I have done some research on US treasury recently. In this article, I showed how much the US 5-, 10-, and 30-year treasury bonds drop in price if their yields increases. And the results are based on their durations.
Today, I took found some periods of time when the US treasury bonds drop in price by more than 10% based on the historical returns. I chose IEI、IEF、TLT to represent short to long-term bonds.
- IEI: iShares 3-7 Year Treasury Bond ETF. Data range: 2007-01-11 ~ 2023-08-04
- IEF: iShares 7-10 Year Treasury Bond ETF. Data range: 2002-07-30 ~ 2023-08-04
- TLT: iShares 20 Plus Year Treasury Bond ETF. Data range: 2002-07-30 ~ 2023-08-04
IEI
IEI's return was -11.199% investing from 2021-10-26 to 2022-10-25
The US 5-year treasury yield rose 3.01% from 1.18% to 4.19% during this period.
IEF
IEF's return was -6.166% investing from 2008-12-24 to 2009-12-23
The US 10-year treasury yield rose 1.66% from 2.16% to 3.82%.
IEF's return was -5.372% investing from 2012-08-02 to 2013-08-03
The US 10-year treasury yield rose 0.92% from 1.65% to 2.57%.
IEF's return was -17.050% investing from 2021-10-22 to 2022-10-21
The US 10-year treasury yield rose 2.56% from 1.65% to 4.21%.
TLT
TLT's return was -10.254% investing from 2003-05-23 to 2004-05-21
No 30-year yield data was found.
TLT's return was -16.364% investing from 2009-01-06 to 2010-01-05
The US 30-year treasury yield rose 0.7% from 3.04% to 3.74%.
TLT's return was -15.701% investing from 2012-11-14 to 2013-11-13
The US 30-year treasury yield rose 1.1% from 2.73% to 3.83%.
TLT's return was -10.3% investing from 2016-07-29 to 2017-07-28
The US 30-year treasury yield rose 0.71% from 2.18% to 2.89%.
TLT's return was -30.228% investing from 2021-11-18 to 2022-11-17
The US 30-year treasury yield rose 1.92% from 1.97% to 3.89%.
Compared with SPY
The recent dramatic increase in yield led to the US treasury of all terms drop in prices. Even the short-term IEI got a negative return of a -10%.
From 2021-10-22 to 2022-10-21, IEF's return was -17.05% while SPY's was -16.145%.
From 2012-08-02 to 2013-08-05, IEF's return was -5.372% while SPY's was 27.726%.
From 2008-12-24 to 2009-12-23, IEF's return was -6.166% while SPY's was 32.187%.
Conclusion
- 2021/10/21, the US 10-year yield rose 2.5% in a year and both IEF and SPY dropped with a similar trend.
- 2012/8/2, the US 10-year yield rose 0.9% in a year and IEF got a -5% return while SPY got a 27%.
- 2008/12/24, the US 10-year yield rose 1.7% in a year and IEF got a -6% return while SPY got a 32%.
The recent yield increase made both the bond and stock suffer and made probably cash one of the few winners.
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