GOVT
iShares U.S. Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for GOVT (iShares U.S. Treasury Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -6.4% (compared to the benchmark's drawdown of -19.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.9%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 3 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.
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GOVT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.78% | 2.42% | 2.55% | -0.85% | 2.80% | 0.71% | 2.93% | 1.32% |
| Sharpe Ratio | 1.19 | 0.67 | 0.82 | -0.14 | 0.78 | 0.14 | 0.80 | 0.26 |
| Max Drawdown | -2.83% | -2.83% | -4.92% | -16.62% | -6.37% | -19.07% | -6.37% | -19.07% |
| % Time Invested | 66.3% | 100.0% | 37.4% | 100.0% | 55.3% | 100.0% | 62.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.2 | 0.0 | 0.2 | 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 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-09-17 | 2026-01-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2024-08-05 | 2025-09-17 | Completed | 100% | $21.96 | $22.57 | 2.75% | Signal | |
| 2021-10-19 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.84% | Interest Income | |
| 2018-11-20 | 2021-10-19 | Completed | 100% | $20.26 | $23.16 | 14.28% | Signal | |
| 2017-07-21 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2014-04-15 | 2017-07-21 | Completed | 100% | $19.28 | $20.59 | 6.76% | Signal | |
| 2014-02-19 | 2014-04-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |