FLOT iShares Floating Rate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for FLOT (iShares Floating Rate 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 -9.6% (compared to the benchmark's drawdown of -13.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.1%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 17 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.
FLOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.85% | 4.88% | 4.08% | 4.18% | 2.57% | 3.02% | 2.07% | 2.42% |
| Sharpe Ratio | 6.47 | 6.50 | 2.56 | 2.31 | 0.87 | 0.71 | 0.80 | 0.65 |
| Max Drawdown | -0.43% | -0.43% | -2.37% | -2.37% | -9.58% | -13.54% | -9.58% | -13.54% |
| % Time Invested | 100.0% | 100.0% | 88.1% | 100.0% | 92.4% | 100.0% | 92.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 1.1 | 0.0 | 1.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-07-01 | Open | Open | 33.33% | $48.94 | $51.04 | 4.28% | Mark-to-Market |
| 2023-06-05 | Open | Open | 33.33% | $43.33 | $51.04 | 17.80% | Mark-to-Market |
| 2023-04-28 | Open | Open | 33.33% | $42.98 | $51.04 | 18.77% | Mark-to-Market |
| 2025-06-03 | 2025-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2025-05-14 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-07-06 | 2025-05-14 | Completed | 33.33% | $43.53 | $48.57 | 11.59% | Signal |
| 2023-06-12 | 2023-07-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-01-23 | 2023-06-12 | Completed | 33.33% | $42.36 | $43.39 | 2.43% | Signal |
| 2023-06-02 | 2023-06-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 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 |
| 2022-12-28 | 2023-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2022-11-30 | 2022-12-28 | Completed | 33.33% | $41.88 | $42.10 | 0.52% | Signal |
| 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 | 2022-11-30 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.50% | 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 |
| 2022-05-20 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2022-03-11 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2020-04-06 | 2022-05-20 | Completed | 33.33% | $39.86 | $41.45 | 4.01% | Signal |
| 2020-04-08 | 2022-03-11 | Completed | 33.33% | $40.02 | $41.47 | 3.63% | Signal |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-08 | 2022-01-04 | Completed | 33.33% | $40.02 | $41.62 | 4.01% | Signal |
| 2020-03-13 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-13 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.78 | $38.48 | -3.27% | Stop |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.78 | $38.48 | -3.27% | Stop |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.78 | $38.48 | -3.27% | Stop |
| 2018-12-12 | 2019-01-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2018-12-07 | 2019-01-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2018-12-04 | 2019-01-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2016-06-22 | 2018-12-12 | Completed | 33.33% | $37.95 | $39.40 | 3.83% | Signal |
| 2016-05-16 | 2018-12-07 | Completed | 33.33% | $37.87 | $39.36 | 3.93% | Signal |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-07-24 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2016-09-26 | 2018-07-24 | Completed | 33.33% | $38.17 | $39.49 | 3.45% | Signal |
| 2016-04-04 | 2016-09-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2016-04-04 | 2016-06-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2016-04-04 | 2016-05-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-05 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-06-14 | 2016-02-05 | Completed | 33.33% | $37.43 | $37.68 | 0.69% | Signal |
| 2015-12-01 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-06-23 | 2015-12-01 | Completed | 33.33% | $37.77 | $37.72 | -0.12% | Signal |
| 2015-09-16 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-04-17 | 2015-09-16 | Completed | 33.33% | $37.73 | $37.73 | 0.01% | Signal |
| 2015-03-10 | 2015-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2015-03-03 | 2015-04-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2013-06-14 | 2015-03-10 | Completed | 33.33% | $37.43 | $37.75 | 0.86% | Signal |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2014-12-18 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2013-06-14 | 2014-12-18 | Completed | 33.33% | $37.43 | $37.65 | 0.59% | Signal |
| 2013-06-12 | 2013-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-06-12 | 2013-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-06-12 | 2013-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |