AGG
iShares Core U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
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 3.0%. 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 | 3.40% | 3.61% | 2.61% | -0.29% | 2.20% | 1.42% | 3.00% | 3.02% |
| Sharpe Ratio | 1.15 | 0.94 | 1.02 | -0.05 | 0.75 | 0.26 | 0.93 | 0.56 |
| Max Drawdown | -2.16% | -2.76% | -4.37% | -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 | 1.8 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-08-25 | 2026-03-12 | Completed | 33.33% | $95.69 | $98.17 | 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% | $93.57 | $97.88 | 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% | $94.01 | $95.36 | 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% | $87.56 | $93.44 | 6.66% | Signal | |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $93.57 | $91.49 | -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% | $89.27 | $88.50 | -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% | $86.88 | $87.53 | 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% | $98.03 | $94.20 | -3.96% | Signal | |
| 2020-04-06 | 2021-12-31 | Completed | 33.33% | $95.73 | $98.18 | 2.51% | Signal | |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $98.96 | $98.56 | -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% | $95.73 | $96.59 | 0.84% | Signal | |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $99.07 | $97.32 | -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% | $95.73 | $99.73 | 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% | $86.99 | $92.63 | 6.43% | Stop | |
| 2019-03-08 | 2020-03-13 | Completed | 33.33% | $86.78 | $92.63 | 6.68% | Stop | |
| 2019-01-28 | 2020-03-13 | Completed | 33.33% | $85.80 | $92.63 | 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% | $84.59 | $83.48 | -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% | $84.96 | $83.59 | -1.65% | Signal | |
| 2017-05-02 | 2017-12-22 | Completed | 33.33% | $83.63 | $85.00 | 1.59% | Signal | |
| 2014-04-14 | 2017-10-05 | Completed | 33.33% | $77.46 | $85.18 | 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% | $80.81 | $82.42 | 1.94% | Signal | |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $81.35 | $82.37 | 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% | $76.84 | $80.65 | 4.91% | Signal | |
| 2013-11-27 | 2015-06-26 | Completed | 33.33% | $76.03 | $79.51 | 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% | $57.10 | $75.62 | 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% | $77.83 | $75.32 | -3.28% | Signal | |
| 2011-06-14 | 2013-06-24 | Completed | 33.33% | $70.97 | $74.33 | 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% | $70.43 | $76.85 | 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% | $62.11 | $69.81 | 12.33% | Signal | |
| 2009-01-15 | 2011-01-14 | Completed | 33.33% | $62.21 | $69.18 | 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% | $52.47 | $56.50 | 7.62% | Stop | |
| 2007-12-03 | 2008-10-07 | Completed | 33.33% | $58.59 | $58.82 | 0.33% | Signal | |
| 2007-10-10 | 2008-06-30 | Completed | 33.33% | $56.73 | $59.23 | 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% | $52.47 | $55.16 | 5.08% | Signal | |
| 2007-05-08 | 2007-05-24 | Completed | 33.33% | $55.93 | $55.40 | -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% | $52.47 | $55.60 | 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% | $52.76 | $52.16 | -1.18% | Signal | |
| 2005-09-22 | 2005-11-08 | Completed | 33.33% | $52.76 | $51.98 | -1.52% | Signal | |
| 2005-09-22 | 2005-10-06 | Completed | 33.33% | $52.76 | $52.48 | -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 | |