COMT
ISHARES GSCI COMMODITY DYNAMIC ROLL STRATEGY ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-02
Executive Summary
The quantitative backtest for COMT (ISHARES GSCI COMMODITY DYNAMIC ROLL STRATEGY ETF) using the Excess Return MMA* strategy in a Trading context generated a Compound Annual Growth Rate (CAGR) of 8.4% over the evaluated period. This compares to a Buy-and-Hold benchmark return of 6.4%. The strategy executed 85 total trades, experiencing a maximum drawdown of -22.1% (compared to the benchmark's drawdown of -41.3%).
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
Trading Style:
Strategy:
COMT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 43.11% | 58.16% | 12.16% | 15.08% | 9.09% | 9.58% | 8.43% | 6.37% |
| Sharpe Ratio | 1.98 | 2.26 | 0.76 | 0.67 | 0.68 | 0.48 | 0.65 | 0.32 |
| Max Drawdown | -8.02% | -8.02% | -22.07% | -29.00% | -22.07% | -39.22% | -22.07% | -41.27% |
| % Time Invested | 97.2% | 100.0% | 79.4% | 100.0% | 84.1% | 100.0% | 81.6% | 100.0% |
| Trades / Year | 7.0 | 0.0 | 7.8 | 0.0 | 7.6 | 0.0 | 7.7 | 0.0 |
Trade History
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-01-14 | Open | Open | 34% | $26.12 | $35.67 | 36.57% | Mark-to-Market |
| 2026-01-09 | Open | Open | 33% | $25.48 | $35.67 | 40.00% | Mark-to-Market |
| 2025-08-05 | Open | Open | 33% | $24.17 | $35.67 | 47.56% | Mark-to-Market |
| 2025-11-24 | 2026-01-14 | Interest | 34% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2025-12-04 | 2026-01-09 | Interest | 33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-11-11 | 2025-12-04 | Completed | 33% | $25.29 | $24.97 | -1.25% | Signal |
| 2025-10-02 | 2025-11-24 | Completed | 34% | $24.73 | $24.29 | -1.80% | Signal |
| 2025-10-20 | 2025-11-11 | Interest | 33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2025-09-09 | 2025-10-20 | Completed | 33% | $24.74 | $24.36 | -1.54% | Signal |
| 2025-09-10 | 2025-10-02 | Interest | 34% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-06-18 | 2025-09-10 | Completed | 34% | $25.54 | $24.64 | -3.52% | Signal |
| 2025-08-15 | 2025-09-09 | Interest | 33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-08-11 | 2025-08-15 | Completed | 33% | $24.13 | $23.96 | -0.69% | Signal |
| 2025-07-18 | 2025-08-11 | Interest | 33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-05-12 | 2025-08-05 | Interest | 33% | $1.00 | $1.01 | 1.00% | Interest Income |
| 2025-05-20 | 2025-07-18 | Completed | 33% | $23.34 | $24.69 | 5.80% | Signal |
| 2025-04-03 | 2025-06-18 | Interest | 34% | $1.00 | $1.01 | 0.89% | Interest Income |
| 2025-04-08 | 2025-05-20 | Interest | 33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2025-05-02 | 2025-05-12 | Completed | 33% | $22.73 | $23.45 | 3.18% | Signal |
| 2025-04-09 | 2025-05-02 | Interest | 33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-01-24 | 2025-04-09 | Completed | 33% | $24.56 | $21.59 | -12.12% | Stop |
| 2025-04-01 | 2025-04-08 | Completed | 33% | $24.62 | $22.62 | -8.14% | Stop |
| 2025-01-15 | 2025-04-03 | Completed | 34% | $24.69 | $23.69 | -4.04% | Signal |
| 2025-02-25 | 2025-04-01 | Interest | 33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2025-01-14 | 2025-02-25 | Completed | 33% | $24.52 | $24.29 | -0.95% | Signal |
| 2024-08-16 | 2025-01-24 | Interest | 33% | $1.00 | $1.02 | 1.79% | Interest Income |
| 2024-12-10 | 2025-01-15 | Interest | 34% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2024-12-18 | 2025-01-14 | Interest | 33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-12 | 2024-12-18 | Completed | 33% | $23.21 | $23.15 | -0.22% | Signal |
| 2024-11-04 | 2024-12-12 | Interest | 33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2024-10-25 | 2024-12-10 | Completed | 34% | $23.34 | $23.02 | -1.40% | Signal |
| 2024-10-02 | 2024-11-04 | Completed | 33% | $23.59 | $23.31 | -1.20% | Signal |
| 2024-06-13 | 2024-10-25 | Interest | 34% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2024-07-26 | 2024-10-02 | Interest | 33% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2024-04-08 | 2024-08-16 | Completed | 33% | $24.70 | $23.10 | -6.47% | Signal |
