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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.
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Returns By Period
ICE U.S. Treasury Core Bond TR Index (^IDCOTCTR) has returned -0.15% so far this year and 3.25% over the past 12 months. Over the last ten years, ^IDCOTCTR has returned 1.05% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
ICE U.S. Treasury Core Bond TR Index
- 1D
- 0.08%
- 1M
- -1.73%
- YTD
- -0.15%
- 6M
- 0.84%
- 1Y
- 3.25%
- 3Y*
- 2.59%
- 5Y*
- -0.12%
- 10Y*
- 1.05%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
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, your 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% | -1.73% | -0.15% | |||||||||
| 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 3.52%, 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 5.00% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -9.19%) — 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
- 3.52%
- Beta
- -0.07
- R²
- 0.08
- Upside Capture
- 5.00%
- Downside Capture
- -9.19%
Return for Risk
Risk / Return Rank
^IDCOTCTR ranks 47 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 a chosen benchmark (S&P 500 Index).
| ^IDCOTCTR | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.81 | 0.90 | -0.09 |
Sortino ratioReturn per unit of downside risk | 1.18 | 1.39 | -0.21 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.21 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.37 | 1.40 | -0.03 |
Martin ratioReturn relative to average drawdown | 3.54 | 6.61 | -3.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^IDCOTCTR risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 6.70%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -18.88% | Aug 5, 2020 | 807 | Oct 19, 2023 | — | — | — |
| -7.18% | Dec 19, 2008 | 118 | Jun 10, 2009 | 259 | Jun 22, 2010 | 377 |
| -5.77% | Jul 11, 2016 | 113 | Dec 16, 2016 | 568 | Mar 25, 2019 | 681 |
| -5.01% | Mar 10, 2020 | 7 | Mar 18, 2020 | 93 | Jul 30, 2020 | 100 |
| -4.66% | Oct 12, 2010 | 82 | Feb 8, 2011 | 89 | Jun 16, 2011 | 171 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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