Drawdown Analysis
2-Year Treasury Note
TU · Mean-Reverting market
A living read of where this market sits in its own 10-year range, because drawdown-from-peak is meaningless for range-bound markets.
Where this market sits today
As of market close on 11/10/2026.
Native phase
Tail low
Position in 10-year range
3.7 / 100
Normalized phase
Extreme
Own-history severity percentile
92.6
TU · Drawdown trajectory
Weekly closes of the primary drawdown metric (price_pct_10y) across full market history. Horizontal bands show the phase cuts; the gold marker is today’s reading (11/10/2026).
Scroll or drag the brush below the chart to zoom. All data from the Market Lab Analytics drawdown atlas.
Time in each phase
Share of this market’s full history spent in each position-in-range band. The 10-year range is rebuilt daily, so these shares are stable: roughly 50% of time in the middle band, 15% in each edge, and the tails taper quickly.
Based on 8,627 daily observations (34 years of history).
The numbers
Every drawdown lens we compute for this market, all at once. The primary drawdown metric (bolded by convention in the card above) is what drives the native phase label; the rest are context.
What historically happens from here
When TU has historically been at today's severity decile, here is what happened next. Means are over daily forward windows; confidence intervals use a 20-day moving-block bootstrap to respect the overlap in overlapping-window returns. Base-rate numbers, not forecasts — the past regime is one sample.
The full 10-decile table below shows the pattern across the market's entire history, so you can see whether forward returns move monotonic-ally with severity or follow a different shape.
Today · Decile 10 · Severity 93%ile
Forward 20-day mean return
+0.13%
95% CI [+0.08, +0.18] · 60% win rate
Forward 60-day mean return
+0.33%
95% CI [+0.21, +0.45] · 66% win rate
Based on 4,621 prior days where TU was in this severity decile. Green = 95% CI excludes zero on the positive side; red = negative side; grey = indistinguishable from zero.
| Decile (sev) | N | Fwd 20d mean (95% CI) | Win rate 20d | Fwd 60d mean (95% CI) | Win rate 60d |
|---|---|---|---|---|---|
| D1 · 0-10%ile | 12 | — | — | — | — |
| D2 · 10-20%ile | 14 | — | — | — | — |
| D3 · 20-30%ile | 61 | -0.08% [-0.10, +0.17] | 52% | +0.10% [-0.13, +0.64] | 79% |
| D4 · 30-40%ile | 174 | +0.22% [+0.10, +0.43] | 74% | +0.47% [+0.12, +1.06] | 68% |
| D5 · 40-50%ile | 230 | +0.10% [-0.07, +0.41] | 45% | +0.42% [-0.31, +1.23] | 63% |
| D6 · 50-60%ile | 386 | +0.02% [-0.18, +0.18] | 51% | +0.17% [-0.27, +0.53] | 55% |
| D7 · 60-70%ile | 809 | -0.03% [-0.13, +0.07] | 45% | -0.04% [-0.35, +0.26] | 40% |
| D8 · 70-80%ile | 841 | -0.01% [-0.12, +0.12] | 43% | +0.12% [-0.18, +0.44] | 38% |
| D9 · 80-90%ile | 1,321 | +0.09% [+0.00, +0.18] | 58% | +0.23% [+0.05, +0.43] | 55% |
| YOU ARE HERE › D10 · 90-100%ile | 4,621 | +0.13% [+0.08, +0.18] | 60% | +0.33% [+0.21, +0.45] | 66% |
Cross-market drivers
When TU enters its deepest-decile drawdown state, which other markets systematically move with it? Below are the markets whose daily log-returns shift most reliably in the same deep-TU-drawdown window, filtered to those with a 95% confidence interval excluding zero.
Shifts are measured in basis points per day (1 bp = 0.01%). Positive = that market strengthens alongside TU’s deep drawdown. Negative = that market weakens alongside it.
Weakens alongside TU deep drawdowns
MW · Wheat (Minneapolis)
Daily log-return weakens by -7.8 bps/day when TU is in its deepest-decile drawdown state.
95% CI [-14.6, -1.0] bps/day
C · Corn
Daily log-return weakens by -6.6 bps/day when TU is in its deepest-decile drawdown state.
95% CI [-13.5, -0.7] bps/day
TY · 10-Year Treasury Note
Daily log-return weakens by -5.5 bps/day when TU is in its deepest-decile drawdown state.
95% CI [-8.3, -2.7] bps/day
EBL · Euro Bund
Daily log-return weakens by -5.5 bps/day when TU is in its deepest-decile drawdown state.
95% CI [-8.9, -1.8] bps/day
US · 30-Year Treasury Bond
Daily log-return weakens by -4.1 bps/day when TU is in its deepest-decile drawdown state.
95% CI [-8.7, -0.3] bps/day
Strengthens alongside TU deep drawdowns
NKD · Nikkei 225
Daily log-return strengthens by +9.1 bps/day when TU is in its deepest-decile drawdown state.
95% CI [+0.9, +17.9] bps/day
LC · Live Cattle
Daily log-return strengthens by +6.5 bps/day when TU is in its deepest-decile drawdown state.
95% CI [+0.7, +12.1] bps/day
How we think about drawdown
Drawdown math is not a one-size-fits-all formula. The same equation that honestly describes the S&P 500 is actively misleading for corn, and both of those break for the Dollar Index. So Market Lab Analytics computes drawdown three ways and chooses the one that fits each market’s nature.
For mean-reverting markets we do not use drawdown-from-peak at all. The primary metric is position in the trailing 10-year range, scored from 0 (at the 10-year low) to 100 (at the 10-year high). Volatility products, FX, and rate futures oscillate around a mean with no secular trend; drawdown-from-peak would be actively misleading.
Two complementary pain-over-time metrics appear in the Numbers grid above: the ulcer index (Peter Martin, 1987; root-mean-square of drawdown over a trailing window, emphasizes deep drops) and the Underwater Volume Index (Dstendahl; linear integral of |dd| over the current episode, weighs long shallow bleeds on equal footing with short deep ones). A -5% drawdown that drags on for years can produce a larger UVI than a -20% drawdown that resolves in weeks; ulcer ranks the second more painful. Both lenses are honest.
Every reading on this page is anchored in real market data. The phase labels are computed from the market’s own full history. The cross-market drivers are measured with block-bootstrap confidence intervals so only statistically distinguishable shifts are surfaced. If a number is on this page, you can trace it back to the data that produced it.