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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.5% (compared to the benchmark's drawdown of -26.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.8%, compared to a Buy-and-Hold benchmark return of 15.5%. The strategy executed 5 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
CMDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 30.58% | 30.58% | 7.11% | 9.82% | 11.85% | 15.50% |
| Sharpe Ratio | 1.61 | 1.61 | 0.50 | 0.60 | 0.83 | 0.94 |
| Max Drawdown | -14.23% | -14.23% | -31.46% | -26.56% | -31.46% | -26.56% |
| % Time Invested | 100.0% | 100.0% | 69.8% | 100.0% | 72.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.8 | 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 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 | ||||||||
| 2024-09-11 | 2024-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2024-05-06 | 2024-09-11 | Completed | 100% | $42.06 | $39.77 | -5.49% | Signal | |
| 2023-12-08 | 2024-05-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.15% | Interest Income | |
| 2023-09-18 | 2023-12-08 | Completed | 100% | $42.74 | $39.55 | -7.51% | Signal | |
| 2023-05-12 | 2023-09-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.86% | Interest Income | |
| 2023-04-19 | 2023-05-12 | Completed | 100% | $42.31 | $40.23 | -4.97% | Stop | |
| 2022-09-09 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2022-07-28 | 2022-09-09 | Completed | 100% | $45.80 | $44.82 | -2.19% | Signal | |
| 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 | |