HGER Harbor Commodity All-weather Strategy ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for HGER (Harbor Commodity All-weather Strategy ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.6% (compared to the benchmark's drawdown of -8.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 14.4%, compared to a Buy-and-Hold benchmark return of 23.6%. The strategy executed 12 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
HGER Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 31.62% | 42.89% | 14.44% | 23.63% |
| Sharpe Ratio | 1.79 | 2.11 | 1.07 | 1.41 |
| Max Drawdown | -7.57% | -8.09% | -7.57% | -8.84% |
| % Time Invested | 100.0% | 100.0% | 97.5% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 5.4 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2024-12-05 | Open | Open | 33.33% | $20.23 | $31.60 | 56.21% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2026-04-16 | 2026-05-28 | Completed | 33.33% | $31.34 | $31.37 | 0.08% | Stop |
| 2026-04-16 | 2026-05-28 | Completed | 33.33% | $31.34 | $31.37 | 0.08% | Stop |
| 2026-03-24 | 2026-04-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2026-03-24 | 2026-04-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2026-02-25 | 2026-03-24 | Completed | 33.33% | $27.92 | $29.67 | 6.27% | Stop |
| 2026-02-25 | 2026-03-24 | Completed | 33.33% | $27.92 | $29.67 | 6.27% | Stop |
| 2026-02-02 | 2026-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2026-02-02 | 2026-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2025-04-30 | 2026-02-02 | Completed | 33.33% | $22.25 | $26.11 | 17.34% | Stop |
| 2025-04-30 | 2026-02-02 | Completed | 33.33% | $22.25 | $26.11 | 17.34% | Stop |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-02-20 | 2025-04-07 | Completed | 33.33% | $22.38 | $21.16 | -5.45% | Stop |
| 2024-08-27 | 2025-04-07 | Completed | 33.33% | $20.11 | $21.16 | 5.21% | Stop |
| 2024-12-06 | 2025-02-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2024-08-19 | 2024-12-06 | Completed | 33.33% | $19.92 | $20.26 | 1.68% | Signal |
| 2024-10-02 | 2024-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.06% | Interest Income |
| 2024-08-21 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income |
| 2024-08-05 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2024-04-08 | 2024-08-21 | Completed | 33.33% | $20.84 | $19.90 | -4.51% | Signal |
| 2024-08-02 | 2024-08-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2024-06-24 | 2024-08-05 | Completed | 33.33% | $20.32 | $19.48 | -4.14% | Stop |
| 2024-07-26 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2024-04-03 | 2024-07-26 | Completed | 33.33% | $20.45 | $19.88 | -2.79% | Stop |
| 2024-03-12 | 2024-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.75% | Interest Income |
| 2024-03-12 | 2024-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2024-03-12 | 2024-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |