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

Share Price Chart


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


50.00%100.00%150.00%200.00%250.00%300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
80.22%
387.89%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)

Returns By Period

ICE U.S. Treasury 10-20 Year TR Index had a return of 1.39% year-to-date (YTD) and 6.15% in the last 12 months. Over the past 10 years, ICE U.S. Treasury 10-20 Year TR Index had an annualized return of 0.04%, while the S&P 500 had an annualized return of 11.62%, indicating that ICE U.S. Treasury 10-20 Year TR Index did not perform as well as the benchmark.


^IDCOT10TR

YTD

1.39%

1M

2.20%

6M

5.38%

1Y

6.15%

5Y (annualized)

-3.57%

10Y (annualized)

0.04%

^GSPC (Benchmark)

YTD

27.68%

1M

1.58%

6M

13.90%

1Y

32.27%

5Y (annualized)

14.27%

10Y (annualized)

11.62%

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%2.05%1.48%3.59%1.74%2.13%-4.92%1.74%1.39%
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 14, indicating that it is in the bottom 14% 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 1414
Overall Rank
The Sharpe Ratio Rank of ^IDCOT10TR is 1717
Sharpe Ratio Rank
The Sortino Ratio Rank of ^IDCOT10TR is 1313
Sortino Ratio Rank
The Omega Ratio Rank of ^IDCOT10TR is 1313
Omega Ratio Rank
The Calmar Ratio Rank of ^IDCOT10TR is 1414
Calmar Ratio Rank
The Martin Ratio Rank of ^IDCOT10TR is 1515
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for ^IDCOT10TR, currently valued at 0.41, compared to the broader market-1.000.001.002.000.412.77
The chart of Sortino ratio for ^IDCOT10TR, currently valued at 0.65, compared to the broader market-1.000.001.002.003.004.000.653.66
The chart of Omega ratio for ^IDCOT10TR, currently valued at 1.08, compared to the broader market1.001.201.401.601.081.51
The chart of Calmar ratio for ^IDCOT10TR, currently valued at 0.13, compared to the broader market0.001.002.003.004.005.000.133.99
The chart of Martin ratio for ^IDCOT10TR, currently valued at 1.02, compared to the broader market0.005.0010.0015.0020.001.0217.73
^IDCOT10TR
^GSPC

The current ICE U.S. Treasury 10-20 Year TR Index Sharpe ratio is 0.41. 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.41
2.77
^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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-30.05%
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 30.05%.


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 3.30%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.30%
2.22%
^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index)
Benchmark (^GSPC)
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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