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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.2% (compared to the benchmark's drawdown of -13.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.1%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 4 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.
Switch to MMA to enable
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% | 3.86% | 4.27% | 1.35% | 3.05% | 1.06% | 2.44% |
| Sharpe Ratio | 5.98 | 5.98 | 3.17 | 2.36 | 0.35 | 0.72 | 0.31 | 0.65 |
| Max Drawdown | -0.43% | -0.43% | -1.82% | -2.37% | -15.15% | -13.54% | -15.15% | -13.54% |
| % Time Invested | 100.0% | 100.0% | 80.8% | 100.0% | 86.9% | 100.0% | 87.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.3 | 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 | ||||||||
| 2022-06-17 | 2023-06-05 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.86% | Interest Income | |
| 2020-04-13 | 2022-06-17 | Completed | 100% | $39.91 | $40.66 | 1.83% | Signal | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-23 | 2020-03-19 | Completed | 100% | $39.51 | $34.84 | -11.86% | Stop | |
| 2018-12-18 | 2019-01-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2016-09-23 | 2018-12-18 | Completed | 100% | $37.94 | $39.27 | 3.44% | Signal | |
| 2016-03-04 | 2016-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2013-06-14 | 2016-03-04 | Completed | 100% | $37.17 | $37.34 | 0.40% | Signal | |
| 2013-06-12 | 2013-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |