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Performance
^IDCOTCTR Performance Chart
ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR) is down 0.3% since the beginning of the year. ^IDCOTCTR is currently trading at $114 per share. Investors who bought $1,000 worth of ^IDCOTCTR shares 5 years ago would now be looking at an investment worth $983.
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Returns By Period
ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR) has returned -0.31% so far this year and 3.90% over the past 12 months. Over the last ten years, ^IDCOTCTR has returned 0.96% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
ICE U.S. Treasury Core Bond TR Index
- 1D
- -0.17%
- 1M
- 0.12%
- YTD
- -0.31%
- 6M
- -0.32%
- 1Y
- 3.90%
- 3Y*
- 2.87%
- 5Y*
- -0.34%
- 10Y*
- 0.96%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^IDCOTCTR Monthly Returns History
Based on dividend-adjusted daily data since Dec 30, 2005, ^IDCOTCTR's average daily return is +0.01%, while the average monthly return is +0.23%. At this rate, an investment would double in approximately 25.1 years.
Historically, 55% of months were positive and 45% were negative. The best month was Nov 2008 with a return of +5.2%, while the worst month was Sep 2022 at -3.4%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^IDCOTCTR closed higher 51% of trading days. The best single day was Mar 18, 2009 with a return of +2.1%, while the worst single day was Jun 14, 2022 at -2.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.21% | 1.81% | -1.81% | 0.01% | 0.09% | -0.18% | -0.31% | ||||||
| 2025 | 0.44% | 2.16% | 0.23% | 0.63% | -1.04% | 1.26% | -0.38% | 1.03% | 0.89% | 0.61% | 0.58% | -0.20% | 6.35% |
| 2024 | -0.12% | -1.32% | 0.55% | -1.92% | 1.14% | 1.00% | 2.20% | 1.28% | 1.20% | -2.38% | 0.78% | -1.46% | 0.81% |
| 2023 | 2.49% | -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% |
Benchmark Metrics
ICE U.S. Treasury Core Bond TR Index has an annualized alpha of 3.53%, beta of -0.07, and R2 of 0.08 versus S&P 500 Index. Calculated based on daily prices since January 03, 2006.
- This index captured 4.85% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -9.06%) - a profile typical of hedging or uncorrelated assets.
- Beta of -0.07 may look defensive, but with R2 of 0.08 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.08 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 3.53%
- Beta
- -0.07
- R²
- 0.08
- Upside Capture
- 4.85%
- Downside Capture
- -9.06%
Return for Risk
Risk / Return Rank
^IDCOTCTR ranks 44 for risk / return — on par with similar indices. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR) and compare them to S&P 500 Index.
| ^IDCOTCTR | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.16 | ||
| Sortino ratioReturn per unit of downside risk | -1.44 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.41 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 1.35 | 2.93 | -1.58 |
| Martin ratioReturn relative to average drawdown | 4.02 | 13.52 | -9.51 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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.
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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 6.85%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2023 correction2023 | -18.88%Oct 2023 | 3y 2mo | — | 5y 10moAug 2020 - now |
Financial crisis2007–2009 | -7.18%Jun 2009 | 5mo 23d | 1y 12d | 1y 6moDec 2008 - Jun 2010 |
2016 pullback2016 | -5.77%Dec 2016 | 5mo 8d | 2y 3mo | 2y 8moJul 2016 - Mar 2019 |
COVID crash2020 | -5.01%Mar 2020 | 8d | 4mo 14d | 4mo 22dMar 2020 - Jul 2020 |
2011 pullback2011 | -4.66%Feb 2011 | 3mo 29d | 4mo 8d | 8mo 7dOct 2010 - Jun 2011 |
Drawdown Indicators
| ^IDCOTCTR | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.88% | -56.78% | +37.90% |
Max Drawdown (1Y)Largest decline over 1 year | -2.90% | -9.10% | +6.20% |
Max Drawdown (3Y)Largest decline over 3 years | -5.42% | -18.90% | +13.48% |
Max Drawdown (5Y)Largest decline over 5 years | -16.55% | -25.43% | +8.88% |
Max Drawdown (10Y)Largest decline over 10 years | -18.88% | -33.92% | +15.04% |
Current DrawdownCurrent decline from peak | -6.85% | -0.74% | -6.11% |
Average DrawdownAverage peak-to-trough decline | -4.08% | -10.72% | +6.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.97% | 1.97% | -1.00% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^IDCOTCTR
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