PortfoliosLab logo

ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR)

Index · Currency in USD · Last updated Sep 11, 2022

^IDCOTCTRShare Price Chart


Chart placeholderClick Calculate to get results

^IDCOTCTRPerformance

The chart shows the growth of $10,000 invested in ICE U.S. Treasury Core Bond TR Index in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $12,804 for a total return of roughly 28.04%. All prices are adjusted for splits and dividends.


-15.00%-10.00%-5.00%0.00%5.00%AprilMayJuneJulyAugustSeptember
-6.32%
-6.67%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

^IDCOTCTRReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M-2.67%-1.34%
6M-7.15%-4.51%
YTD-10.59%-14.66%
1Y-11.26%-9.90%
5Y0.06%10.26%
10Y0.80%11.10%

^IDCOTCTRMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2022-1.75%-1.45%-2.40%-2.85%0.63%-1.92%2.31%-2.43%-1.16%
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%
20202.46%2.65%3.17%0.39%-0.27%0.10%1.14%-1.11%0.16%-0.95%0.36%-0.24%
20190.46%-0.26%1.91%-0.29%2.36%0.92%-0.12%3.42%-0.87%0.06%-0.29%-0.56%
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%
20170.22%0.49%-0.04%0.69%0.65%-0.16%0.17%1.09%-0.85%-0.13%-0.14%0.31%
20162.14%0.89%0.15%-0.11%0.01%2.24%0.37%-0.56%-0.13%-1.09%-2.67%-0.10%
20152.61%-1.57%0.63%-0.53%-0.19%-0.89%0.84%0.04%0.87%-0.36%-0.42%-0.17%
20141.34%0.26%-0.28%0.55%0.94%-0.14%-0.15%1.04%-0.54%0.97%0.81%0.15%
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%
20120.40%-0.70%-0.97%1.43%1.69%-0.33%0.98%-0.11%-0.31%-0.16%0.52%-0.42%
2011-0.02%-0.07%-0.07%1.14%1.56%-0.34%1.82%2.79%1.76%-0.83%0.74%0.95%
20101.50%0.38%-0.84%1.04%1.72%1.86%0.68%2.03%0.01%-0.16%-0.69%-1.80%

^IDCOTCTRSharpe 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 Core Bond TR Index Sharpe ratio is -1.65. 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.


-1.50-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-1.65
-0.45
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

^IDCOTCTRDrawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugustSeptember
-14.47%
-15.20%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

^IDCOTCTRWorst Drawdowns

The table below shows the maximum drawdowns of the ICE U.S. Treasury Core Bond 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 Core Bond TR Index is 15.21%, recorded on Jun 14, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.21%Aug 5, 2020468Jun 14, 2022
-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
-4.48%May 3, 201387Sep 5, 2013272Oct 7, 2014359
-3.34%Feb 3, 201590Jun 10, 2015152Jan 20, 2016242
-2.84%Sep 23, 201124Oct 27, 201134Dec 16, 201158
-2.66%Sep 5, 20197Sep 13, 201994Jan 29, 2020101
-2.45%Feb 1, 201233Mar 19, 201236May 8, 201269
-1.8%Jul 26, 2012137Feb 13, 201354May 2, 2013191

^IDCOTCTRVolatility Chart

Current ICE U.S. Treasury Core Bond TR Index volatility is 7.21%. 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.


0.00%10.00%20.00%30.00%40.00%AprilMayJuneJulyAugustSeptember
7.21%
17.52%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)