IEI
iShares 3-7 Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IEI (iShares 3-7 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 -5.7% (compared to the benchmark's drawdown of -14.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.0%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 12 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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IEI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.13% | 2.09% | 2.03% | 0.06% | 2.18% | 1.18% | 1.98% | 1.91% |
| Sharpe Ratio | 1.09 | 0.68 | 0.64 | 0.01 | 0.77 | 0.30 | 0.64 | 0.49 |
| Max Drawdown | -2.50% | -2.50% | -3.91% | -13.88% | -3.91% | -14.60% | -5.72% | -14.60% |
| % Time Invested | 89.7% | 100.0% | 60.1% | 100.0% | 61.9% | 100.0% | 71.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 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 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 | ||||||||
| 2023-08-16 | 2024-01-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2023-03-20 | 2023-08-16 | Completed | 100% | $106.22 | $103.64 | -2.48% | Signal | |
| 2021-10-19 | 2023-03-20 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.08% | Interest Income | |
| 2021-08-30 | 2021-10-19 | Completed | 100% | $115.81 | $114.17 | -1.47% | Signal | |
| 2021-01-04 | 2021-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-12-07 | 2021-01-04 | Completed | 100% | $102.01 | $116.78 | 14.42% | Signal | |
| 2018-11-13 | 2018-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-08-30 | 2018-11-13 | Completed | 100% | $101.22 | $100.75 | -0.52% | Signal | |
| 2017-12-18 | 2018-08-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2017-05-31 | 2017-12-18 | Completed | 100% | $102.53 | $102.08 | -0.50% | Signal | |
| 2016-11-28 | 2017-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2014-02-19 | 2016-11-28 | Completed | 100% | $96.39 | $100.90 | 4.63% | Signal | |
| 2013-12-26 | 2014-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-12-23 | 2013-12-26 | Completed | 100% | $95.17 | $94.91 | -0.32% | Signal | |
| 2013-06-25 | 2013-12-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-04-04 | 2013-06-25 | Completed | 100% | $97.28 | $94.76 | -2.64% | Signal | |
| 2013-03-12 | 2013-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-05-09 | 2013-03-12 | Completed | 100% | $89.58 | $96.44 | 7.61% | Signal | |
| 2011-02-07 | 2011-05-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-10-16 | 2011-02-07 | Completed | 100% | $82.74 | $86.88 | 4.95% | Signal | |
| 2009-06-24 | 2009-10-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-01-06 | 2009-06-24 | Completed | 100% | $83.19 | $80.68 | -3.07% | Signal | |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |