EAGG iShares ESG Aware U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for EAGG (iShares ESG Aware U.S. Aggregate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.5% (compared to the benchmark's drawdown of -18.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.5%, compared to a Buy-and-Hold benchmark return of -0.2%. The strategy executed 12 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
EAGG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.05% | 5.24% | 3.15% | 0.11% | 2.53% | -0.24% |
| Sharpe Ratio | 1.61 | 1.35 | 1.15 | 0.02 | 0.93 | -0.04 |
| Max Drawdown | -1.99% | -2.75% | -4.45% | -17.97% | -4.45% | -18.25% |
| % Time Invested | 100.0% | 100.0% | 66.5% | 100.0% | 70.1% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.1 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-11-13 | Open | Open | 33.33% | $47.09 | $47.46 | 0.78% | Mark-to-Market |
| 2025-06-27 | Open | Open | 33.33% | $45.70 | $47.46 | 3.84% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-11 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2025-08-21 | 2026-03-11 | Completed | 33.33% | $46.03 | $47.54 | 3.29% | Signal |
| 2025-10-07 | 2025-11-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2024-08-05 | 2025-10-07 | Completed | 33.33% | $45.13 | $46.85 | 3.82% | Signal |
| 2025-07-28 | 2025-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2025-04-29 | 2025-07-28 | Completed | 33.33% | $45.35 | $45.60 | 0.57% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-19 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.51% | Interest Income |
| 2024-04-22 | 2025-03-17 | Completed | 33.33% | $42.20 | $45.09 | 6.84% | Signal |
| 2024-08-05 | 2024-12-19 | Completed | 33.33% | $45.13 | $44.01 | -2.49% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-07 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-23 | 2024-05-07 | Completed | 33.33% | $43.00 | $42.86 | -0.32% | Signal |
| 2023-06-02 | 2024-04-22 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.21% | Interest Income |
| 2023-05-18 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-18 | Completed | 33.33% | $42.01 | $42.35 | 0.81% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-14 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-15 | 2022-02-14 | Completed | 33.33% | $47.54 | $45.73 | -3.80% | Signal |
| 2021-12-17 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-10-19 | 2021-12-17 | Completed | 33.33% | $48.07 | $47.71 | -0.73% | Signal |
| 2021-07-23 | 2021-11-30 | Completed | 33.33% | $47.94 | $47.72 | -0.47% | Signal |
| 2021-09-02 | 2021-10-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-19 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-12-09 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2020-10-19 | 2021-03-19 | Completed | 33.33% | $48.07 | $46.62 | -3.01% | Signal |
| 2020-10-19 | 2020-12-09 | Completed | 33.33% | $48.07 | $48.10 | 0.07% | Signal |
| 2020-10-15 | 2020-10-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-10-15 | 2020-10-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-10-15 | 2020-10-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |