EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for EMB (iShares J.P. Morgan USD Emerging Markets Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -29.7% (compared to the benchmark's drawdown of -28.7%). 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 4.4%. The strategy executed 8 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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EMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 7.76% | 7.76% | -1.14% | 1.55% | 1.26% | 2.80% | 2.51% | 4.38% |
| Sharpe Ratio | 1.33 | 1.33 | -0.17 | 0.16 | 0.17 | 0.28 | 0.34 | 0.48 |
| Max Drawdown | -4.51% | -4.51% | -29.71% | -28.74% | -29.71% | -28.74% | -29.71% | -28.74% |
| % Time Invested | 100.0% | 100.0% | 63.7% | 100.0% | 78.8% | 100.0% | 84.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.5 | 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 | ||||||||
| 2022-09-27 | 2024-04-19 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.07% | Interest Income | |
| 2022-07-26 | 2022-09-27 | Completed | 100% | $69.77 | $65.95 | -5.52% | Stop | |
| 2022-06-14 | 2022-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-31 | 2022-06-14 | Completed | 100% | $73.97 | $69.52 | -6.07% | Stop | |
| 2022-05-02 | 2022-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2022-03-29 | 2022-05-02 | Completed | 100% | $78.18 | $73.15 | -6.49% | Signal | |
| 2022-03-07 | 2022-03-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-06 | 2022-03-07 | Completed | 100% | $72.06 | $75.77 | 5.10% | Stop | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-25 | 2020-03-13 | Completed | 100% | $75.63 | $74.01 | -2.20% | Stop | |
| 2018-10-25 | 2019-01-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2014-06-03 | 2018-10-25 | Completed | 100% | $64.63 | $72.17 | 11.61% | Signal | |
| 2014-01-31 | 2014-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-07-18 | 2014-01-31 | Completed | 100% | $60.09 | $59.12 | -1.65% | Signal | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-12-14 | 2013-06-25 | Completed | 100% | $46.52 | $56.76 | 21.96% | Stop | |
| 2009-12-10 | 2009-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |