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

Index · Currency in USD · Last updated Feb 4, 2023

^IDCOTCTRShare Price Chart


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^IDCOTCTRPerformance

The chart shows the growth of $10,000 invested in ICE U.S. Treasury Core Bond TR Index in Sep 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $12,846 for a total return of roughly 28.46%. All prices are adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%OctoberNovemberDecember2023February
0.03%
4.28%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)

^IDCOTCTRCompare to other instruments

Search for stocks, ETFs, and funds to compare with ^IDCOTCTR

^IDCOTCTRReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M1.93%8.17%
YTD2.26%7.73%
6M-2.74%-0.37%
1Y-8.87%-9.87%
5Y0.78%8.11%
10Y0.89%10.73%

^IDCOTCTRMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.49%
2022-2.43%-3.43%-1.70%2.68%-0.51%

^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 -1.16. 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.


-2.00-1.50-1.00-0.50OctoberNovemberDecember2023February
-1.16
-0.41
^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.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%OctoberNovemberDecember2023February
-14.19%
-13.76%
^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 18.69%, recorded on Oct 24, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.69%Aug 5, 2020559Oct 24, 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 6.50%. 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%OctoberNovemberDecember2023February
6.50%
16.33%
^IDCOTCTR (ICE U.S. Treasury Core Bond TR Index)
Benchmark (^GSPC)