CMDY iShares Bloomberg Roll Select Commodity Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for CMDY (iShares Bloomberg Roll Select Commodity Strategy ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -9.5% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 16.3%, compared to a Buy-and-Hold benchmark return of 16.1%. The strategy executed 29 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.
CMDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 34.82% | 37.49% | 12.21% | 10.50% | 16.26% | 16.09% |
| Sharpe Ratio | 1.97 | 1.97 | 1.01 | 0.63 | 1.31 | 0.97 |
| Max Drawdown | -7.10% | -7.73% | -9.48% | -26.56% | -9.48% | -26.56% |
| % Time Invested | 100.0% | 100.0% | 80.1% | 100.0% | 80.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 5.2 | 0.0 | 4.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-02-25 | Open | Open | 33.33% | $53.90 | $60.36 | 11.99% | Mark-to-Market |
| 2026-02-25 | Open | Open | 33.33% | $53.90 | $60.36 | 11.99% | Mark-to-Market |
| 2025-08-27 | Open | Open | 33.33% | $44.78 | $60.36 | 34.80% | Mark-to-Market |
| 2026-02-02 | 2026-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2026-02-02 | 2026-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2025-05-12 | 2026-02-02 | Completed | 33.33% | $44.68 | $51.93 | 16.22% | Stop |
| 2025-04-30 | 2026-02-02 | Completed | 33.33% | $43.74 | $51.93 | 18.72% | Stop |
| 2025-06-27 | 2025-08-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income |
| 2024-12-06 | 2025-06-27 | Completed | 33.33% | $41.44 | $44.75 | 7.99% | Signal |
| 2025-05-02 | 2025-05-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-10-02 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.77% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-02-25 | 2025-04-07 | Completed | 33.33% | $45.29 | $42.73 | -5.67% | Stop |
| 2024-11-15 | 2025-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income |
| 2024-10-02 | 2024-12-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2024-08-15 | 2024-11-15 | Completed | 33.33% | $40.43 | $40.98 | 1.34% | Signal |
| 2024-08-26 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2024-08-02 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2024-05-08 | 2024-08-26 | Completed | 33.33% | $41.95 | $41.07 | -2.10% | Signal |
| 2024-08-02 | 2024-08-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2023-07-06 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 7.26% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2023-12-05 | 2024-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.15% | Interest Income |
| 2023-09-12 | 2023-12-05 | Completed | 33.33% | $42.41 | $40.34 | -4.88% | Signal |
| 2023-06-02 | 2023-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.95% | Interest Income |
| 2023-05-26 | 2023-07-06 | Completed | 33.33% | $39.67 | $40.25 | 1.47% | Signal |
| 2023-05-12 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-05-12 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-05-04 | 2023-05-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-04-19 | 2023-05-12 | Completed | 33.33% | $42.31 | $40.23 | -4.93% | Stop |
| 2023-04-19 | 2023-05-12 | Completed | 33.33% | $42.31 | $40.23 | -4.93% | Stop |
| 2023-04-03 | 2023-05-04 | Completed | 33.33% | $42.06 | $40.19 | -4.46% | Stop |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-03-10 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $0.99 | -0.59% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-01-30 | 2023-03-10 | Completed | 33.33% | $43.32 | $41.09 | -5.13% | Stop |
| 2023-01-05 | 2023-01-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2022-09-30 | 2023-01-05 | Completed | 33.33% | $43.05 | $42.25 | -1.86% | Stop |
| 2022-11-25 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-30 | 2022-11-25 | Completed | 33.33% | $43.05 | $45.05 | 4.64% | Signal |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-08 | 2022-09-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-09-08 | 2022-09-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-07-14 | 2022-09-08 | Completed | 33.33% | $42.75 | $44.36 | 3.78% | Stop |
| 2022-07-14 | 2022-09-08 | Completed | 33.33% | $42.75 | $44.36 | 3.78% | Stop |
| 2022-08-19 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-07-19 | 2022-08-19 | Completed | 33.33% | $43.94 | $45.76 | 4.16% | Signal |
| 2022-06-24 | 2022-07-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-04-07 | 2022-06-24 | Completed | 33.33% | $48.12 | $46.45 | -3.47% | Stop |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $50.27 | $48.74 | -3.04% | Stop |
| 2022-05-18 | 2022-06-21 | Completed | 33.33% | $50.27 | $48.74 | -3.04% | Stop |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-26 | 2022-05-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $47.69 | $49.32 | 3.42% | Stop |
| 2022-04-01 | 2022-04-26 | Completed | 33.33% | $47.69 | $49.32 | 3.42% | Stop |
| 2022-03-16 | 2022-04-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-09 | 2022-03-16 | Completed | 33.33% | $26.31 | $46.27 | 75.87% | Stop |
| 2021-12-22 | 2022-03-10 | Completed | 33.33% | $38.17 | $48.32 | 26.60% | Stop |
| 2021-12-22 | 2022-03-10 | Completed | 33.33% | $38.17 | $48.32 | 26.60% | Stop |
| 2021-11-30 | 2021-12-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-11-30 | 2021-12-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-09-15 | 2021-11-30 | Completed | 33.33% | $38.77 | $37.59 | -3.05% | Stop |
| 2021-09-15 | 2021-11-30 | Completed | 33.33% | $38.77 | $37.59 | -3.05% | Stop |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-08-23 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $26.31 | $36.38 | 38.28% | Stop |
| 2020-07-09 | 2021-08-23 | Completed | 33.33% | $26.31 | $36.38 | 38.28% | Stop |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-05-01 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-05-01 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-05-01 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |