IGSB iShares 1-5 Year Investment Grade Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for IGSB (iShares 1-5 Year Investment Grade Corporate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.9% (compared to the benchmark's drawdown of -13.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 22 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
IGSB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.05% | 4.97% | 3.56% | 2.46% | 3.04% | 2.77% | 2.79% | 2.67% |
| Sharpe Ratio | 2.68 | 2.53 | 2.12 | 0.83 | 1.75 | 0.79 | 1.54 | 0.88 |
| Max Drawdown | -1.46% | -1.46% | -2.53% | -9.47% | -4.92% | -13.38% | -4.92% | -13.38% |
| % Time Invested | 100.0% | 100.0% | 70.9% | 100.0% | 77.5% | 100.0% | 87.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.5 | 0.0 | 1.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 33.33% | $48.24 | $52.54 | 8.91% | Mark-to-Market |
| 2024-03-18 | Open | Open | 33.33% | $46.47 | $52.54 | 13.06% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-10 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-04-11 | 2026-04-10 | Completed | 33.33% | $49.26 | $52.36 | 6.30% | Signal |
| 2025-01-03 | 2025-04-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2024-08-05 | 2025-01-03 | Completed | 33.33% | $48.24 | $48.76 | 1.09% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-15 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-08 | 2024-05-15 | Completed | 33.33% | $46.20 | $46.88 | 1.49% | Signal |
| 2023-06-02 | 2024-03-18 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 5.43% | Interest Income |
| 2023-06-27 | 2024-01-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.29% | Interest Income |
| 2023-06-23 | 2023-06-27 | Completed | 33.33% | $44.51 | $44.50 | -0.02% | Signal |
| 2023-06-02 | 2023-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2023-05-22 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-22 | Completed | 33.33% | $44.04 | $44.46 | 0.95% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-04-13 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2020-04-06 | 2022-04-13 | Completed | 33.33% | $43.27 | $44.27 | 2.32% | Signal |
| 2022-01-07 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-06 | 2022-01-07 | Completed | 33.33% | $43.27 | $45.97 | 6.25% | Signal |
| 2021-11-08 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-17 | 2021-11-08 | Completed | 33.33% | $46.48 | $46.46 | -0.04% | Signal |
| 2021-05-18 | 2021-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2020-06-24 | 2021-05-18 | Completed | 33.33% | $45.48 | $46.44 | 2.13% | Signal |
| 2020-06-02 | 2020-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2020-03-13 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-01-25 | 2020-03-13 | Completed | 33.33% | $41.46 | $42.83 | 3.30% | Stop |
| 2019-01-25 | 2020-03-13 | Completed | 33.33% | $41.46 | $42.83 | 3.30% | Stop |
| 2019-01-25 | 2020-03-13 | Completed | 33.33% | $41.46 | $42.83 | 3.30% | Stop |
| 2018-12-04 | 2019-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-12-04 | 2019-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-12-04 | 2019-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-11-09 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-08-23 | 2018-11-09 | Completed | 33.33% | $40.95 | $40.84 | -0.27% | Signal |
| 2018-02-09 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income |
| 2018-01-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2017-12-04 | 2018-08-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2009-01-06 | 2018-02-09 | Completed | 33.33% | $33.50 | $40.53 | 21.00% | Signal |
| 2017-04-20 | 2018-01-29 | Completed | 33.33% | $40.48 | $40.57 | 0.24% | Signal |
| 2017-03-30 | 2017-12-04 | Completed | 33.33% | $40.35 | $40.64 | 0.72% | Signal |
| 2017-04-04 | 2017-04-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2017-03-07 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-12-05 | 2017-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2009-04-06 | 2017-03-07 | Completed | 33.33% | $33.00 | $40.27 | 22.02% | Signal |
| 2016-03-23 | 2016-12-05 | Completed | 33.33% | $39.71 | $40.08 | 0.93% | Signal |
| 2016-03-02 | 2016-03-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2016-02-11 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-10-20 | 2016-02-11 | Completed | 33.33% | $39.59 | $39.59 | -0.01% | Signal |
| 2015-09-02 | 2015-10-20 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-09-20 | 2015-09-02 | Completed | 33.33% | $38.75 | $39.43 | 1.76% | Signal |
| 2013-08-02 | 2013-09-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2013-07-26 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2012-01-06 | 2013-07-26 | Completed | 33.33% | $37.54 | $38.60 | 2.82% | Signal |
| 2012-01-04 | 2012-01-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-03 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-01-26 | 2011-11-03 | Completed | 33.33% | $33.60 | $37.48 | 11.56% | Signal |
| 2009-04-02 | 2009-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-01-26 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2009-01-05 | 2009-01-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-01-02 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-01-02 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-01-02 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |