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 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 2.5%. 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.
📊 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
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active Model
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.
Switch to MMA to enable
🛡️ FLOT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-15.2% (vs -13.5% B&H)
-1.6% shallower drawdown
Sortino Ratio
0.18
vs 0.45 B&H
Capital Sheltered from Risk
12.7% 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% | -1.82% | -2.37% | -15.15% | -13.54% | -15.15% | -13.54% |
| Sharpe Ratio | 5.87 | 5.87 | 3.26 | 2.42 | 0.36 | 0.72 | 0.32 | 0.66 |
| Sortino Ratio | 7.50 | 7.50 | 2.13 | 1.83 | 0.20 | 0.47 | 0.18 | 0.45 |
| CAGR | 4.51% | 4.51% | 3.97% | 4.38% | 1.39% | 3.05% | 1.09% | 2.45% |
| % Time Invested | 100.0% | 100.0% | 80.8% | 100.0% | 88.2% | 100.0% | 87.3% | 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
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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 | ||||||||
| 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% | $39.78 | $40.52 | 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% | $39.37 | $34.72 | -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% | $37.81 | $39.13 | 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% | $37.04 | $37.21 | 0.40% | Signal | |
| 2013-06-12 | 2013-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |