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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.5% (compared to the benchmark's drawdown of -18.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 3.1%. The strategy executed 16 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
Switch to MMA to enable
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% | 1.71% | 0.11% | 1.94% | 1.59% | 1.93% | 3.06% |
| Sharpe Ratio | 1.16 | 1.16 | 0.40 | 0.02 | 0.45 | 0.29 | 0.44 | 0.57 |
| Max Drawdown | -2.76% | -2.76% | -4.86% | -17.82% | -9.58% | -18.43% | -14.53% | -18.43% |
| % Time Invested | 100.0% | 100.0% | 67.0% | 100.0% | 69.4% | 100.0% | 76.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 0.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-03-19 | Open | Open | 100% | $93.69 | $98.76 | 5.41% | Mark-to-Market |
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $89.72 | $93.62 | 4.35% | Signal |
| 2023-08-22 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.01% | Interest Income |
| 2023-02-07 | 2023-08-22 | Completed | 100% | $87.75 | $85.54 | -2.53% | Signal |
| 2022-01-10 | 2023-02-07 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.52% | Interest Income |
| 2021-08-04 | 2022-01-10 | Completed | 100% | $100.07 | $96.85 | -3.21% | Signal |
| 2021-03-01 | 2021-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2018-12-20 | 2021-03-01 | Completed | 100% | $85.66 | $97.81 | 14.18% | Signal |
| 2018-11-05 | 2018-12-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2018-08-29 | 2018-11-05 | Completed | 100% | $84.71 | $83.71 | -1.17% | Signal |
| 2018-02-14 | 2018-08-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.01% | Interest Income |
| 2017-05-25 | 2018-02-14 | Completed | 100% | $84.51 | $83.71 | -0.94% | Signal |
| 2016-12-08 | 2017-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-02-02 | 2016-12-08 | Completed | 100% | $81.88 | $82.65 | 0.94% | Signal |
| 2016-01-08 | 2016-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-10-16 | 2016-01-08 | Completed | 100% | $81.60 | $81.22 | -0.47% | Signal |
| 2015-07-07 | 2015-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-01-28 | 2015-07-07 | Completed | 100% | $76.59 | $80.55 | 5.16% | Signal |
| 2013-06-24 | 2014-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2011-05-04 | 2013-06-24 | Completed | 100% | $70.38 | $74.58 | 5.97% | Signal |
| 2011-02-09 | 2011-05-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2008-12-31 | 2011-02-09 | Completed | 100% | $63.26 | $68.34 | 8.03% | Signal |
| 2008-10-13 | 2008-12-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2008-09-03 | 2008-10-13 | Completed | 100% | $60.15 | $54.21 | -9.88% | Signal |
| 2008-08-07 | 2008-09-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2007-09-05 | 2008-08-07 | Completed | 100% | $56.47 | $59.17 | 4.78% | Signal |
| 2007-08-13 | 2007-09-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-07-17 | 2007-08-13 | Completed | 100% | $52.65 | $55.63 | 5.67% | Signal |
| 2006-04-25 | 2006-07-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.09% | Interest Income |
| 2006-01-17 | 2006-04-25 | Completed | 100% | $53.16 | $52.44 | -1.37% | Signal |
| 2005-12-07 | 2006-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2005-09-22 | 2005-12-07 | Completed | 100% | $52.93 | $52.41 | -0.99% | Signal |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |