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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.8% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.0%, compared to a Buy-and-Hold benchmark return of 10.1%. The strategy executed 8 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
BCI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.63% | 33.89% | 6.35% | 10.37% | 7.98% | 10.09% |
| Sharpe Ratio | 1.30 | 1.67 | 0.41 | 0.59 | 0.56 | 0.57 |
| Max Drawdown | -14.82% | -14.82% | -30.83% | -26.50% | -30.83% | -26.60% |
| % Time Invested | 93.7% | 100.0% | 69.4% | 100.0% | 64.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.1 | 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 | ||||||||
| 2024-08-29 | 2024-10-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2024-05-06 | 2024-08-29 | Completed | 100% | $16.93 | $16.27 | -3.98% | Signal | |
| 2023-12-27 | 2024-05-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.89% | Interest Income | |
| 2023-09-11 | 2023-12-27 | Completed | 100% | $17.15 | $16.37 | -4.55% | Signal | |
| 2023-05-04 | 2023-09-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2023-04-19 | 2023-05-04 | Completed | 100% | $16.91 | $16.05 | -5.15% | Stop | |
| 2022-10-04 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.40% | Interest Income | |
| 2022-07-28 | 2022-10-04 | Completed | 100% | $18.68 | $17.70 | -5.29% | Signal | |
| 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 | |
| 2020-02-28 | 2020-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-12-19 | 2020-02-28 | Completed | 100% | $12.37 | $11.21 | -9.40% | Signal | |
| 2019-11-26 | 2019-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-11-21 | 2019-11-26 | Completed | 100% | $12.09 | $12.07 | -0.23% | Signal | |
| 2019-04-30 | 2019-11-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income | |