| 2024-07-02 | 2024-07-26 | Completed | 33% | $24.51 | $23.35 | -4.72% | Signal |
| 2024-05-09 | 2024-07-02 | Interest | 33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2024-02-27 | 2024-06-13 | Completed | 34% | $22.76 | $24.01 | 5.47% | Signal |
| 2024-04-01 | 2024-05-09 | Completed | 33% | $23.71 | $23.99 | 1.19% | Signal |
| 2023-12-07 | 2024-04-08 | Interest | 33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2024-03-07 | 2024-04-01 | Interest | 33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2024-01-29 | 2024-03-07 | Completed | 33% | $22.91 | $22.81 | -0.42% | Signal |
| 2023-11-08 | 2024-02-27 | Interest | 34% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2023-10-12 | 2024-01-29 | Interest | 33% | $1.00 | $1.01 | 1.23% | Interest Income |
| 2023-08-23 | 2023-12-07 | Completed | 33% | $23.34 | $21.97 | -5.87% | Stop |
| 2023-07-21 | 2023-11-08 | Completed | 34% | $23.13 | $23.03 | -0.44% | Signal |
| 2023-09-26 | 2023-10-12 | Completed | 33% | $24.50 | $23.77 | -2.99% | Signal |
| 2023-09-01 | 2023-09-26 | Interest | 33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-06-20 | 2023-09-01 | Completed | 33% | $22.26 | $24.13 | 8.39% | Signal |
| 2022-12-07 | 2023-08-23 | Interest | 33% | $1.00 | $1.03 | 2.59% | Interest Income |
| 2022-12-07 | 2023-07-21 | Interest | 34% | $1.00 | $1.02 | 2.21% | Interest Income |
| 2023-05-05 | 2023-06-20 | Interest | 33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2023-04-11 | 2023-05-05 | Completed | 33% | $23.16 | $21.62 | -6.64% | Stop |
| 2023-02-21 | 2023-04-11 | Interest | 33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2023-01-18 | 2023-02-21 | Completed | 33% | $23.91 | $23.13 | -3.27% | Signal |
| 2022-12-02 | 2023-01-18 | Interest | 33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2022-10-28 | 2022-12-07 | Completed | 34% | $24.49 | $22.99 | -6.14% | Stop |
| 2022-10-28 | 2022-12-07 | Completed | 33% | $24.49 | $22.99 | -6.14% | Stop |
| 2022-10-18 | 2022-12-02 | Completed | 33% | $24.09 | $24.23 | 0.56% | Signal |
| 2022-08-31 | 2022-10-28 | Interest | 33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2022-07-26 | 2022-10-28 | Interest | 34% | $1.00 | $1.01 | 0.89% | Interest Income |
| 2022-09-20 | 2022-10-18 | Interest | 33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-08-29 | 2022-09-20 | Completed | 33% | $25.76 | $23.95 | -7.03% | Signal |
| 2022-07-26 | 2022-08-31 | Completed | 33% | $25.37 | $25.00 | -1.44% | Signal |
| 2022-06-23 | 2022-08-29 | Interest | 33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2022-07-18 | 2022-07-26 | Completed | 34% | $25.32 | $25.37 | 0.18% | Signal |
| 2022-07-01 | 2022-07-26 | Interest | 33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-06-23 | 2022-07-18 | Interest | 34% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2022-04-01 | 2022-07-01 | Completed | 33% | $25.61 | $26.68 | 4.19% | Stop |
| 2022-04-01 | 2022-06-23 | Completed | 33% | $25.61 | $27.06 | 5.65% | Stop |
| 2022-04-01 | 2022-06-23 | Completed | 34% | $25.61 | $27.06 | 5.65% | Stop |
| 2022-03-10 | 2022-04-01 | Interest | 33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest | 34% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-03-10 | 2022-04-01 | Interest | 33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-01-24 | 2022-03-10 | Completed | 34% | $21.07 | $26.07 | 23.73% | Stop |
| 2021-12-29 | 2022-03-10 | Completed | 33% | $19.88 | $26.07 | 31.09% | Stop |
| 2021-12-23 | 2022-03-10 | Completed | 33% | $19.53 | $26.07 | 33.49% | Stop |
| 2021-12-01 | 2022-01-24 | Interest | 34% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2021-11-17 | 2021-12-29 | Interest | 33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2021-12-01 | 2021-12-23 | Interest | 33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2021-09-27 | 2021-12-01 | Completed | 34% | $19.47 | $18.80 | -3.41% | Stop |
| 2020-07-09 | 2021-12-01 | Completed | 33% | $13.19 | $18.80 | 42.52% | Stop |
