COMB
Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for COMB (Graniteshares Bloomberg Commodity Broad Strategy No K-1 ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.2% (compared to the benchmark's drawdown of -27.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.3%, compared to a Buy-and-Hold benchmark return of 11.9%. The strategy executed 5 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for COMB:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for COMB:
🛡️ Long-Term Investing Active Horizon
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
🛡️ COMB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-34.2% (vs -27.3% B&H)
-6.9% shallower drawdown
Sortino Ratio
0.71
vs 0.89 B&H
Capital Sheltered from Risk
40.7% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 COMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -14.84% | -14.84% | -34.17% | -26.63% | -34.17% | -27.31% |
| Sharpe Ratio | 2.05 | 2.05 | 0.51 | 0.67 | 0.71 | 0.69 |
| Sortino Ratio | 2.80 | 2.80 | 0.52 | 0.89 | 0.71 | 0.89 |
| CAGR | 45.37% | 45.37% | 7.73% | 11.83% | 10.30% | 11.87% |
| % Time Invested | 100.0% | 100.0% | 60.0% | 100.0% | 59.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2025-04-09 | 2025-08-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income | |
| 2025-01-16 | 2025-04-09 | Completed | 100% | $19.35 | $18.19 | -6.03% | Stop | |
| 2023-06-29 | 2025-01-16 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.26% | Interest Income | |
| 2023-04-03 | 2023-06-29 | Completed | 100% | $18.19 | $17.19 | -5.58% | Signal | |
| 2023-03-10 | 2023-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-07-28 | 2023-03-10 | Completed | 100% | $20.29 | $17.70 | -12.77% | 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% | $11.24 | $18.66 | 65.86% | Stop | |
| 2020-04-22 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-14 | 2020-04-22 | Completed | 100% | $10.72 | $10.10 | -5.89% | Stop | |
| 2019-08-12 | 2020-04-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income | |