BKLN Invesco Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for BKLN (Invesco Senior Loan ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.1% (compared to the benchmark's drawdown of -24.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.3%, compared to a Buy-and-Hold benchmark return of 3.6%. The strategy executed 20 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.
BKLN 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% | 4.90% | 4.50% | 5.14% | 3.69% | 4.26% | 3.30% | 3.62% |
| Sharpe Ratio | 1.78 | 1.75 | 1.37 | 1.12 | 1.05 | 0.65 | 1.01 | 0.61 |
| Max Drawdown | -3.07% | -3.07% | -5.85% | -7.31% | -7.06% | -24.17% | -7.06% | -24.17% |
| % Time Invested | 100.0% | 100.0% | 98.6% | 100.0% | 98.7% | 100.0% | 96.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.8 | 0.0 | 1.1 | 0.0 | 1.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-09-06 | Open | Open | 33.33% | $17.13 | $20.47 | 19.47% | Mark-to-Market |
| 2022-08-05 | Open | Open | 33.33% | $15.76 | $20.47 | 29.89% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-20 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-07-14 | 2026-03-20 | Completed | 33.33% | $19.79 | $20.21 | 2.11% | Signal |
| 2025-06-03 | 2025-07-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-10 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2023-01-09 | 2025-04-10 | Completed | 33.33% | $16.05 | $19.03 | 18.60% | Signal |
| 2023-06-02 | 2023-09-06 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income |
| 2022-11-18 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-08-05 | 2022-11-18 | Completed | 33.33% | $15.76 | $15.76 | -0.02% | Signal |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-03 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-05-10 | 2022-08-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2022-03-16 | 2022-08-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-07-08 | 2022-08-03 | Completed | 33.33% | $15.17 | $15.61 | 2.90% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2021-03-09 | 2022-06-14 | Completed | 33.33% | $15.82 | $15.17 | -4.08% | Stop |
| 2020-05-27 | 2022-05-10 | Completed | 33.33% | $14.85 | $15.62 | 5.23% | Signal |
| 2020-05-27 | 2022-03-16 | Completed | 33.33% | $14.85 | $15.62 | 5.21% | Signal |
| 2020-12-02 | 2021-03-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2020-11-18 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-04-01 | 2020-11-18 | Completed | 33.33% | $13.89 | $15.47 | 11.40% | Signal |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-11-26 | 2020-03-10 | Completed | 33.33% | $15.27 | $14.64 | -4.15% | Stop |
| 2019-02-22 | 2020-03-10 | Completed | 33.33% | $14.86 | $14.64 | -1.48% | Stop |
| 2016-03-01 | 2020-03-10 | Completed | 33.33% | $12.78 | $14.64 | 14.50% | Stop |
| 2019-11-04 | 2019-11-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2019-02-22 | 2019-11-04 | Completed | 33.33% | $14.86 | $15.21 | 2.39% | Signal |
| 2019-01-04 | 2019-02-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2018-12-21 | 2019-02-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2016-03-01 | 2019-01-04 | Completed | 33.33% | $12.78 | $14.30 | 11.86% | Signal |
| 2016-03-01 | 2018-12-21 | Completed | 33.33% | $12.78 | $14.14 | 10.63% | Signal |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-11-11 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2013-02-28 | 2015-11-11 | Completed | 33.33% | $12.77 | $13.07 | 2.31% | Signal |
| 2015-10-16 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-06-01 | 2015-10-16 | Completed | 33.33% | $13.52 | $13.10 | -3.05% | Signal |
| 2015-08-14 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-03-26 | 2015-08-14 | Completed | 33.33% | $13.37 | $13.22 | -1.12% | Signal |
| 2015-03-03 | 2015-06-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2015-03-03 | 2015-03-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-01-07 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-02-28 | 2015-01-07 | Completed | 33.33% | $12.77 | $13.17 | 3.08% | Signal |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2014-11-04 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-17 | 2014-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2013-10-02 | 2014-10-17 | Completed | 33.33% | $12.94 | $13.12 | 1.35% | Signal |
| 2013-09-04 | 2013-10-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2013-02-28 | 2013-09-04 | Completed | 33.33% | $12.77 | $12.94 | 1.29% | Signal |
| 2013-02-26 | 2013-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-02-26 | 2013-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-02-26 | 2013-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |