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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -44.3% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.8%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 11 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
COMT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 30.01% | 34.86% | 4.07% | 12.01% | 5.63% | 8.95% | 5.81% | 9.14% |
| Sharpe Ratio | 1.26 | 1.39 | 0.22 | 0.54 | 0.37 | 0.45 | 0.38 | 0.46 |
| Max Drawdown | -14.59% | -17.57% | -44.27% | -29.00% | -44.27% | -39.22% | -44.27% | -39.22% |
| % Time Invested | 93.7% | 100.0% | 65.2% | 100.0% | 62.8% | 100.0% | 64.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 1.1 | 0.0 | 1.1 | 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 | ||||||||
| 2025-05-16 | 2025-06-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2025-01-31 | 2025-05-16 | Completed | 100% | $24.15 | $23.25 | -3.77% | Signal | |
| 2024-09-12 | 2025-01-31 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.71% | Interest Income | |
| 2024-04-08 | 2024-09-12 | Completed | 100% | $24.70 | $22.18 | -10.27% | Signal | |
| 2024-01-03 | 2024-04-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.38% | Interest Income | |
| 2023-08-24 | 2024-01-03 | Completed | 100% | $23.40 | $22.11 | -5.59% | Signal | |
| 2022-12-07 | 2023-08-24 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.55% | Interest Income | |
| 2022-10-28 | 2022-12-07 | Completed | 100% | $24.49 | $22.99 | -6.19% | Stop | |
| 2022-09-28 | 2022-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2022-07-28 | 2022-09-28 | Completed | 100% | $25.71 | $22.89 | -10.99% | Signal | |
| 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 | |
| 2020-03-02 | 2020-07-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2019-12-13 | 2020-03-02 | Completed | 100% | $17.36 | $15.29 | -11.95% | Stop | |
| 2018-11-28 | 2019-12-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.24% | Interest Income | |
| 2017-09-18 | 2018-11-28 | Completed | 100% | $15.72 | $16.79 | 6.74% | Signal | |
| 2017-06-13 | 2017-09-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2016-11-14 | 2017-06-13 | Completed | 100% | $14.16 | $14.63 | 3.27% | Signal | |
| 2016-11-10 | 2016-11-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |