190.75%-0.62%3.70%-1.07%4.52%1.46%0.13%6.62%-1.72%-0.43%-0.76%-1.76%
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%
20170.29%1.10%-0.15%1.29%1.05%-0.43%0.05%2.21%-1.59%-0.14%-0.13%0.62%
20163.43%1.89%0.16%-0.27%0.32%4.04%0.68%-0.98%-0.52%-2.16%-4.93%-0.34%
20154.57%-2.70%1.00%-1.13%-0.41%-1.88%2.03%-0.19%1.70%-0.71%-0.45%-0.18%
20143.73%0.72%0.09%1.18%2.26%-0.30%0.06%2.58%-1.35%1.86%1.87%0.99%
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%
20120.52%-1.37%-2.52%3.47%4.78%-0.95%1.99%-0.38%-0.97%-0.10%1.27%-1.41%
2011-0.82%0.71%-0.11%1.69%3.06%-1.32%3.86%6.71%4.57%-2.30%1.84%2.35%
20102.74%0.39%-1.31%2.24%3.31%3.72%0.84%5.37%-0.73%-1.54%-1.33%-3.87%

^IDCOT10TRSharpe 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 -1.61. 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.


-1.50-1.00-0.500.000.50MayJuneJulyAugustSeptember
-1.61
-0.77
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

^IDCOT10TRDrawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2022FebruaryMarchAprilMayJuneJulyAugustSeptember
-33.77%
-25.25%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

^IDCOT10TRWorst 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 33.77%, recorded on Sep 30, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.77%Mar 10, 2020646Sep 30, 2022
-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
-6.81%Sep 23, 201124Oct 27, 201135Dec 19, 201159
-6.34%Feb 2, 201591Jun 10, 2015159Jan 29, 2016250
-5.65%Dec 20, 201161Mar 19, 201236May 8, 201297
-5.53%Aug 29, 201951Nov 8, 201957Feb 3, 2020108
-3.3%Sep 1, 201011Sep 16, 201014Oct 6, 201025
-2.83%Feb 8, 201040Apr 5, 201016Apr 27, 201056

^IDCOT10TRVolatility Chart

Current ICE U.S. Treasury 10-20 Year TR Index volatility is 19.22%. 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%MayJuneJulyAugustSeptember
19.22%
19.40%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)