BKLN
Invesco Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for BKLN (Invesco Senior Loan ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.7% (compared to the benchmark's drawdown of -24.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.1%, compared to a Buy-and-Hold benchmark return of 3.6%. The strategy executed 4 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
BKLN Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.89% | 3.89% | 4.30% | 5.30% | 1.98% | 4.18% | 2.10% | 3.63% |
| Sharpe Ratio | 1.38 | 1.38 | 1.15 | 1.16 | 0.43 | 0.64 | 0.49 | 0.62 |
| Max Drawdown | -3.07% | -3.07% | -7.31% | -7.31% | -19.68% | -24.17% | -19.68% | -24.17% |
| % Time Invested | 100.0% | 100.0% | 80.0% | 100.0% | 84.1% | 100.0% | 86.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 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 | ||||||||
| 2022-09-06 | 2023-09-06 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.75% | Interest Income | |
| 2021-03-18 | 2022-09-06 | Completed | 100% | $15.64 | $15.46 | -1.25% | Signal | |
| 2020-09-08 | 2021-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-04-09 | 2020-09-08 | Completed | 100% | $14.79 | $15.11 | 2.08% | Signal | |
| 2020-03-18 | 2020-04-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2016-03-01 | 2020-03-18 | Completed | 100% | $12.65 | $13.00 | 2.69% | Stop | |
| 2015-11-20 | 2016-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2013-02-28 | 2015-11-20 | Completed | 100% | $12.64 | $12.84 | 1.46% | Signal | |
| 2013-02-26 | 2013-02-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |