BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for BCI (abrdn Bloomberg All Commodity Strategy K-1 Free ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.9% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 10.1%. The strategy executed 6 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.
Switch to MMA to enable
BCI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 29.84% | 33.89% | 4.82% | 10.37% | 8.46% | 10.09% |
| Sharpe Ratio | 1.56 | 1.67 | 0.32 | 0.59 | 0.60 | 0.57 |
| Max Drawdown | -14.82% | -14.82% | -31.88% | -26.50% | -31.88% | -26.60% |
| % Time Invested | 90.5% | 100.0% | 61.8% | 100.0% | 56.3% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 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 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 | ||||||||
| 2025-04-09 | 2025-08-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2025-01-16 | 2025-04-09 | Completed | 100% | $17.86 | $16.83 | -5.82% | Stop | |
| 2024-07-16 | 2025-01-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.40% | Interest Income | |
| 2024-05-20 | 2024-07-16 | Completed | 100% | $17.66 | $16.65 | -5.79% | Stop | |
| 2023-06-29 | 2024-05-20 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.87% | Interest Income | |
| 2023-03-21 | 2023-06-29 | Completed | 100% | $16.15 | $15.87 | -1.83% | Signal | |
| 2023-02-27 | 2023-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-07-28 | 2023-02-27 | Completed | 100% | $18.68 | $16.68 | -10.75% | Stop | |
| 2022-07-06 | 2022-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2020-07-30 | 2022-07-06 | Completed | 100% | $10.68 | $17.21 | 61.02% | Stop | |
| 2019-04-30 | 2020-07-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.62% | Interest Income | |