GOVT
iShares U.S. Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for GOVT (iShares U.S. Treasury Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.4% (compared to the benchmark's drawdown of -19.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 1.2%. The strategy executed 25 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for GOVT:
Excess Return MMA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for GOVT:
🛡️ 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.
🛡️ GOVT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-5.4% (vs -19.1% B&H)
+13.6% shallower drawdown
Downside Efficiency
0.87 Sortino
+0.50 vs 0.37 B&H
Capital Sheltered from Risk
40.6% 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.
📊 GOVT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -1.72% | -3.07% | -4.29% | -16.47% | -4.57% | -19.07% | -5.44% | -19.07% |
| Sharpe Ratio | 0.11 | -0.24 | 0.69 | -0.17 | 0.68 | 0.13 | 0.71 | 0.25 |
| Sortino Ratio | 0.18 | -0.40 | 0.77 | -0.27 | 0.79 | 0.19 | 0.87 | 0.37 |
| CAGR | 0.25% | -0.84% | 1.80% | -1.00% | 2.15% | 0.68% | 2.30% | 1.24% |
| % Time Invested | 68.9% | 100.0% | 39.4% | 100.0% | 51.7% | 100.0% | 59.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.2 | 0.0 | 1.9 | 0.0 | 2.0 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for GOVT... Top Diversifiers for GOVT
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 |
|---|---|---|---|
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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 | ||||||||
| 2026-02-09 | 2026-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2025-05-01 | 2026-05-19 | Completed | 33.33% | $21.94 | $22.21 | 1.19% | Signal | |
| 2025-09-12 | 2026-02-09 | Completed | 33.33% | $22.35 | $22.54 | 0.81% | Signal | |
| 2025-09-05 | 2025-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2025-07-24 | 2025-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2024-08-05 | 2025-09-05 | Completed | 33.33% | $21.81 | $22.30 | 2.18% | Signal | |
| 2025-04-25 | 2025-07-24 | Completed | 33.33% | $21.77 | $21.78 | 0.03% | Signal | |
| 2025-03-05 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2024-12-16 | 2025-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2024-08-05 | 2025-03-05 | Completed | 33.33% | $21.81 | $21.75 | -0.35% | Signal | |
| 2024-08-05 | 2024-12-16 | Completed | 33.33% | $21.81 | $21.32 | -2.32% | Signal | |
| 2024-06-13 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2024-05-01 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income | |
| 2021-10-04 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2024-05-16 | 2024-06-13 | Completed | 33.33% | $20.79 | $20.95 | 0.70% | Signal | |
| 2022-02-16 | 2024-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.55% | Interest Income | |
| 2024-01-25 | 2024-05-01 | Completed | 33.33% | $20.79 | $20.41 | -1.85% | Signal | |
| 2023-06-30 | 2024-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.10% | Interest Income | |
| 2023-06-15 | 2023-06-30 | Completed | 33.33% | $20.65 | $20.53 | -0.61% | Signal | |
| 2023-05-23 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $20.26 | $20.59 | 1.58% | Signal | |
| 2021-11-29 | 2023-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.74% | Interest Income | |
| 2021-11-04 | 2022-02-16 | Completed | 33.33% | $23.05 | $22.29 | -3.35% | Signal | |
| 2021-07-28 | 2021-11-29 | Completed | 33.33% | $23.33 | $23.09 | -1.10% | Signal | |
| 2021-01-27 | 2021-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-11-20 | 2021-10-04 | Completed | 33.33% | $20.12 | $23.12 | 14.84% | Signal | |
| 2020-11-06 | 2021-07-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2018-11-20 | 2021-01-27 | Completed | 33.33% | $20.12 | $23.55 | 16.99% | Signal | |
| 2020-02-28 | 2020-11-06 | Completed | 33.33% | $23.03 | $23.73 | 2.99% | Signal | |
| 2020-01-13 | 2020-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2018-11-20 | 2020-01-13 | Completed | 33.33% | $20.12 | $22.06 | 9.56% | Signal | |
| 2018-10-04 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2018-02-09 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.55% | Interest Income | |
| 2017-06-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2018-08-23 | 2018-10-04 | Completed | 33.33% | $20.28 | $19.92 | -1.82% | Signal | |
| 2017-11-29 | 2018-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2017-06-05 | 2018-02-09 | Completed | 33.33% | $20.42 | $20.01 | -2.04% | Signal | |
| 2017-05-11 | 2017-11-29 | Completed | 33.33% | $20.13 | $20.40 | 1.26% | Signal | |
| 2014-04-15 | 2017-06-29 | Completed | 33.33% | $19.15 | $20.37 | 6.33% | Signal | |
| 2017-01-04 | 2017-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2016-11-14 | 2017-05-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2015-12-14 | 2017-01-04 | Completed | 33.33% | $20.02 | $19.96 | -0.36% | Signal | |
| 2016-02-29 | 2016-11-14 | Completed | 33.33% | $20.44 | $20.08 | -1.83% | Signal | |
| 2016-02-04 | 2016-02-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-01 | 2016-02-04 | Completed | 33.33% | $20.07 | $20.34 | 1.31% | Signal | |
| 2015-10-06 | 2015-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-04-07 | 2015-10-06 | Completed | 33.33% | $19.05 | $20.06 | 5.25% | Signal | |
| 2015-06-23 | 2015-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-21 | 2015-06-23 | Completed | 33.33% | $18.98 | $19.60 | 3.25% | Signal | |
| 2014-02-19 | 2014-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-19 | 2014-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-19 | 2014-02-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |