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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.3% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.1%, compared to a Buy-and-Hold benchmark return of 6.9%. 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 | 4.68% | 4.68% | 4.96% | 3.61% | 3.50% | 4.68% | 5.08% | 6.90% |
| Sharpe Ratio | 1.19 | 1.19 | 0.99 | 0.47 | 0.60 | 0.56 | 0.78 | 0.78 |
| Max Drawdown | -2.34% | -2.34% | -5.12% | -15.79% | -17.30% | -22.03% | -17.30% | -22.03% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 86.2% | 100.0% | 83.3% | 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 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 | ||||||||
| 2022-02-08 | 2023-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2020-06-03 | 2022-02-08 | Completed | 100% | $60.50 | $64.98 | 7.36% | 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% | $57.56 | $53.76 | -6.66% | 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% | $55.71 | $55.06 | -1.21% | 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% | $48.59 | $54.73 | 12.57% | 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% | $49.46 | $48.55 | -1.89% | 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% | $47.33 | $49.17 | 3.84% | 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% | $39.51 | $46.26 | 17.01% | 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% | $27.82 | $37.77 | 35.71% | Signal | |
| 2009-04-01 | 2009-05-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |