IEF
iShares 7-10 Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for IEF (iShares 7-10 Year Treasury 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 -10.6% (compared to the benchmark's drawdown of -23.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.1%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 15 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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IEF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.03% | 3.39% | 0.56% | -1.18% | 1.86% | 0.58% | 3.15% | 3.29% |
| Sharpe Ratio | 0.66 | 0.71 | 0.12 | -0.15 | 0.40 | 0.09 | 0.56 | 0.48 |
| Max Drawdown | -4.07% | -4.07% | -7.81% | -21.40% | -7.81% | -23.92% | -10.63% | -23.92% |
| % Time Invested | 94.0% | 100.0% | 53.7% | 100.0% | 58.8% | 100.0% | 68.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-22 | Open | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Mark-to-Market |
| 2025-04-01 | 2026-05-22 | Completed | 100% | $91.10 | $93.65 | 2.79% | Signal |
| 2025-01-14 | 2025-04-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.90% | Interest Income |
| 2024-01-17 | 2025-01-14 | Completed | 100% | $87.03 | $86.41 | -0.71% | Signal |
| 2023-08-07 | 2024-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.42% | Interest Income |
| 2023-04-25 | 2023-08-07 | Completed | 100% | $88.99 | $85.64 | -3.77% | Signal |
| 2021-11-22 | 2023-04-25 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.57% | Interest Income |
| 2021-08-18 | 2021-11-22 | Completed | 100% | $101.94 | $99.49 | -2.40% | Signal |
| 2020-12-07 | 2021-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-11-20 | 2020-12-07 | Completed | 100% | $84.49 | $103.33 | 22.30% | Signal |
| 2018-10-26 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-09-04 | 2018-10-26 | Completed | 100% | $84.92 | $84.10 | -0.96% | Signal |
| 2017-12-28 | 2018-09-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income |
| 2017-06-09 | 2017-12-28 | Completed | 100% | $86.76 | $86.28 | -0.55% | Signal |
| 2016-11-21 | 2017-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2015-09-21 | 2016-11-21 | Completed | 100% | $83.85 | $84.73 | 1.05% | Signal |
| 2015-07-06 | 2015-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-07 | 2015-07-06 | Completed | 100% | $77.06 | $82.54 | 7.11% | Signal |
| 2013-06-24 | 2014-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-04-26 | 2013-06-24 | Completed | 100% | $81.50 | $76.07 | -6.67% | Signal |
| 2013-02-14 | 2013-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-06-09 | 2013-02-14 | Completed | 100% | $70.28 | $79.18 | 12.67% | Signal |
| 2011-01-27 | 2011-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-10-30 | 2011-01-27 | Completed | 100% | $62.46 | $66.67 | 6.73% | Signal |
| 2009-06-23 | 2009-10-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2007-08-22 | 2009-06-23 | Completed | 100% | $52.13 | $60.40 | 15.87% | Signal |
| 2007-07-12 | 2007-08-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2006-07-17 | 2007-07-12 | Completed | 100% | $48.12 | $50.35 | 4.63% | Signal |
| 2005-11-18 | 2006-07-17 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.93% | Interest Income |
| 2004-08-20 | 2005-11-18 | Completed | 100% | $47.26 | $48.38 | 2.38% | Signal |
| 2004-07-22 | 2004-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |