AGG
iShares Core U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
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 3.1%, compared to a Buy-and-Hold benchmark return of 3.1%. 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.
📊 Mathematical Model
Excess Return MMA Active
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.
AGG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.14% | 4.50% | 2.86% | 0.11% | 2.42% | 1.59% | 3.09% | 3.06% |
| Sharpe Ratio | 1.39 | 1.16 | 1.12 | 0.02 | 0.82 | 0.29 | 0.96 | 0.57 |
| Max Drawdown | -2.14% | -2.76% | -4.35% | -17.82% | -6.56% | -18.43% | -6.56% | -18.43% |
| % Time Invested | 100.0% | 100.0% | 66.7% | 100.0% | 75.1% | 100.0% | 84.8% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.0 | 0.0 | 2.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-06-01 | Open | Open | 33.33% | $98.44 | $98.76 | 0.33% | Mark-to-Market |
| 2025-11-06 | Open | Open | 33.33% | $97.90 | $98.76 | 0.88% | Mark-to-Market |
| 2026-06-11 | Open | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Mark-to-Market |
| 2025-09-08 | 2026-06-11 | Completed | 33.33% | $97.41 | $98.39 | 1.01% | 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% | $96.01 | $98.50 | 2.60% | 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% | $93.88 | $98.20 | 4.60% | 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% | $94.33 | $95.68 | 1.43% | 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% | $87.86 | $93.76 | 6.72% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $93.88 | $91.80 | -2.22% | 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% | $89.57 | $88.80 | -0.87% | 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% | $87.17 | $87.82 | 0.75% | 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% | $98.36 | $94.51 | -3.91% | Signal |
| 2020-04-06 | 2021-12-31 | Completed | 33.33% | $96.06 | $98.51 | 2.56% | Signal |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $99.29 | $98.89 | -0.40% | 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% | $96.06 | $96.91 | 0.89% | Signal |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $99.40 | $97.64 | -1.77% | 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% | $96.06 | $100.07 | 4.18% | 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% | $87.28 | $92.94 | 6.49% | Stop |
| 2019-03-08 | 2020-03-13 | Completed | 33.33% | $87.08 | $92.94 | 6.74% | Stop |
| 2019-01-28 | 2020-03-13 | Completed | 33.33% | $86.08 | $92.94 | 7.96% | 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% | $84.87 | $83.76 | -1.31% | 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% | $85.24 | $83.87 | -1.61% | Signal |
| 2017-05-02 | 2017-12-22 | Completed | 33.33% | $83.91 | $85.29 | 1.64% | Signal |
| 2014-04-14 | 2017-10-05 | Completed | 33.33% | $77.72 | $85.46 | 9.96% | 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% | $81.08 | $82.69 | 1.99% | Signal |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $81.62 | $82.64 | 1.25% | 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% | $77.10 | $80.92 | 4.96% | Signal |
| 2013-11-27 | 2015-06-26 | Completed | 33.33% | $76.28 | $79.78 | 4.58% | 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% | $57.30 | $75.87 | 32.42% | 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% | $78.09 | $75.57 | -3.23% | Signal |
| 2011-06-14 | 2013-06-24 | Completed | 33.33% | $71.21 | $74.58 | 4.74% | 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% | $70.67 | $77.11 | 9.12% | 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% | $62.32 | $70.04 | 12.39% | Signal |
| 2009-01-15 | 2011-01-14 | Completed | 33.33% | $62.42 | $69.42 | 11.21% | 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% | $52.65 | $56.68 | 7.67% | Stop |
| 2007-12-03 | 2008-10-07 | Completed | 33.33% | $58.79 | $59.02 | 0.39% | Signal |
| 2007-10-10 | 2008-06-30 | Completed | 33.33% | $56.92 | $59.42 | 4.41% | 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% | $52.65 | $55.35 | 5.13% | Signal |
| 2007-05-08 | 2007-05-24 | Completed | 33.33% | $56.12 | $55.59 | -0.95% | 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% | $52.65 | $55.79 | 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% | $52.93 | $52.34 | -1.13% | Signal |
| 2005-09-22 | 2005-11-08 | Completed | 33.33% | $52.93 | $52.15 | -1.47% | Signal |
| 2005-09-22 | 2005-10-06 | Completed | 33.33% | $52.93 | $52.66 | -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 |