BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for BCI (abrdn Bloomberg All Commodity Strategy K-1 Free ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.4% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.0%, compared to a Buy-and-Hold benchmark return of 10.3%. The strategy executed 40 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
BCI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 35.48% | 39.11% | 11.49% | 10.89% | 12.96% | 10.28% |
| Sharpe Ratio | 1.95 | 1.94 | 0.87 | 0.61 | 1.05 | 0.58 |
| Max Drawdown | -7.61% | -7.61% | -11.43% | -26.50% | -11.43% | -26.60% |
| % Time Invested | 94.4% | 100.0% | 76.9% | 100.0% | 71.6% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 6.8 | 0.0 | 5.7 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-13 | Open | Open | 33.33% | $18.64 | $24.44 | 31.12% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-02-26 | 2026-05-28 | Completed | 33.33% | $21.45 | $24.46 | 14.03% | Stop |
| 2026-02-26 | 2026-05-28 | Completed | 33.33% | $21.45 | $24.46 | 14.03% | Stop |
| 2026-02-03 | 2026-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2026-02-03 | 2026-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-08-27 | 2026-02-03 | Completed | 33.33% | $17.77 | $21.03 | 18.34% | Stop |
| 2025-08-25 | 2026-02-03 | Completed | 33.33% | $17.86 | $21.03 | 17.77% | Stop |
| 2025-09-19 | 2025-10-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2025-09-15 | 2025-09-19 | Completed | 33.33% | $18.37 | $18.15 | -1.22% | Signal |
| 2025-06-25 | 2025-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income |
| 2025-08-05 | 2025-08-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-06-03 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2025-04-30 | 2025-08-05 | Completed | 33.33% | $17.59 | $17.57 | -0.10% | Stop |
| 2024-12-06 | 2025-06-25 | Completed | 33.33% | $16.62 | $17.90 | 7.68% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-09 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-01-16 | 2025-04-09 | Completed | 33.33% | $17.86 | $16.83 | -5.77% | Stop |
| 2025-01-16 | 2025-04-07 | Completed | 33.33% | $17.86 | $17.13 | -4.04% | Stop |
| 2024-11-06 | 2025-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.10% | Interest Income |
| 2024-10-02 | 2025-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.75% | Interest Income |
| 2024-10-02 | 2024-12-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2024-08-26 | 2024-11-06 | Completed | 33.33% | $16.35 | $16.56 | 1.32% | Signal |
| 2024-08-06 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2024-08-02 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2024-08-02 | 2024-08-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2024-05-07 | 2024-08-06 | Completed | 33.33% | $17.01 | $16.00 | -5.96% | Stop |
| 2024-07-16 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2024-07-16 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2024-05-20 | 2024-07-16 | Completed | 33.33% | $17.66 | $16.65 | -5.74% | Stop |
| 2024-05-20 | 2024-07-16 | Completed | 33.33% | $17.66 | $16.65 | -5.74% | Stop |
| 2023-07-12 | 2024-05-20 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 5.80% | Interest Income |
| 2023-06-02 | 2024-05-20 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 6.58% | Interest Income |
| 2023-12-08 | 2024-05-07 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.01% | Interest Income |
| 2023-09-01 | 2023-12-08 | Completed | 33.33% | $17.19 | $16.01 | -6.88% | Signal |
| 2023-06-02 | 2023-09-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.68% | Interest Income |
| 2023-05-26 | 2023-07-12 | Completed | 33.33% | $15.83 | $16.59 | 4.75% | Signal |
| 2023-05-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-04 | 2023-05-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $16.91 | $16.05 | -5.11% | Stop |
| 2023-04-19 | 2023-05-04 | Completed | 33.33% | $16.91 | $16.05 | -5.11% | Stop |
| 2023-04-10 | 2023-05-04 | Completed | 33.33% | $16.74 | $16.05 | -4.11% | Stop |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-04-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-03-16 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-03-02 | 2023-03-16 | Completed | 33.33% | $16.77 | $16.06 | -4.24% | Stop |
| 2023-02-07 | 2023-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2022-12-30 | 2023-02-07 | Completed | 33.33% | $17.52 | $16.76 | -4.34% | Stop |
| 2022-12-07 | 2022-12-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2022-09-29 | 2022-12-07 | Completed | 33.33% | $17.41 | $17.18 | -1.34% | Stop |
| 2022-11-29 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-29 | 2022-11-29 | Completed | 33.33% | $17.41 | $17.88 | 2.68% | Signal |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-07 | 2022-09-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2022-09-07 | 2022-09-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $18.00 | $17.92 | -0.41% | Stop |
| 2022-07-11 | 2022-09-07 | Completed | 33.33% | $18.00 | $17.92 | -0.41% | Stop |
| 2022-08-22 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-07-19 | 2022-08-22 | Completed | 33.33% | $17.73 | $19.10 | 7.71% | Signal |
| 2022-06-24 | 2022-07-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $19.25 | $18.56 | -3.60% | Stop |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $20.28 | $20.02 | -1.28% | Stop |
| 2022-05-18 | 2022-06-15 | Completed | 33.33% | $20.28 | $20.02 | -1.28% | Stop |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $19.03 | $19.73 | 3.68% | Stop |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $19.03 | $19.73 | 3.68% | Stop |
| 2022-03-16 | 2022-04-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-30 | 2022-03-16 | Completed | 33.33% | $10.68 | $18.44 | 72.65% | Stop |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $14.89 | $19.25 | 29.29% | Stop |
| 2021-12-21 | 2022-03-10 | Completed | 33.33% | $14.89 | $19.25 | 29.29% | Stop |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2021-11-29 | 2021-12-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-09-14 | 2021-11-29 | Completed | 33.33% | $15.13 | $15.48 | 2.35% | Stop |
| 2021-09-14 | 2021-11-29 | Completed | 33.33% | $15.13 | $15.48 | 2.35% | Stop |
| 2021-09-02 | 2021-09-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-09-02 | 2021-09-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-20 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-08-20 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2021-04-16 | 2021-08-20 | Completed | 33.33% | $13.45 | $14.14 | 5.16% | Stop |
| 2020-07-30 | 2021-08-20 | Completed | 33.33% | $10.68 | $14.14 | 32.37% | Stop |
| 2021-04-05 | 2021-04-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-24 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-07-30 | 2021-03-24 | Completed | 33.33% | $10.68 | $13.00 | 21.73% | Stop |
| 2020-06-02 | 2020-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2020-06-02 | 2020-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2020-06-02 | 2020-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2020-03-03 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2020-03-03 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2020-03-03 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2020-02-21 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | Interest Income |
| 2019-04-30 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.28% | Interest Income |
| 2019-04-30 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.28% | Interest Income |
| 2019-11-18 | 2020-02-21 | Completed | 33.33% | $12.12 | $11.75 | -3.01% | Signal |
| 2019-06-21 | 2019-11-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.36% | Interest Income |
| 2019-05-02 | 2019-06-21 | Completed | 33.33% | $12.18 | $12.12 | -0.49% | Signal |
| 2019-04-30 | 2019-05-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |