HYG
iShares iBoxx $ High Yield Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for HYG (iShares iBoxx $ High Yield Corporate 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 -17.2% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.2%, compared to a Buy-and-Hold benchmark return of 7.0%. The strategy executed 8 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.
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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 | 6.50% | 6.50% | 5.15% | 3.78% | 3.86% | 5.00% | 5.18% | 6.97% |
| Sharpe Ratio | 1.63 | 1.63 | 1.02 | 0.49 | 0.65 | 0.59 | 0.79 | 0.78 |
| Max Drawdown | -2.34% | -2.34% | -5.03% | -15.79% | -17.22% | -22.03% | -17.22% | -22.03% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 86.2% | 100.0% | 83.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-01-17 | Open | Open | 100% | $62.49 | $79.94 | 27.92% | Mark-to-Market |
| 2022-02-08 | 2023-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.23% | Interest Income |
| 2020-06-03 | 2022-02-08 | Completed | 100% | $60.78 | $65.28 | 7.41% | Signal |
| 2020-03-17 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2019-02-20 | 2020-03-17 | Completed | 100% | $57.83 | $54.01 | -6.61% | Stop |
| 2018-12-19 | 2019-02-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2018-04-18 | 2018-12-19 | Completed | 100% | $55.96 | $55.31 | -1.16% | Signal |
| 2018-03-26 | 2018-04-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2016-04-29 | 2018-03-26 | Completed | 100% | $48.82 | $54.98 | 12.62% | Signal |
| 2015-08-07 | 2016-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2015-03-24 | 2015-08-07 | Completed | 100% | $49.69 | $48.77 | -1.85% | Signal |
| 2014-11-17 | 2015-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-10-29 | 2014-11-17 | Completed | 100% | $47.55 | $49.40 | 3.89% | Signal |
| 2013-10-07 | 2013-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-12-07 | 2013-10-07 | Completed | 100% | $39.69 | $46.47 | 17.07% | Signal |
| 2011-09-12 | 2011-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-05-26 | 2011-09-12 | Completed | 100% | $27.95 | $37.95 | 35.78% | Signal |
| 2009-04-01 | 2009-05-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |