CB
Chubb Ltd
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CB (Chubb Ltd) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -67.3% (compared to the benchmark's drawdown of -64.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.8%, compared to a Buy-and-Hold benchmark return of 15.0%. The strategy executed 36 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
CB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 33.99% | 33.99% | 15.96% | 18.03% | 8.63% | 12.85% | 7.81% | 14.98% |
| Sharpe Ratio | 1.55 | 1.55 | 0.75 | 0.82 | 0.43 | 0.51 | 0.36 | 0.45 |
| Max Drawdown | -9.36% | -9.36% | -19.28% | -19.26% | -27.54% | -42.59% | -67.33% | -64.24% |
| % Time Invested | 100.0% | 100.0% | 94.9% | 100.0% | 85.3% | 100.0% | 78.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.8 | 0.0 | 1.2 | 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 | ||||||||
| 2025-01-13 | 2025-02-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-03 | 2025-01-13 | Completed | 100% | $223.24 | $253.76 | 13.61% | Stop | |
| 2023-12-08 | 2024-01-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-04-05 | 2023-12-08 | Completed | 100% | $187.02 | $216.39 | 15.65% | Signal | |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-08-08 | 2023-03-14 | Completed | 100% | $176.89 | $187.43 | 5.90% | Stop | |
| 2022-07-15 | 2022-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2021-04-30 | 2022-07-15 | Completed | 100% | $157.26 | $176.34 | 12.08% | Stop | |
| 2020-09-14 | 2021-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-05-18 | 2020-09-14 | Completed | 100% | $94.55 | $111.33 | 17.68% | Stop | |
| 2020-04-24 | 2020-05-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-31 | 2020-04-24 | Completed | 100% | $102.48 | $95.39 | -6.96% | Stop | |
| 2020-03-09 | 2020-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-04-01 | 2020-03-09 | Completed | 100% | $125.14 | $122.51 | -2.16% | Stop | |
| 2018-11-05 | 2019-04-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2018-04-25 | 2018-11-05 | Completed | 100% | $119.71 | $112.11 | -6.40% | Signal | |
| 2018-04-03 | 2018-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2015-09-17 | 2018-04-03 | Completed | 100% | $83.60 | $116.17 | 38.88% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-08-25 | Completed | 100% | $53.50 | $85.61 | 59.95% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-03-25 | 2011-10-05 | Completed | 100% | $38.28 | $44.69 | 16.68% | Stop | |
| 2009-11-20 | 2010-03-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-10-02 | 2009-11-20 | Completed | 100% | $38.05 | $35.71 | -6.19% | Stop | |
| 2008-07-11 | 2009-10-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2008-04-01 | 2008-07-11 | Completed | 100% | $37.56 | $34.92 | -7.08% | Stop | |
| 2008-03-07 | 2008-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2007-08-29 | 2008-03-07 | Completed | 100% | $38.94 | $37.22 | -4.48% | Stop | |
| 2007-08-07 | 2007-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2006-07-10 | 2007-08-07 | Completed | 100% | $33.32 | $39.29 | 17.83% | Stop | |
| 2006-06-15 | 2006-07-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-04-26 | 2006-06-15 | Completed | 100% | $26.00 | $32.62 | 25.41% | Stop | |
| 2005-04-04 | 2005-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2004-11-08 | 2005-04-04 | Completed | 100% | $25.35 | $26.17 | 3.16% | Stop | |
| 2004-10-15 | 2004-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2004-08-17 | 2004-10-15 | Completed | 100% | $25.18 | $22.95 | -8.90% | Stop | |
| 2004-07-26 | 2004-08-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2003-03-24 | 2004-07-26 | Completed | 100% | $18.72 | $25.41 | 35.66% | Stop | |
| 2002-10-15 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2002-09-25 | 2002-10-15 | Completed | 100% | $18.60 | $19.84 | 6.61% | Signal | |
| 2002-08-06 | 2002-09-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2002-08-02 | 2002-08-06 | Completed | 100% | $19.66 | $19.11 | -2.87% | Stop | |
| 2002-06-28 | 2002-08-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2002-05-28 | 2002-06-28 | Completed | 100% | $21.80 | $18.74 | -14.08% | Stop | |
| 2002-05-03 | 2002-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-10-10 | 2002-05-03 | Completed | 100% | $21.92 | $22.38 | 2.07% | Stop | |
| 2001-09-18 | 2001-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2001-08-13 | 2001-09-18 | Completed | 100% | $21.48 | $17.25 | -19.72% | Stop | |
| 2001-07-20 | 2001-08-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2001-04-16 | 2001-07-20 | Completed | 100% | $19.37 | $20.54 | 5.97% | Stop | |
| 2001-03-22 | 2001-04-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2001-01-11 | 2001-03-22 | Completed | 100% | $21.61 | $20.41 | -5.60% | Stop | |
| 2000-12-18 | 2001-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2000-10-31 | 2000-12-18 | Completed | 100% | $24.31 | $23.34 | -4.05% | Stop | |
| 1999-06-02 | 2000-10-31 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.00% | Interest Income | |
| 1999-05-10 | 1999-06-02 | Completed | 100% | $18.28 | $17.37 | -5.01% | Stop | |
| 1999-04-16 | 1999-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 1999-02-22 | 1999-04-16 | Completed | 100% | $16.71 | $16.21 | -3.02% | Stop | |
| 1999-01-28 | 1999-02-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 1999-01-06 | 1999-01-28 | Completed | 100% | $18.91 | $15.73 | -16.87% | Stop | |
| 1998-12-11 | 1999-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 1998-10-29 | 1998-12-11 | Completed | 100% | $19.15 | $16.96 | -11.45% | Stop | |
| 1998-10-07 | 1998-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 1998-08-28 | 1998-10-07 | Completed | 100% | $17.76 | $15.58 | -12.35% | Stop | |
| 1998-08-06 | 1998-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 1998-05-19 | 1998-08-06 | Completed | 100% | $21.09 | $20.13 | -4.59% | Stop | |
| 1998-04-27 | 1998-05-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1996-08-08 | 1998-04-27 | Completed | 100% | $8.63 | $20.34 | 135.58% | Stop | |
| 1996-07-17 | 1996-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 1996-06-03 | 1996-07-17 | Completed | 100% | $9.15 | $8.07 | -11.93% | Stop | |
| 1996-05-09 | 1996-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 1995-09-11 | 1996-05-09 | Completed | 100% | $6.15 | $7.87 | 28.00% | Stop | |
| 1995-06-05 | 1995-09-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.46% | Interest Income | |