AGG
iShares Core U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for AGG (iShares Core U.S. Aggregate Bond ETF) using the Excess Return MMA* 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 3.0%, compared to a Buy-and-Hold benchmark return of 2.9%. The strategy executed 40 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for AGG:
Excess Return MMA Active Model
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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.
🎯 Trading Horizon
Select risk profile & execution style for AGG:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ AGG Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-6.6% (vs -18.4% B&H)
+11.9% shallower drawdown
Downside Efficiency
1.05 Sortino
+0.40 vs 0.65 B&H
Capital Sheltered from Risk
32.3% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 AGG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -2.16% | -3.09% | -4.37% | -17.73% | -6.56% | -18.43% | -6.56% | -18.43% |
| Sharpe Ratio | 0.16 | -0.20 | 0.96 | -0.09 | 0.74 | 0.24 | 0.92 | 0.55 |
| Sortino Ratio | 0.24 | -0.30 | 1.17 | -0.14 | 0.70 | 0.30 | 1.05 | 0.65 |
| CAGR | 0.46% | -0.75% | 2.48% | -0.53% | 2.17% | 1.33% | 2.95% | 2.94% |
| % Time Invested | 82.1% | 100.0% | 44.1% | 100.0% | 53.7% | 100.0% | 67.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 1.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for AGG... Top Diversifiers for AGG
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock | ||||||||
| 2025-09-08 | 2026-06-11 | Completed | 33.33% | $96.41 | $97.38 | 0.96% | Signal | |
| 2026-03-12 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2025-08-25 | 2026-03-12 | Completed | 33.33% | $95.02 | $97.49 | 2.55% | Signal | |
| 2025-10-15 | 2025-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2024-08-05 | 2025-10-15 | Completed | 33.33% | $92.92 | $97.20 | 4.55% | Signal | |
| 2025-03-17 | 2025-09-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2025-08-01 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-29 | 2025-08-01 | Completed | 33.33% | $93.36 | $94.70 | 1.38% | Signal | |
| 2024-12-20 | 2025-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $86.96 | $92.80 | 6.66% | Signal | |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $92.92 | $90.86 | -2.27% | Signal | |
| 2024-05-08 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2021-12-31 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.83% | Interest Income | |
| 2024-01-22 | 2024-05-08 | Completed | 33.33% | $88.65 | $87.89 | -0.92% | Signal | |
| 2022-02-15 | 2024-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.11% | Interest Income | |
| 2023-05-18 | 2024-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.66% | Interest Income | |
| 2023-02-13 | 2023-05-18 | Completed | 33.33% | $86.28 | $86.92 | 0.70% | Signal | |
| 2021-11-30 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2021-10-13 | 2022-02-15 | Completed | 33.33% | $97.35 | $93.55 | -3.96% | Signal | |
| 2020-04-06 | 2021-12-31 | Completed | 33.33% | $95.07 | $97.50 | 2.51% | Signal | |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $98.27 | $97.88 | -0.45% | Signal | |
| 2021-03-26 | 2021-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-02-26 | 2021-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2021-03-26 | Completed | 33.33% | $95.07 | $95.92 | 0.84% | Signal | |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $98.38 | $96.64 | -1.82% | Signal | |
| 2020-12-17 | 2021-02-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2020-12-17 | Completed | 33.33% | $95.07 | $99.04 | 4.13% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-13 | 2020-03-13 | Completed | 33.33% | $86.38 | $91.99 | 6.43% | Stop | |
| 2019-03-08 | 2020-03-13 | Completed | 33.33% | $86.18 | $91.99 | 6.68% | Stop | |
| 2019-01-28 | 2020-03-13 | Completed | 33.33% | $85.20 | $91.99 | 7.91% | Stop | |
| 2017-10-05 | 2019-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.73% | Interest Income | |
| 2018-03-01 | 2019-03-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.16% | Interest Income | |
| 2018-10-17 | 2019-01-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2018-08-27 | 2018-10-17 | Completed | 33.33% | $84.00 | $82.90 | -1.36% | Signal | |
| 2017-12-22 | 2018-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2017-08-02 | 2018-03-01 | Completed | 33.33% | $84.37 | $83.01 | -1.65% | Signal | |
| 2017-05-02 | 2017-12-22 | Completed | 33.33% | $83.05 | $84.41 | 1.59% | Signal | |
| 2014-04-14 | 2017-10-05 | Completed | 33.33% | $76.93 | $84.59 | 9.90% | Signal | |
| 2017-02-01 | 2017-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2016-11-28 | 2017-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2016-01-11 | 2017-02-01 | Completed | 33.33% | $80.25 | $81.85 | 1.94% | Signal | |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $80.79 | $81.80 | 1.20% | Signal | |
| 2015-09-28 | 2016-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-06-26 | 2015-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-06 | 2015-09-28 | Completed | 33.33% | $76.31 | $80.10 | 4.91% | Signal | |
| 2013-11-27 | 2015-06-26 | Completed | 33.33% | $75.50 | $78.96 | 4.53% | Signal | |
| 2014-01-03 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-06-24 | 2014-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2008-10-31 | 2014-01-03 | Completed | 33.33% | $56.71 | $75.10 | 32.36% | Signal | |
| 2013-07-03 | 2013-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-05-03 | 2013-07-03 | Completed | 33.33% | $77.29 | $74.80 | -3.28% | Signal | |
| 2011-06-14 | 2013-06-24 | Completed | 33.33% | $70.48 | $73.82 | 4.69% | Signal | |
| 2013-03-07 | 2013-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-10 | 2013-03-07 | Completed | 33.33% | $69.94 | $76.32 | 9.07% | Signal | |
| 2011-04-27 | 2011-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-01-14 | 2011-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-01-22 | 2011-04-27 | Completed | 33.33% | $61.68 | $69.32 | 12.33% | Signal | |
| 2009-01-15 | 2011-01-14 | Completed | 33.33% | $61.78 | $68.71 | 11.15% | Signal | |
| 2008-10-07 | 2009-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2008-06-30 | 2009-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2008-10-09 | 2008-10-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2006-07-17 | 2008-10-09 | Completed | 33.33% | $52.11 | $56.10 | 7.62% | Stop | |
| 2007-12-03 | 2008-10-07 | Completed | 33.33% | $58.19 | $58.41 | 0.33% | Signal | |
| 2007-10-10 | 2008-06-30 | Completed | 33.33% | $56.33 | $58.82 | 4.35% | Signal | |
| 2007-07-02 | 2007-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2007-05-24 | 2007-10-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income | |
| 2006-07-17 | 2007-07-02 | Completed | 33.33% | $52.11 | $54.78 | 5.08% | Signal | |
| 2007-05-08 | 2007-05-24 | Completed | 33.33% | $55.54 | $55.02 | -1.00% | Signal | |
| 2007-04-03 | 2007-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2006-07-17 | 2007-04-03 | Completed | 33.33% | $52.11 | $55.22 | 5.92% | 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% | $52.39 | $51.80 | -1.18% | Signal | |
| 2005-09-22 | 2005-11-08 | Completed | 33.33% | $52.39 | $51.62 | -1.52% | Signal | |
| 2005-09-22 | 2005-10-06 | Completed | 33.33% | $52.39 | $52.12 | -0.57% | 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 | |