LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for LQD (iShares iBoxx $ Investment Grade Corporate Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -23.2% (compared to the benchmark's drawdown of -24.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.6%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 8 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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.
Switch to MMA to enable
LQD Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.28% | 2.28% | 1.04% | -0.96% | 1.28% | 2.05% | 2.62% | 4.01% |
| Sharpe Ratio | 0.43 | 0.43 | 0.21 | -0.11 | 0.21 | 0.23 | 0.42 | 0.47 |
| Max Drawdown | -3.34% | -3.34% | -12.00% | -24.95% | -23.22% | -24.95% | -23.22% | -24.95% |
| % Time Invested | 100.0% | 100.0% | 53.4% | 100.0% | 74.1% | 100.0% | 79.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 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 | ||||||||
| 2022-04-05 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.74% | Interest Income | |
| 2020-04-13 | 2022-04-05 | Completed | 100% | $104.59 | $101.40 | -3.09% | Signal | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-13 | 2020-03-19 | Completed | 100% | $85.92 | $86.74 | 0.91% | Stop | |
| 2018-10-03 | 2018-12-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2014-07-17 | 2018-10-03 | Completed | 100% | $78.36 | $86.63 | 10.49% | Signal | |
| 2014-04-08 | 2014-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-10-07 | 2014-04-08 | Completed | 100% | $56.69 | $76.34 | 34.59% | Signal | |
| 2009-02-26 | 2009-10-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2009-01-02 | 2009-02-26 | Completed | 100% | $52.42 | $49.53 | -5.56% | Stop | |
| 2008-10-21 | 2009-01-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2008-10-10 | 2008-10-21 | Completed | 100% | $40.73 | $44.69 | 9.67% | Signal | |
| 2008-09-18 | 2008-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2006-11-02 | 2008-09-18 | Completed | 100% | $49.21 | $45.28 | -8.03% | Stop | |
| 2006-02-21 | 2006-11-02 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.43% | Interest Income | |
| 2004-07-26 | 2006-02-21 | Completed | 100% | $44.71 | $47.51 | 6.23% | Signal | |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |