ISTB
iShares Core 1-5 Year USD Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-19
Executive Summary
The quantitative backtest for ISTB (iShares Core 1-5 Year USD 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 -6.1% (compared to the benchmark's drawdown of -9.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 2.1%. The strategy executed 4 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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ISTB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.80% | 3.80% | 3.42% | 1.89% | 3.03% | 2.24% | 2.71% | 2.14% |
| Sharpe Ratio | 2.10 | 2.10 | 1.56 | 0.67 | 1.41 | 0.89 | 1.29 | 0.88 |
| Max Drawdown | -1.26% | -1.26% | -2.01% | -9.34% | -6.06% | -9.34% | -6.06% | -9.34% |
| % Time Invested | 100.0% | 100.0% | 75.4% | 100.0% | 80.5% | 100.0% | 81.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-01-27 | Open | Open | 100% | $41.45 | $48.10 | 16.03% | Mark-to-Market |
| 2021-11-03 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.40% | Interest Income |
| 2018-08-08 | 2021-11-03 | Completed | 100% | $39.13 | $43.64 | 11.48% | Signal |
| 2018-01-23 | 2018-08-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2017-03-07 | 2018-01-23 | Completed | 100% | $38.66 | $39.04 | 0.94% | Signal |
| 2017-01-03 | 2017-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2016-03-11 | 2017-01-03 | Completed | 100% | $38.05 | $38.51 | 1.18% | Signal |
| 2015-12-30 | 2016-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2014-10-22 | 2015-12-30 | Completed | 100% | $37.58 | $37.61 | 0.03% | Signal |
| 2014-10-20 | 2014-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |