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ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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ICE U.S. Treasury Core Bond TR Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ICE U.S. Treasury Core Bond 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%December2024FebruaryMarchAprilMay
58.49%
324.96%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

ICE U.S. Treasury Core Bond TR Index had a return of -1.67% year-to-date (YTD) and 0.89% in the last 12 months. Over the past 10 years, ICE U.S. Treasury Core Bond TR Index had an annualized return of 0.80%, while the S&P 500 had an annualized return of 10.70%, indicating that ICE U.S. Treasury Core Bond TR Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-1.67%11.21%
1 month1.47%4.01%
6 months1.86%16.58%
1 year0.89%26.14%
5 years (annualized)-0.54%13.81%
10 years (annualized)0.80%10.70%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.12%-1.32%0.55%-1.92%-1.67%
20232.49%-2.34%2.90%0.53%-1.16%-0.75%-0.34%-0.51%-2.22%-1.20%3.45%3.23%3.87%
2022-1.75%-1.45%-2.40%-2.85%0.63%-1.92%2.31%-2.43%-3.43%-1.70%2.68%-0.51%-12.29%
2021-0.86%-2.75%-0.62%0.63%0.21%0.69%1.30%0.13%-1.30%0.02%0.35%-0.27%-2.50%
20202.46%2.65%3.17%0.39%-0.27%0.10%1.14%-1.11%0.16%-0.95%0.36%-0.24%8.02%
20190.46%-0.26%1.91%-0.29%2.36%0.92%-0.12%3.42%-0.87%0.06%-0.29%-0.56%6.86%
2018-1.37%-0.75%0.95%-0.81%0.90%0.02%-0.43%0.77%-0.94%-0.47%0.88%2.16%0.86%
20170.22%0.49%-0.04%0.69%0.65%-0.16%0.17%1.09%-0.85%-0.13%-0.14%0.31%2.31%
20162.14%0.89%0.15%-0.11%0.01%2.24%0.37%-0.56%-0.13%-1.09%-2.67%-0.10%1.05%
20152.61%-1.57%0.63%-0.53%-0.19%-0.89%0.84%0.04%0.87%-0.36%-0.42%-0.17%0.81%
20141.34%0.26%-0.28%0.55%0.94%-0.14%-0.15%1.04%-0.54%0.97%0.81%0.15%5.04%
2013-0.80%0.53%0.09%0.89%-1.71%-1.06%-0.14%-0.46%0.69%0.47%-0.31%-0.90%-2.72%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^IDCOTCTR is 11, indicating that it is in the bottom 11% 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 ^IDCOTCTR is 1111
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
The Sharpe Ratio Rank of ^IDCOTCTR is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of ^IDCOTCTR is 1010Sortino Ratio Rank
The Omega Ratio Rank of ^IDCOTCTR is 1010Omega Ratio Rank
The Calmar Ratio Rank of ^IDCOTCTR is 1111Calmar Ratio Rank
The Martin Ratio Rank of ^IDCOTCTR is 1111Martin 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 Core Bond TR Index (^IDCOTCTR) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^IDCOTCTR
Sharpe ratio
The chart of Sharpe ratio for ^IDCOTCTR, currently valued at 0.07, compared to the broader market-1.000.001.002.003.000.07
Sortino ratio
The chart of Sortino ratio for ^IDCOTCTR, currently valued at 0.14, compared to the broader market-2.000.002.004.000.14
Omega ratio
The chart of Omega ratio for ^IDCOTCTR, currently valued at 1.02, compared to the broader market0.801.001.201.401.601.02
Calmar ratio
The chart of Calmar ratio for ^IDCOTCTR, currently valued at 0.02, compared to the broader market0.001.002.003.004.005.000.02
Martin ratio
The chart of Martin ratio for ^IDCOTCTR, currently valued at 0.16, compared to the broader market0.005.0010.0015.0020.000.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.52, compared to the broader market-1.000.001.002.003.002.52
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.44
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.04, compared to the broader market0.001.002.003.004.005.002.04
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.59, compared to the broader market0.005.0010.0015.0020.009.59

Sharpe Ratio

The current ICE U.S. Treasury Core Bond TR Index Sharpe ratio is 0.07. 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 Core Bond 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
0.07
2.52
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-14.30%
-0.31%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the ICE U.S. Treasury Core Bond 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 Core Bond TR Index was 18.88%, occurring on Oct 19, 2023. The portfolio has not yet recovered.

The current ICE U.S. Treasury Core Bond TR Index drawdown is 14.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.88%Aug 5, 2020807Oct 19, 2023
-7.18%Dec 19, 2008118Jun 10, 2009259Jun 22, 2010377
-5.77%Jul 11, 2016113Dec 16, 2016568Mar 25, 2019681
-5.01%Mar 10, 20207Mar 18, 202093Jul 30, 2020100
-4.66%Oct 12, 201082Feb 8, 201189Jun 16, 2011171

Volatility

Volatility Chart

The current ICE U.S. Treasury Core Bond TR Index volatility is 1.03%, 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.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%December2024FebruaryMarchAprilMay
1.03%
3.10%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)