HYG
iShares iBoxx $ High Yield Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for HYG (iShares iBoxx $ High Yield Corporate Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.6% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.4%, compared to a Buy-and-Hold benchmark return of 6.9%. The strategy executed 4 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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HYG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.68% | 4.68% | 2.89% | 3.61% | 3.93% | 4.68% | 5.36% | 6.90% |
| Sharpe Ratio | 1.19 | 1.19 | 0.54 | 0.47 | 0.59 | 0.56 | 0.73 | 0.78 |
| Max Drawdown | -2.34% | -2.34% | -14.60% | -15.79% | -14.60% | -22.03% | -14.60% | -22.03% |
| % Time Invested | 100.0% | 100.0% | 66.8% | 100.0% | 80.9% | 100.0% | 84.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 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 | ||||||||
| 2022-07-26 | 2024-03-22 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.17% | Interest Income | |
| 2020-04-08 | 2022-07-26 | Completed | 100% | $54.32 | $60.63 | 11.55% | Signal | |
| 2020-03-17 | 2020-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2019-03-28 | 2020-03-17 | Completed | 100% | $58.25 | $53.76 | -7.75% | Stop | |
| 2019-01-18 | 2019-03-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2016-06-24 | 2019-01-18 | Completed | 100% | $48.68 | $56.60 | 16.22% | Signal | |
| 2015-11-12 | 2016-06-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2009-06-15 | 2015-11-12 | Completed | 100% | $29.11 | $47.31 | 62.42% | Signal | |
| 2009-04-01 | 2009-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |