DId US Bond ETFs (IEI、IEF、TLT) Ever Drop More Than 10%?

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.

Which is better? BND or AGG?

The US 10-year treasury yield has reached at 2007-2008 years level, which is about 16 years ago. From a technical point of view, it is a buy. Then there are 2 bond ETFs that I am interested in. There are BND and AGG. They are very similar in nature. US 10 year Treasury Bond, chart, prices - FT.com Expense Ratio BND: 0.03% AGG: 0.03% The same. Turnover Rate BND: 40.00% AGG: 104.0% BNG seems better. Historical Performance Comparison Investment duration: 5 years with no tax on dividends BND wins a little with winning rate of 57.5%, but AGG wins 0.012% in return. Investment duration: 5 years with 30% tax on dividends AGG wins a little with winning rate of 65% and a 0.079% difference on average. Investment duration: 10 years with no tax on dividends AGG wins a little with winning rate of 67% and a 0.024% difference on average. Investment duration: 10 years with 30% tax on dividends AGG wins a little with winning rate of 99% and a 0.095% difference on average. C...

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