FLOT
iShares Floating Rate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-15
Executive Summary
The quantitative backtest for FLOT (iShares Floating Rate Bond ETF) using the Excess Return MMA* 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 2.0%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 17 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 4.60% | 4.60% | 4.23% | 4.27% | 2.57% | 3.05% | 2.02% | 2.44% |
| Sharpe Ratio | 5.98 | 5.98 | 3.58 | 2.36 | 0.91 | 0.72 | 0.81 | 0.65 |
| Max Drawdown | -0.43% | -0.43% | -1.57% | -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 | 1.0 | 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 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 14 days) require a Premium subscription. Upgrade to Premium to Unlock | ||||||||
| 2025-05-14 | 2025-07-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2023-07-06 | 2025-05-14 | Completed | 33.33% | $43.23 | $48.24 | 11.53% | Signal | |
| 2023-06-12 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-01-23 | 2023-06-12 | Completed | 33.33% | $42.07 | $43.09 | 2.38% | Signal | |
| 2022-05-20 | 2023-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.96% | Interest Income | |
| 2022-03-11 | 2023-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.58% | Interest Income | |
| 2022-12-28 | 2023-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-11-30 | 2022-12-28 | Completed | 33.33% | $41.59 | $41.81 | 0.47% | Signal | |
| 2022-01-04 | 2022-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income | |
| 2020-04-06 | 2022-05-20 | Completed | 33.33% | $39.58 | $41.17 | 3.95% | Signal | |
| 2020-04-08 | 2022-03-11 | Completed | 33.33% | $39.75 | $41.19 | 3.58% | Signal | |
| 2020-04-08 | 2022-01-04 | Completed | 33.33% | $39.75 | $41.34 | 3.96% | Signal | |
| 2020-03-13 | 2020-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.51 | $38.22 | -3.31% | Stop | |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.51 | $38.22 | -3.31% | Stop | |
| 2019-01-23 | 2020-03-13 | Completed | 33.33% | $39.51 | $38.22 | -3.31% | Stop | |
| 2018-12-12 | 2019-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2018-12-07 | 2019-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2018-07-24 | 2019-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2016-06-22 | 2018-12-12 | Completed | 33.33% | $37.69 | $39.13 | 3.78% | Signal | |
| 2016-05-16 | 2018-12-07 | Completed | 33.33% | $37.61 | $39.09 | 3.88% | Signal | |
| 2016-09-26 | 2018-07-24 | Completed | 33.33% | $37.91 | $39.22 | 3.40% | Signal | |
| 2016-02-05 | 2016-09-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-12-01 | 2016-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-16 | 2016-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2013-06-14 | 2016-02-05 | Completed | 33.33% | $37.17 | $37.43 | 0.64% | Signal | |
| 2015-06-23 | 2015-12-01 | Completed | 33.33% | $37.51 | $37.46 | -0.17% | Signal | |
| 2015-04-17 | 2015-09-16 | Completed | 33.33% | $37.47 | $37.47 | -0.04% | Signal | |
| 2015-03-10 | 2015-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-12-18 | 2015-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-06-14 | 2015-03-10 | Completed | 33.33% | $37.17 | $37.49 | 0.81% | Signal | |
| 2013-06-14 | 2014-12-18 | Completed | 33.33% | $37.17 | $37.39 | 0.54% | Signal | |
| 2013-06-12 | 2013-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-12 | 2013-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-12 | 2013-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |