HYG iShares iBoxx $ High Yield Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for HYG (iShares iBoxx $ High Yield Corporate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.5% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.5%, compared to a Buy-and-Hold benchmark return of 7.0%. The strategy executed 42 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.
HYG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.79% | 7.09% | 3.36% | 3.86% | 4.58% | 5.01% | 4.55% | 6.98% |
| Sharpe Ratio | 1.82 | 1.81 | 0.83 | 0.51 | 0.88 | 0.59 | 0.78 | 0.79 |
| Max Drawdown | -2.34% | -2.34% | -7.26% | -15.79% | -7.53% | -22.03% | -14.53% | -22.03% |
| % Time Invested | 100.0% | 100.0% | 82.5% | 100.0% | 89.4% | 100.0% | 88.9% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 2.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-03-11 | Open | Open | 33.33% | $68.10 | $80.31 | 17.94% | Mark-to-Market |
| 2023-12-22 | Open | Open | 33.33% | $67.68 | $80.31 | 18.66% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-07-14 | 2026-05-04 | Completed | 33.33% | $76.20 | $80.02 | 5.02% | Signal |
| 2025-06-03 | 2025-07-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-16 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2024-07-22 | 2025-04-16 | Completed | 33.33% | $70.24 | $72.60 | 3.36% | Signal |
| 2024-06-18 | 2024-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2024-01-02 | 2024-06-18 | Completed | 33.33% | $67.19 | $69.00 | 2.69% | Signal |
| 2023-06-02 | 2024-03-11 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 5.28% | Interest Income |
| 2023-10-10 | 2024-01-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2023-10-12 | 2023-12-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2023-04-26 | 2023-10-12 | Completed | 33.33% | $62.57 | $62.80 | 0.37% | Signal |
| 2023-08-03 | 2023-10-10 | Completed | 33.33% | $63.07 | $62.69 | -0.60% | Signal |
| 2023-07-12 | 2023-08-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2023-07-05 | 2023-07-12 | Completed | 33.33% | $63.03 | $63.51 | 0.76% | Signal |
| 2023-06-02 | 2023-07-05 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2023-05-12 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-01-26 | 2023-05-12 | Completed | 33.33% | $62.68 | $62.53 | -0.25% | Signal |
| 2023-04-04 | 2023-04-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.18% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-07-12 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-03-09 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-07-08 | 2022-07-12 | Completed | 33.33% | $59.57 | $59.57 | -0.00% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $63.88 | $58.42 | -8.55% | Stop |
| 2022-03-15 | 2022-04-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $54.29 | $62.99 | 16.03% | Stop |
| 2020-06-03 | 2022-03-09 | Completed | 33.33% | $61.09 | $64.46 | 5.53% | Signal |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-31 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-06-03 | 2021-12-31 | Completed | 33.33% | $61.09 | $67.94 | 11.22% | Signal |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-17 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-10 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2020-04-17 | Completed | 33.33% | $54.29 | $58.72 | 8.17% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-04-23 | 2020-03-10 | Completed | 33.33% | $59.45 | $59.36 | -0.15% | Stop |
| 2019-04-22 | 2020-03-10 | Completed | 33.33% | $59.44 | $59.36 | -0.13% | Stop |
| 2019-03-15 | 2020-03-10 | Completed | 33.33% | $58.59 | $59.36 | 1.32% | Stop |
| 2019-03-04 | 2019-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2019-03-04 | 2019-04-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2019-03-04 | 2019-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-01-30 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2018-12-26 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-08-08 | 2019-01-30 | Completed | 33.33% | $56.99 | $57.10 | 0.20% | Signal |
| 2016-06-24 | 2018-12-26 | Completed | 33.33% | $49.15 | $53.98 | 9.82% | Signal |
| 2018-12-03 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2018-04-18 | 2018-12-03 | Completed | 33.33% | $56.25 | $56.37 | 0.20% | Signal |
| 2018-04-16 | 2018-08-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income |
| 2018-02-09 | 2018-04-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-06-24 | 2018-04-16 | Completed | 33.33% | $49.15 | $56.17 | 14.27% | Signal |
| 2016-04-29 | 2018-02-09 | Completed | 33.33% | $49.07 | $55.00 | 12.09% | Signal |
| 2016-04-04 | 2016-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2016-04-04 | 2016-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2016-04-04 | 2016-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-29 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2015-09-29 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-29 | Completed | 33.33% | $48.76 | $48.68 | -0.17% | Signal |
| 2015-06-03 | 2015-09-29 | Completed | 33.33% | $50.56 | $46.89 | -7.26% | Stop |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-12 | 2015-08-25 | Completed | 33.33% | $49.36 | $48.29 | -2.16% | Stop |
| 2015-08-03 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-03-25 | 2015-08-03 | Completed | 33.33% | $50.07 | $49.44 | -1.26% | Signal |
| 2015-03-03 | 2015-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2015-03-03 | 2015-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-05 | 2015-01-12 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2014-12-17 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-12-17 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-07-18 | 2014-12-17 | Completed | 33.33% | $47.04 | $47.40 | 0.77% | Stop |
| 2013-07-18 | 2014-12-17 | Completed | 33.33% | $47.04 | $47.40 | 0.77% | Stop |
| 2014-11-04 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-13 | 2014-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2013-10-30 | 2014-10-13 | Completed | 33.33% | $47.88 | $48.91 | 2.16% | Signal |
| 2013-08-14 | 2013-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2013-07-18 | 2013-08-14 | Completed | 33.33% | $47.04 | $46.22 | -1.74% | Signal |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2011-12-19 | 2013-06-25 | Completed | 33.33% | $39.88 | $44.79 | 12.31% | Stop |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $39.90 | $44.79 | 12.26% | Stop |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $39.90 | $44.79 | 12.26% | Stop |
| 2011-12-02 | 2011-12-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-12-02 | 2011-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-25 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-11-08 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-08 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-10-27 | 2011-11-25 | Completed | 33.33% | $40.83 | $37.57 | -8.00% | Stop |
| 2011-10-27 | 2011-11-08 | Completed | 33.33% | $40.83 | $40.17 | -1.61% | Signal |
| 2011-10-05 | 2011-10-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-05 | 2011-10-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $38.47 | $36.64 | -4.76% | Stop |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $38.47 | $36.64 | -4.76% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $33.90 | $37.26 | 9.90% | Stop |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $33.90 | $37.26 | 9.90% | Stop |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $33.90 | $37.26 | 9.90% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-06-15 | 2010-05-07 | Completed | 33.33% | $29.40 | $33.98 | 15.58% | Stop |
| 2009-06-15 | 2010-05-07 | Completed | 33.33% | $29.40 | $33.98 | 15.58% | Stop |
| 2009-04-03 | 2010-05-07 | Completed | 33.33% | $25.30 | $33.98 | 34.33% | Stop |
| 2009-06-02 | 2009-06-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2009-06-02 | 2009-06-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-04-01 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-04-01 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-04-01 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |