CB
Chubb Ltd
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CB (Chubb Ltd) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.2% (compared to the benchmark's drawdown of -64.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.2%, compared to a Buy-and-Hold benchmark return of 15.0%. The strategy executed 32 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
CB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.69% | 33.99% | 9.06% | 18.03% | 6.63% | 12.85% | 10.23% | 14.98% |
| Sharpe Ratio | 1.33 | 1.55 | 0.50 | 0.82 | 0.39 | 0.51 | 0.50 | 0.45 |
| Max Drawdown | -9.36% | -9.36% | -24.42% | -19.26% | -24.42% | -42.59% | -37.16% | -64.24% |
| % Time Invested | 71.8% | 100.0% | 74.3% | 100.0% | 71.2% | 100.0% | 70.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 0.0 | 1.0 | 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 | ||||||||
| 2025-08-12 | 2025-11-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2025-03-21 | 2025-08-12 | Completed | 100% | $290.30 | $270.06 | -7.02% | Signal | |
| 2025-02-18 | 2025-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-02-05 | 2025-02-18 | Completed | 100% | $270.33 | $261.49 | -3.32% | Signal | |
| 2025-01-13 | 2025-02-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-09-15 | 2025-01-13 | Completed | 100% | $205.18 | $253.76 | 23.61% | Stop | |
| 2023-04-19 | 2023-09-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.18% | Interest Income | |
| 2023-04-05 | 2023-04-19 | Completed | 100% | $187.02 | $196.32 | 4.92% | Signal | |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-11-25 | 2023-03-14 | Completed | 100% | $205.22 | $187.43 | -8.71% | Stop | |
| 2022-07-15 | 2022-11-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2020-11-16 | 2022-07-15 | Completed | 100% | $140.42 | $176.34 | 25.52% | Stop | |
| 2020-03-09 | 2020-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2019-03-06 | 2020-03-09 | Completed | 100% | $118.08 | $122.51 | 3.70% | Stop | |
| 2018-08-16 | 2019-03-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.26% | Interest Income | |
| 2018-07-31 | 2018-08-16 | Completed | 100% | $122.60 | $116.54 | -5.00% | Stop | |
| 2018-03-26 | 2018-07-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2015-11-17 | 2018-03-26 | Completed | 100% | $93.75 | $117.84 | 25.63% | Signal | |
| 2015-06-04 | 2015-11-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-11-07 | 2015-06-04 | Completed | 100% | $53.71 | $86.39 | 60.77% | Signal | |
| 2011-09-21 | 2011-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-08-05 | 2011-09-21 | Completed | 100% | $35.96 | $46.90 | 30.36% | Signal | |
| 2008-07-11 | 2009-08-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2008-05-30 | 2008-07-11 | Completed | 100% | $41.59 | $34.92 | -16.08% | Stop | |
| 2008-02-26 | 2008-05-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2007-10-16 | 2008-02-26 | Completed | 100% | $42.65 | $40.02 | -6.22% | Signal | |
| 2007-09-14 | 2007-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2007-08-29 | 2007-09-14 | Completed | 100% | $38.94 | $39.32 | 0.91% | Signal | |
| 2007-08-07 | 2007-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2006-09-28 | 2007-08-07 | Completed | 100% | $36.84 | $39.29 | 6.58% | Stop | |
| 2006-06-15 | 2006-09-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.43% | 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 | |
| 2005-01-10 | 2005-04-04 | Completed | 100% | $27.43 | $26.17 | -4.64% | Stop | |
| 2004-07-26 | 2005-01-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2003-08-19 | 2004-07-26 | Completed | 100% | $20.90 | $25.41 | 21.49% | Stop | |
| 2003-07-28 | 2003-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2003-03-24 | 2003-07-28 | Completed | 100% | $18.72 | $20.27 | 8.24% | Stop | |
| 2002-08-06 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2002-08-02 | 2002-08-06 | Completed | 100% | $19.66 | $19.11 | -2.87% | Stop | |
| 2002-06-18 | 2002-08-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2002-05-28 | 2002-06-18 | Completed | 100% | $21.80 | $20.59 | -5.62% | Signal | |
| 2002-05-03 | 2002-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2001-12-03 | 2002-05-03 | Completed | 100% | $22.95 | $22.38 | -2.51% | Stop | |
| 2001-08-01 | 2001-12-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2001-07-09 | 2001-08-01 | Completed | 100% | $22.87 | $21.18 | -7.45% | Signal | |
| 2001-03-22 | 2001-07-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | 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 | |
| 2000-11-02 | 2000-12-18 | Completed | 100% | $23.86 | $23.34 | -2.24% | Stop | |
| 2000-10-11 | 2000-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2000-05-01 | 2000-10-11 | Completed | 100% | $14.47 | $20.35 | 40.57% | Stop | |
| 1999-06-11 | 2000-05-01 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.65% | Interest Income | |
| 1999-05-17 | 1999-06-11 | Completed | 100% | $19.48 | $16.28 | -16.43% | Stop | |
| 1998-09-22 | 1999-05-17 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.86% | Interest Income | |
| 1998-08-28 | 1998-09-22 | Completed | 100% | $17.76 | $17.40 | -2.07% | Signal | |
| 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 | |
| 1995-06-07 | 1996-05-09 | Completed | 100% | $4.67 | $7.87 | 68.52% | Stop | |
| 1995-06-05 | 1995-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |