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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -6.1% (compared to the benchmark's drawdown of -19.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.0%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 9 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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
GOVT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.68% | 2.42% | 1.29% | -0.85% | 1.72% | 0.71% | 1.97% | 1.32% |
| Sharpe Ratio | 1.07 | 0.67 | 0.30 | -0.14 | 0.43 | 0.14 | 0.50 | 0.26 |
| Max Drawdown | -2.83% | -2.83% | -4.92% | -16.62% | -5.74% | -19.07% | -6.10% | -19.07% |
| % Time Invested | 88.9% | 100.0% | 63.1% | 100.0% | 62.7% | 100.0% | 68.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-18 | 2025-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2024-01-09 | 2025-02-18 | Completed | 100% | $21.02 | $21.47 | 2.12% | Signal | |
| 2023-08-15 | 2024-01-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.18% | Interest Income | |
| 2023-03-23 | 2023-08-15 | Completed | 100% | $20.98 | $20.35 | -3.06% | Signal | |
| 2022-01-12 | 2023-03-23 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.12% | Interest Income | |
| 2021-08-18 | 2022-01-12 | Completed | 100% | $23.48 | $22.97 | -2.25% | Signal | |
| 2020-12-02 | 2021-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-12-11 | 2020-12-02 | Completed | 100% | $20.47 | $23.77 | 16.07% | Signal | |
| 2018-10-30 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2018-08-24 | 2018-10-30 | Completed | 100% | $20.39 | $20.15 | -1.21% | Signal | |
| 2018-01-18 | 2018-08-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.10% | Interest Income | |
| 2017-06-05 | 2018-01-18 | Completed | 100% | $20.56 | $20.37 | -0.95% | Signal | |
| 2016-11-21 | 2017-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2015-09-14 | 2016-11-21 | Completed | 100% | $20.04 | $20.20 | 0.72% | Signal | |
| 2015-07-02 | 2015-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-02-27 | 2015-07-02 | Completed | 100% | $19.21 | $19.78 | 2.94% | Signal | |
| 2014-02-19 | 2014-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |