CGCP Capital Group Core Plus Income ETF Share Class
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for CGCP (Capital Group Core Plus Income ETF Share Class) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -3.7% (compared to the benchmark's drawdown of -4.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.1%, compared to a Buy-and-Hold benchmark return of 5.4%. The strategy executed 5 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.
CGCP Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 5.27% | 6.13% | 4.06% | 5.41% |
| Sharpe Ratio | 1.63 | 1.61 | 1.20 | 1.18 |
| Max Drawdown | -2.32% | -2.59% | -3.74% | -4.24% |
| % Time Invested | 100.0% | 100.0% | 99.8% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.2 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-06-27 | Open | Open | 33.33% | $21.38 | $22.33 | 4.45% | Mark-to-Market |
| 2024-09-27 | Open | Open | 33.33% | $21.25 | $22.33 | 5.09% | 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 |
| 2025-06-27 | 2026-03-20 | Completed | 33.33% | $21.38 | $22.11 | 3.41% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-03 | Completed | 33.33% | $20.98 | $21.07 | 0.40% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-12-24 | 2025-05-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2025-03-26 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2024-03-28 | 2025-03-26 | Completed | 33.33% | $20.00 | $21.08 | 5.39% | Signal |
| 2024-08-06 | 2024-12-24 | Completed | 33.33% | $20.83 | $20.57 | -1.25% | Signal |
| 2024-08-02 | 2024-09-27 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income |
| 2024-08-02 | 2024-08-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-14 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2024-02-20 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.88% | Interest Income |
| 2024-02-22 | 2024-05-14 | Completed | 33.33% | $19.85 | $19.97 | 0.59% | Signal |
| 2024-02-20 | 2024-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income |
| 2024-02-20 | 2024-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |