^IDCOT10TR vs. TLH

Last updated Jun 5, 2026

^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index) is an index, while TLH (iShares 10-20 Year Treasury Bond ETF) is Government Bonds fund tracking the ICE U.S. Treasury 10-20 Year Bond Index. Over the past 10 years, ^IDCOT10TR returned -0.73%/yr vs -0.78%/yr for TLH. Their correlation of 0.90 suggests significant overlap in exposure.

Performance

^IDCOT10TR vs. TLH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and iShares 10-20 Year Treasury Bond ETF (TLH). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^IDCOT10TR achieves a -0.78% return, which is significantly lower than TLH's -0.33% return. Over the past 10 years, ^IDCOT10TR has outperformed TLH with an annualized return of -0.73%, while TLH has yielded a comparatively lower -0.78% annualized return.

^IDCOT10TR

• 1D: 0.18%
• 1M: 0.40%
• YTD: -0.78%
• 6M: -0.76%
• 1Y: 4.25%
• 3Y*: 0.78%
• 5Y*: -3.54%
• 10Y*: -0.73%

TLH

• 1D: 0.18%
• 1M: 0.38%
• YTD: -0.33%
• 6M: -0.83%
• 1Y: 4.09%
• 3Y*: 0.67%
• 5Y*: -3.77%
• 10Y*: -0.78%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^IDCOT10TR vs. TLH - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^IDCOT10TR ICE U.S. Treasury 10-20 Year TR Index	-0.78%	6.86%	-3.72%	3.30%	-24.68%	-5.66%	13.56%	10.96%	-0.01%	4.19%
TLH iShares 10-20 Year Treasury Bond ETF	-0.33%	6.47%	-4.21%	4.03%	-25.24%	-5.38%	13.78%	10.11%	0.37%	4.21%

Correlation

The correlation between ^IDCOT10TR and TLH is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Jan 12, 2007	0.90

The correlation between ^IDCOT10TR and TLH shifts across timeframes, from 0.83 (5 years) to 0.96 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

^IDCOT10TR vs. TLH — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^IDCOT10TR

^IDCOT10TR Risk / Return Rank: 31
^IDCOT10TR Sharpe Ratio Rank: 32
^IDCOT10TR Sortino Ratio Rank: 30
^IDCOT10TR Omega Ratio Rank: 30
^IDCOT10TR Calmar Ratio Rank: 31
^IDCOT10TR Martin Ratio Rank: 31

TLH

TLH Risk / Return Rank: 17
TLH Sharpe Ratio Rank: 18
TLH Sortino Ratio Rank: 17
TLH Omega Ratio Rank: 16
TLH Calmar Ratio Rank: 17
TLH Martin Ratio Rank: 18

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^IDCOT10TR vs. TLH - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and iShares 10-20 Year Treasury Bond ETF (TLH). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^IDCOT10TR	TLH	Difference
Sharpe ratio: Return per unit of total volatility	0.54	0.52	+0.02
Sortino ratio: Return per unit of downside risk	0.81	0.79	+0.02
Omega ratio: Gain probability vs. loss probability	1.10	1.09	+0.01
Calmar ratio: Return relative to maximum drawdown	0.66	0.63	+0.03
Martin ratio: Return relative to average drawdown	1.82	1.74	+0.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^IDCOT10TR vs. TLH - Sharpe Ratio Comparison

The current ^IDCOT10TR Sharpe Ratio is 0.54, which is comparable to the TLH Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ^IDCOT10TR and TLH, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^IDCOT10TR	TLH	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.54	0.52	+0.02
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.28	-0.30	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.07	-0.07	0.00
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	0.28	+0.02

Drawdowns

^IDCOT10TR vs. TLH - Drawdown Comparison

The maximum ^IDCOT10TR drawdown since its inception was -41.24%, roughly equal to the maximum TLH drawdown of -41.14%. Use the drawdown chart below to compare losses from any high point for ^IDCOT10TR and TLH.

Drawdown Indicators

	^IDCOT10TR	TLH	Difference
Max Drawdown Largest peak-to-trough decline	-41.24%	-41.14%	-0.10%
Max Drawdown (1Y) Largest decline over 1 year	-6.45%	-6.50%	+0.05%
Max Drawdown (3Y) Largest decline over 3 years	-15.36%	-15.35%	-0.01%
Max Drawdown (5Y) Largest decline over 5 years	-35.44%	-35.41%	-0.03%
Max Drawdown (10Y) Largest decline over 10 years	-41.24%	-41.14%	-0.10%
Current Drawdown Current decline from peak	-29.58%	-29.69%	+0.11%
Average Drawdown Average peak-to-trough decline	-10.34%	-10.76%	+0.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	2.36%	-0.02%

Volatility

^IDCOT10TR vs. TLH - Volatility Comparison

ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and iShares 10-20 Year Treasury Bond ETF (TLH) have volatilities of 2.42% and 2.43%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^IDCOT10TR	TLH	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.42%	2.43%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	5.61%	5.49%	+0.12%
Volatility (1Y) Calculated over the trailing 1-year period	8.08%	8.01%	+0.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.70%	12.69%	+0.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.94%	11.19%	-0.25%

Frequently Asked Questions

Can I hold both ^IDCOT10TR and TLH in my portfolio?

With a correlation of 0.93, ^IDCOT10TR and TLH move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^IDCOT10TR or TLH?

TLH has higher volatility (2.43%) compared to ^IDCOT10TR (2.42%). In terms of maximum drawdown, ^IDCOT10TR dropped -41.24% vs TLH's -41.14%.

Which has better risk-adjusted returns?

^IDCOT10TR currently has the higher Sharpe Ratio (0.54 vs 0.52), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.