| 2021-09-15 | 2021-11-17 | Completed | 33% | $19.06 | $20.28 | 6.42% | Signal |
| 2021-09-02 | 2021-09-27 | Interest | 34% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2021-08-23 | 2021-09-15 | Interest | 33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-12-03 | 2021-09-02 | Completed | 34% | $13.87 | $18.76 | 35.30% | Signal |
| 2021-04-28 | 2021-08-23 | Completed | 33% | $17.40 | $17.89 | 2.81% | Signal |
| 2021-04-06 | 2021-04-28 | Interest | 33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2020-11-24 | 2021-04-06 | Completed | 33% | $13.97 | $16.37 | 17.14% | Signal |
| 2020-10-20 | 2020-12-03 | Interest | 34% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2020-11-02 | 2020-11-24 | Interest | 33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-10-26 | 2020-11-02 | Completed | 33% | $13.49 | $13.17 | -2.37% | Signal |
| 2020-09-22 | 2020-10-26 | Interest | 33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-06-12 | 2020-10-20 | Completed | 34% | $12.67 | $13.61 | 7.44% | Signal |
| 2020-05-28 | 2020-09-22 | Completed | 33% | $12.42 | $13.61 | 9.55% | Signal |
| 2020-02-26 | 2020-07-09 | Interest | 33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2020-02-04 | 2020-06-12 | Interest | 34% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2020-05-05 | 2020-05-28 | Interest | 33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-04-22 | 2020-05-05 | Completed | 33% | $11.89 | $11.96 | 0.64% | Signal |
| 2020-01-29 | 2020-04-22 | Interest | 33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2019-12-05 | 2020-02-26 | Completed | 33% | $16.98 | $15.85 | -6.64% | Stop |
| 2019-10-18 | 2020-02-04 | Completed | 34% | $16.68 | $16.23 | -2.72% | Stop |
| 2019-12-30 | 2020-01-29 | Completed | 33% | $17.92 | $16.80 | -6.23% | Signal |
| 2019-12-05 | 2019-12-30 | Interest | 33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2019-11-06 | 2019-12-05 | Completed | 33% | $17.21 | $16.98 | -1.38% | Signal |
| 2019-07-10 | 2019-12-05 | Interest | 33% | $1.00 | $1.01 | 0.73% | Interest Income |
| 2019-10-15 | 2019-11-06 | Interest | 33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2019-08-22 | 2019-10-18 | Interest | 34% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-09-13 | 2019-10-15 | Completed | 33% | $16.72 | $16.62 | -0.62% | Signal |
| 2019-08-05 | 2019-09-13 | Interest | 33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2019-07-26 | 2019-08-22 | Completed | 34% | $17.12 | $16.41 | -4.19% | Signal |
| 2019-06-27 | 2019-08-05 | Completed | 33% | $17.42 | $16.46 | -5.54% | Signal |
| 2019-05-24 | 2019-07-26 | Interest | 34% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2019-04-12 | 2019-07-10 | Completed | 33% | $17.80 | $17.30 | -2.84% | Signal |
| 2019-05-08 | 2019-06-27 | Interest | 33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2019-02-19 | 2019-05-24 | Completed | 34% | $17.39 | $16.76 | -3.58% | Signal |
| 2019-01-18 | 2019-05-08 | Completed | 33% | $16.99 | $17.09 | 0.62% | Signal |
| 2018-09-13 | 2019-04-12 | Interest | 33% | $1.00 | $1.02 | 1.63% | Interest Income |
| 2018-11-19 | 2019-02-19 | Interest | 34% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2018-10-30 | 2019-01-18 | Interest | 33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2018-10-05 | 2018-11-19 | Completed | 34% | $19.06 | $17.30 | -9.24% | Signal |
| 2018-09-17 | 2018-10-30 | Completed | 33% | $18.13 | $17.77 | -1.95% | Signal |
| 2018-07-16 | 2018-10-05 | Interest | 34% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2018-08-17 | 2018-09-17 | Interest | 33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2017-07-03 | 2018-09-13 | Completed | 33% | $14.79 | $18.26 | 23.43% | Signal |
| 2018-08-13 | 2018-08-17 | Completed | 33% | $18.13 | $17.68 | -2.47% | Signal |
| 2018-06-18 | 2018-08-13 | Interest | 33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2018-04-23 | 2018-07-16 | Completed | 34% | $18.19 | $18.14 | -0.32% | Signal |
| 2018-03-14 | 2018-06-18 | Completed | 33% | $17.40 | $18.20 | 4.56% | Signal |
| 2018-03-22 | 2018-04-23 | Interest | 34% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2017-07-03 | 2018-03-22 | Completed | 34% | $14.79 | $17.47 | 18.13% | Signal |
| 2018-02-16 | 2018-03-14 | Interest | 33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2018-01-12 | 2018-02-16 | Completed | 33% | $17.79 | $17.20 | -3.31% | Signal |
| 2017-12-19 | 2018-01-12 | Interest | 33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2017-09-21 | 2017-12-19 | Completed | 33% | $15.72 | $16.58 | 5.49% | Signal |
| 2017-08-29 | 2017-09-21 | Interest | 33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2017-07-17 | 2017-08-29 | Completed | 33% | $14.95 | $15.15 | 1.33% | Signal |
| 2017-06-15 | 2017-07-17 | Interest | 33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2017-05-11 | 2017-07-03 | Interest | 33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2017-03-17 | 2017-07-03 | Interest | 34% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2017-06-01 | 2017-06-15 | Completed | 33% | $14.83 | $14.34 | -3.27% | Signal |
| 2017-05-08 | 2017-06-01 | Interest | 33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-12-20 | 2017-05-11 | Completed | 33% | $15.20 | $14.84 | -2.37% | Signal |
| 2017-04-12 | 2017-05-08 | Completed | 33% | $15.61 | $14.65 | -6.18% | Signal |
| 2017-02-27 | 2017-04-12 | Interest | 33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-09-29 | 2017-03-17 | Completed | 34% | $14.55 | $14.96 | 2.79% | Signal |
| 2016-12-06 | 2017-02-27 | Completed | 33% | $15.48 | $15.42 | -0.41% | Signal |
| 2016-11-28 | 2016-12-20 | Interest | 33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-11-11 | 2016-12-06 | Interest | 33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-11-10 | 2016-11-28 | Completed | 33% | $14.54 | $14.85 | 2.13% | Signal |
| 2016-10-10 | 2016-11-11 | Completed | 33% | $14.75 | $14.58 | -1.16% | Signal |
| 2016-10-19 | 2016-11-10 | Interest | 33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2016-04-28 | 2016-10-19 | Completed | 33% | $14.26 | $14.81 | 3.87% | Signal |
| 2016-09-16 | 2016-10-10 | Interest | 33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2016-08-12 | 2016-09-29 | Interest | 34% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2016-08-22 | 2016-09-16 | Completed | 33% | $14.88 | $13.94 | -6.36% | Signal |
| 2016-07-14 | 2016-08-22 | Interest | 33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-03-10 | 2016-08-12 | Completed | 34% | $12.97 | $14.27 | 10.00% | Signal |
| 2016-05-11 | 2016-07-14 | Completed | 33% | $13.84 | $14.65 | 5.91% | Signal |
| 2016-04-19 | 2016-05-11 | Interest | 33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2015-07-23 | 2016-04-28 | Interest | 33% | $1.00 | $1.02 | 1.58% | Interest Income |
| 2016-02-12 | 2016-04-19 | Completed | 33% | $11.67 | $13.58 | 16.40% | Signal |
| 2015-11-27 | 2016-03-10 | Interest | 34% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2015-11-10 | 2016-02-12 | Interest | 33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2015-11-05 | 2015-11-27 | Completed | 34% | $14.68 | $13.87 | -5.53% | Signal |
| 2015-11-04 | 2015-11-10 | Completed | 33% | $14.97 | $14.21 | -5.09% | Signal |
| 2015-07-02 | 2015-11-05 | Interest | 34% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2015-10-13 | 2015-11-04 | Interest | 33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2015-09-18 | 2015-10-13 | Completed | 33% | $14.78 | $15.08 | 2.00% | Signal |
| 2015-06-03 | 2015-09-18 | Interest | 33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2015-06-29 | 2015-07-23 | Completed | 33% | $17.40 | $16.02 | -7.95% | Signal |
| 2015-05-07 | 2015-07-02 | Completed | 34% | $18.50 | $17.45 | -5.64% | Signal |
| 2015-04-22 | 2015-06-29 | Interest | 33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2015-04-24 | 2015-06-03 | Completed | 33% | $18.08 | $17.92 | -0.88% | Signal |
| 2015-04-22 | 2015-05-07 | Interest | 34% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-04-22 | 2015-04-24 | Interest | 33% | $1.00 | $1.00 | 0.01% | Interest Income |
Return Distribution Analysis
