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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.7% (compared to the benchmark's drawdown of -18.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.8%, compared to a Buy-and-Hold benchmark return of 2.9%. The strategy executed 17 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for AGG:
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 Model
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.
Switch to MMA to enable
🛡️ AGG Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-14.7% (vs -18.4% B&H)
+3.7% shallower drawdown
Drawdown Shield
3.7% Cut
Protected capital vs -18.4% B&H
Capital Sheltered from Risk
24.1% 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 | -2.76% | -3.09% | -4.95% | -17.73% | -9.58% | -18.43% | -14.70% | -18.43% |
| Sharpe Ratio | 0.22 | -0.20 | 0.39 | -0.09 | 0.41 | 0.24 | 0.41 | 0.55 |
| Sortino Ratio | 0.30 | -0.30 | 0.49 | -0.14 | 0.39 | 0.30 | 0.40 | 0.65 |
| CAGR | 0.74% | -0.75% | 1.68% | -0.53% | 1.76% | 1.33% | 1.81% | 2.94% |
| % Time Invested | 86.5% | 100.0% | 67.1% | 100.0% | 68.0% | 100.0% | 75.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.8 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $88.80 | $92.66 | 4.30% | 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% | $86.85 | $84.66 | -2.58% | 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% | $99.04 | $95.86 | -3.26% | 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% | $84.79 | $96.81 | 14.12% | 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% | $83.84 | $82.86 | -1.22% | 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% | $83.64 | $82.85 | -0.99% | 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% | $81.04 | $81.80 | 0.89% | 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% | $80.77 | $80.38 | -0.52% | 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% | $75.81 | $79.73 | 5.11% | 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% | $69.66 | $73.82 | 5.91% | 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% | $62.62 | $67.64 | 7.98% | 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% | $59.54 | $53.65 | -9.93% | 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% | $55.89 | $58.57 | 4.73% | 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% | $52.11 | $55.06 | 5.62% | 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% | $52.62 | $51.90 | -1.42% | 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% | $52.39 | $51.87 | -1.04% | Signal | |
| 2005-09-20 | 2005-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |