AGG iShares Core U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for AGG (iShares Core U.S. Aggregate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -6.6% (compared to the benchmark's drawdown of -18.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 3.1%. The strategy executed 39 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
AGG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.94% | 5.29% | 3.06% | 0.21% | 2.68% | 1.69% | 3.21% | 3.07% |
| Sharpe Ratio | 1.65 | 1.34 | 1.14 | 0.03 | 0.89 | 0.31 | 0.98 | 0.57 |
| Max Drawdown | -2.14% | -2.76% | -4.29% | -17.82% | -6.56% | -18.43% | -6.56% | -18.43% |
| % Time Invested | 100.0% | 100.0% | 66.7% | 100.0% | 75.1% | 100.0% | 84.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 1.9 | 0.0 | 1.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-11-06 | Open | Open | 33.33% | $98.23 | $99.06 | 0.85% | Mark-to-Market |
| 2025-09-08 | Open | Open | 33.33% | $97.74 | $99.06 | 1.35% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-12 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2025-08-25 | 2026-03-12 | Completed | 33.33% | $96.33 | $98.83 | 2.60% | Signal |
| 2025-10-15 | 2025-11-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2024-08-05 | 2025-10-15 | Completed | 33.33% | $94.20 | $98.53 | 4.60% | Signal |
| 2025-06-03 | 2025-09-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2025-08-01 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-04-29 | 2025-08-01 | Completed | 33.33% | $94.64 | $96.00 | 1.43% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-20 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $88.15 | $94.07 | 6.72% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $94.20 | $92.11 | -2.22% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-08 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-22 | 2024-05-08 | Completed | 33.33% | $89.87 | $89.09 | -0.87% | Signal |
| 2023-06-02 | 2024-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-05-18 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-18 | Completed | 33.33% | $87.46 | $88.11 | 0.75% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-15 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-13 | 2022-02-15 | Completed | 33.33% | $98.69 | $94.83 | -3.91% | Signal |
| 2021-12-31 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-04-06 | 2021-12-31 | Completed | 33.33% | $96.38 | $98.84 | 2.56% | Signal |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $99.62 | $99.22 | -0.40% | Signal |
| 2021-09-02 | 2021-10-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2021-02-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.11% | Interest Income |
| 2020-04-06 | 2021-03-26 | Completed | 33.33% | $96.38 | $97.23 | 0.89% | Signal |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $99.73 | $97.97 | -1.77% | Signal |
| 2020-12-17 | 2021-02-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2020-04-06 | 2020-12-17 | Completed | 33.33% | $96.38 | $100.40 | 4.18% | Signal |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-03-13 | 2020-03-13 | Completed | 33.33% | $87.57 | $93.25 | 6.49% | Stop |
| 2019-03-08 | 2020-03-13 | Completed | 33.33% | $87.37 | $93.25 | 6.74% | Stop |
| 2019-01-28 | 2020-03-13 | Completed | 33.33% | $86.37 | $93.25 | 7.96% | Stop |
| 2019-03-04 | 2019-03-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-03-04 | 2019-03-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-01-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-17 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2018-03-01 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2017-10-05 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.23% | Interest Income |
| 2018-08-27 | 2018-10-17 | Completed | 33.33% | $85.16 | $84.04 | -1.31% | Signal |
| 2017-12-22 | 2018-08-27 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income |
| 2017-08-02 | 2018-03-01 | Completed | 33.33% | $85.53 | $84.15 | -1.61% | Signal |
| 2017-05-02 | 2017-12-22 | Completed | 33.33% | $84.20 | $85.57 | 1.64% | Signal |
| 2014-04-14 | 2017-10-05 | Completed | 33.33% | $77.98 | $85.75 | 9.96% | Signal |
| 2017-05-02 | 2017-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2017-04-04 | 2017-05-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-02-01 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2016-11-28 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2016-01-11 | 2017-02-01 | Completed | 33.33% | $81.35 | $82.97 | 1.99% | Signal |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $81.90 | $82.92 | 1.25% | Signal |
| 2015-11-03 | 2016-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-09-28 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-09-02 | 2015-10-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-03-06 | 2015-09-28 | Completed | 33.33% | $77.36 | $81.20 | 4.96% | Signal |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-06-26 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2013-11-27 | 2015-06-26 | Completed | 33.33% | $76.54 | $80.05 | 4.58% | Signal |
| 2014-04-02 | 2014-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-03-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2008-10-31 | 2014-01-03 | Completed | 33.33% | $57.49 | $76.13 | 32.42% | Signal |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2013-07-03 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-05-03 | 2013-07-03 | Completed | 33.33% | $78.36 | $75.83 | -3.23% | Signal |
| 2013-06-24 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2011-06-14 | 2013-06-24 | Completed | 33.33% | $71.44 | $74.83 | 4.74% | Signal |
| 2013-03-07 | 2013-05-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-05-10 | 2013-03-07 | Completed | 33.33% | $70.90 | $77.37 | 9.12% | Signal |
| 2011-04-27 | 2011-06-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-04-04 | 2011-05-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2009-01-22 | 2011-04-27 | Completed | 33.33% | $62.53 | $70.28 | 12.39% | Signal |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-01-14 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-15 | 2011-01-14 | Completed | 33.33% | $62.63 | $69.65 | 11.21% | Signal |
| 2009-01-05 | 2009-01-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2009-01-05 | 2009-01-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2008-10-07 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-10-09 | 2008-10-31 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2006-07-17 | 2008-10-09 | Completed | 33.33% | $52.82 | $56.87 | 7.67% | Stop |
| 2007-12-03 | 2008-10-07 | Completed | 33.33% | $58.99 | $59.22 | 0.38% | Signal |
| 2008-06-30 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2007-10-10 | 2008-06-30 | Completed | 33.33% | $57.11 | $59.62 | 4.41% | Signal |
| 2007-07-02 | 2007-12-03 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 2.37% | Interest Income |
| 2007-05-24 | 2007-10-10 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 1.98% | Interest Income |
| 2006-07-17 | 2007-07-02 | Completed | 33.33% | $52.82 | $55.53 | 5.13% | Signal |
| 2007-05-08 | 2007-05-24 | Completed | 33.33% | $56.31 | $55.77 | -0.95% | Signal |
| 2007-04-03 | 2007-05-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2006-07-17 | 2007-04-03 | Completed | 33.33% | $52.82 | $55.98 | 5.97% | Signal |
| 2005-12-06 | 2006-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2005-11-08 | 2006-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.06% | Interest Income |
| 2005-10-06 | 2006-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.41% | Interest Income |
| 2005-09-22 | 2005-12-06 | Completed | 33.33% | $53.11 | $52.51 | -1.13% | Signal |
| 2005-09-22 | 2005-11-08 | Completed | 33.33% | $53.11 | $52.33 | -1.47% | Signal |
| 2005-09-22 | 2005-10-06 | Completed | 33.33% | $53.11 | $52.83 | -0.52% | Signal |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |