FLOT
iShares Floating Rate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-29
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 2.5%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for FLOT:
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for FLOT:
🛡️ Long-Term Investing Active Horizon
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.
🛡️ FLOT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-9.6% (vs -13.5% B&H)
+4.0% shallower drawdown
Downside Efficiency
0.50 Sortino
+0.05 vs 0.45 B&H
Capital Sheltered from Risk
17.0% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 FLOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -0.43% | -0.43% | -2.37% | -2.37% | -9.58% | -13.54% | -9.58% | -13.54% |
| Sharpe Ratio | 5.87 | 5.87 | 2.66 | 2.42 | 0.87 | 0.72 | 0.80 | 0.66 |
| Sortino Ratio | 7.50 | 7.50 | 1.81 | 1.83 | 0.51 | 0.47 | 0.50 | 0.45 |
| CAGR | 4.51% | 4.51% | 4.24% | 4.38% | 2.55% | 3.05% | 2.06% | 2.45% |
| % Time Invested | 100.0% | 100.0% | 77.8% | 100.0% | 85.6% | 100.0% | 83.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 1.0 | 0.0 | 1.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for FLOT... Top Diversifiers for FLOT
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 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% | $43.08 | $48.07 | 11.53% | 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% | $41.92 | $42.94 | 2.38% | 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% | $41.45 | $41.66 | 0.47% | 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% | $39.45 | $41.03 | 3.95% | Signal | |
| 2020-04-08 | 2022-03-11 | Completed | 33.33% | $39.61 | $41.05 | 3.58% | 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% | $39.61 | $41.20 | 3.96% | 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% | $39.37 | $38.09 | -3.31% | Stop | |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.37 | $38.09 | -3.31% | Stop | |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.37 | $38.09 | -3.31% | 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% | $37.56 | $39.00 | 3.78% | Signal | |
| 2016-05-16 | 2018-12-07 | Completed | 33.33% | $37.48 | $38.96 | 3.88% | 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% | $37.78 | $39.09 | 3.40% | 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% | $37.04 | $37.30 | 0.64% | 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% | $37.38 | $37.33 | -0.17% | 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% | $37.34 | $37.34 | -0.04% | 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% | $37.04 | $37.36 | 0.81% | 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% | $37.04 | $37.26 | 0.54% | 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 | |