COMT
iShares GSCI Commodity Dynamic Roll Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.4% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.7%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 9 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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COMT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 21.47% | 34.86% | 6.44% | 12.01% | 7.50% | 8.95% | 7.73% | 9.14% |
| Sharpe Ratio | 1.10 | 1.39 | 0.37 | 0.54 | 0.50 | 0.45 | 0.51 | 0.46 |
| Max Drawdown | -14.59% | -17.57% | -37.39% | -29.00% | -37.39% | -39.22% | -37.39% | -39.22% |
| % Time Invested | 39.3% | 100.0% | 48.0% | 100.0% | 58.8% | 100.0% | 60.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 0.9 | 0.0 | 0.9 | 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 | ||||||||
| 2024-06-04 | 2026-02-09 | Interest (CASH) | 100% | $1.00 | $1.08 | 7.53% | Interest Income | |
| 2024-04-08 | 2024-06-04 | Completed | 100% | $24.70 | $23.30 | -5.73% | Stop | |
| 2023-08-07 | 2024-04-08 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.64% | Interest Income | |
| 2023-04-06 | 2023-08-07 | Completed | 100% | $23.18 | $23.86 | 2.85% | Signal | |
| 2023-03-15 | 2023-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-07-28 | 2023-03-15 | Completed | 100% | $25.71 | $21.71 | -15.58% | Stop | |
| 2022-07-06 | 2022-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2022-04-07 | 2022-07-06 | Completed | 100% | $25.62 | $24.64 | -3.86% | Stop | |
| 2022-03-16 | 2022-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-07-09 | 2022-03-16 | Completed | 100% | $13.19 | $24.57 | 86.12% | Stop | |
| 2020-02-03 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2019-12-13 | 2020-02-03 | Completed | 100% | $17.36 | $16.25 | -6.39% | Stop | |
| 2019-07-30 | 2019-12-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2019-01-14 | 2019-07-30 | Completed | 100% | $16.68 | $17.12 | 2.61% | Signal | |
| 2018-12-19 | 2019-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-03-17 | 2018-12-19 | Completed | 100% | $14.96 | $16.32 | 9.07% | Stop | |
| 2016-11-10 | 2017-03-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |