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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.6% (compared to the benchmark's drawdown of -24.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 3.6%. The strategy executed 5 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
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% | 5.61% | 5.30% | 2.57% | 4.18% | 2.69% | 3.63% |
| Sharpe Ratio | 1.38 | 1.38 | 1.47 | 1.16 | 0.57 | 0.64 | 0.66 | 0.62 |
| Max Drawdown | -3.07% | -3.07% | -5.17% | -7.31% | -16.65% | -24.17% | -16.65% | -24.17% |
| % Time Invested | 100.0% | 100.0% | 92.7% | 100.0% | 93.0% | 100.0% | 88.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 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 | ||||||||
| 2022-03-24 | 2022-08-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.50% | Interest Income | |
| 2020-05-27 | 2022-03-24 | Completed | 100% | $14.70 | $15.76 | 7.22% | Signal | |
| 2020-03-18 | 2020-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-02-22 | 2020-03-18 | Completed | 100% | $14.70 | $13.00 | -11.65% | Stop | |
| 2018-12-31 | 2019-02-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2016-03-01 | 2018-12-31 | Completed | 100% | $12.65 | $14.01 | 10.69% | Signal | |
| 2015-08-21 | 2016-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-03-27 | 2015-08-21 | Completed | 100% | $13.24 | $13.09 | -1.13% | Signal | |
| 2014-11-05 | 2015-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-02-28 | 2014-11-05 | Completed | 100% | $12.64 | $13.24 | 4.64% | Signal | |
| 2013-02-26 | 2013-02-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |