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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -12.8% (compared to the benchmark's drawdown of -18.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.7%, compared to a Buy-and-Hold benchmark return of 3.1%. The strategy executed 5 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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AGG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.50% | 4.50% | 2.75% | 0.11% | 2.75% | 1.59% | 3.66% | 3.06% |
| Sharpe Ratio | 1.16 | 1.16 | 0.89 | 0.02 | 0.71 | 0.29 | 0.80 | 0.57 |
| Max Drawdown | -2.76% | -2.76% | -4.82% | -17.82% | -9.58% | -18.43% | -12.84% | -18.43% |
| % Time Invested | 100.0% | 100.0% | 49.1% | 100.0% | 63.8% | 100.0% | 79.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 100% | $93.88 | $98.76 | 5.20% | Mark-to-Market |
| 2022-01-18 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.83% | Interest Income |
| 2019-03-13 | 2022-01-18 | Completed | 100% | $87.28 | $96.49 | 10.56% | Signal |
| 2018-03-06 | 2019-03-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.17% | Interest Income |
| 2017-12-04 | 2018-03-06 | Completed | 100% | $85.42 | $83.80 | -1.90% | Signal |
| 2017-11-09 | 2017-12-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2014-04-14 | 2017-11-09 | Completed | 100% | $77.72 | $85.52 | 10.04% | Signal |
| 2014-01-17 | 2014-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2006-07-17 | 2014-01-17 | Completed | 100% | $52.65 | $76.39 | 45.11% | Signal |
| 2006-01-30 | 2006-07-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.16% | Interest Income |
| 2005-09-22 | 2006-01-30 | Completed | 100% | $52.93 | $52.87 | -0.11% | Signal |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |