CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CMDY (iShares Bloomberg Roll Select Commodity Strategy ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.4% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.4%, compared to a Buy-and-Hold benchmark return of 15.5%. The strategy executed 3 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.
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CMDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 30.58% | 30.58% | 7.80% | 9.82% | 12.43% | 15.50% |
| Sharpe Ratio | 1.61 | 1.61 | 0.56 | 0.60 | 0.88 | 0.94 |
| Max Drawdown | -14.23% | -14.23% | -28.37% | -26.56% | -28.37% | -26.56% |
| % Time Invested | 100.0% | 100.0% | 57.6% | 100.0% | 63.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2023-06-23 | 2025-06-23 | Interest (CASH) | 100% | $1.00 | $1.10 | 10.32% | Interest Income | |
| 2023-06-06 | 2023-06-23 | Completed | 100% | $39.60 | $40.13 | 1.28% | Signal | |
| 2023-05-12 | 2023-06-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2022-07-28 | 2023-05-12 | Completed | 100% | $45.80 | $40.23 | -12.20% | Stop | |
| 2022-07-06 | 2022-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2020-07-09 | 2022-07-06 | Completed | 100% | $26.31 | $43.00 | 63.38% | Stop | |
| 2020-05-01 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |