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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -29.8% (compared to the benchmark's drawdown of -28.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 4.4%. The strategy executed 13 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.
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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% | 0.29% | 1.55% | 0.19% | 2.80% | 1.95% | 4.38% |
| Sharpe Ratio | 1.33 | 1.33 | 0.04 | 0.16 | 0.03 | 0.28 | 0.29 | 0.48 |
| Max Drawdown | -4.51% | -4.51% | -20.14% | -28.74% | -29.80% | -28.74% | -29.80% | -28.74% |
| % Time Invested | 100.0% | 100.0% | 77.8% | 100.0% | 73.3% | 100.0% | 75.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.8 | 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 | ||||||||
| 2023-10-11 | 2023-12-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.01% | Interest Income | |
| 2023-01-18 | 2023-10-11 | Completed | 100% | $74.33 | $70.87 | -4.70% | Signal | |
| 2022-09-27 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.26% | 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 | |
| 2021-11-29 | 2022-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2021-06-10 | 2021-11-29 | Completed | 100% | $87.36 | $84.41 | -3.43% | Signal | |
| 2021-04-08 | 2021-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-07-21 | 2021-04-08 | Completed | 100% | $83.99 | $84.64 | 0.72% | Signal | |
| 2020-03-13 | 2020-07-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2019-01-25 | 2020-03-13 | Completed | 100% | $75.63 | $74.01 | -2.20% | Stop | |
| 2018-03-21 | 2019-01-25 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.78% | Interest Income | |
| 2017-03-06 | 2018-03-21 | Completed | 100% | $72.32 | $74.52 | 2.98% | Signal | |
| 2016-12-27 | 2017-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2016-03-21 | 2016-12-27 | Completed | 100% | $67.22 | $69.72 | 3.68% | Signal | |
| 2015-12-22 | 2016-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-10-13 | 2015-12-22 | Completed | 100% | $64.71 | $63.68 | -1.64% | Signal | |
| 2015-07-31 | 2015-10-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-04-06 | 2015-07-31 | Completed | 100% | $65.86 | $64.70 | -1.82% | Signal | |
| 2015-01-08 | 2015-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-01-21 | 2015-01-08 | Completed | 100% | $60.23 | $63.57 | 5.50% | Signal | |
| 2013-06-12 | 2014-01-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2011-05-16 | 2013-06-12 | Completed | 100% | $53.16 | $59.56 | 11.98% | Signal | |
| 2011-03-10 | 2011-05-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-14 | 2011-03-10 | Completed | 100% | $46.52 | $51.71 | 11.11% | Signal | |
| 2009-12-10 | 2009-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |