MBB iShares MBS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for MBB (iShares MBS 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 -17.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.0%, compared to a Buy-and-Hold benchmark return of 2.2%. 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.
MBB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.42% | 7.00% | 3.33% | 0.44% | 2.87% | 1.37% | 2.99% | 2.23% |
| Sharpe Ratio | 1.44 | 1.50 | 1.07 | 0.07 | 0.97 | 0.26 | 1.09 | 0.50 |
| Max Drawdown | -2.72% | -2.94% | -4.87% | -17.19% | -4.87% | -17.65% | -4.87% | -17.65% |
| % Time Invested | 100.0% | 100.0% | 63.8% | 100.0% | 75.5% | 100.0% | 85.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 1.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 33.33% | $89.71 | $94.79 | 5.66% | Mark-to-Market |
| 2024-08-05 | Open | Open | 33.33% | $88.97 | $94.79 | 6.54% | Mark-to-Market |
| 2026-05-18 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Mark-to-Market |
| 2025-08-25 | 2026-05-18 | Completed | 33.33% | $90.89 | $93.67 | 3.05% | Signal |
| 2025-07-31 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2025-04-23 | 2025-07-31 | Completed | 33.33% | $88.84 | $90.00 | 1.31% | Signal |
| 2025-03-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-19 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2024-04-23 | 2025-03-19 | Completed | 33.33% | $82.32 | $88.58 | 7.61% | Signal |
| 2024-08-05 | 2024-12-19 | Completed | 33.33% | $88.97 | $86.10 | -3.22% | 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 |
| 2024-05-08 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-24 | 2024-05-08 | Completed | 33.33% | $84.53 | $83.66 | -1.03% | Signal |
| 2023-06-02 | 2024-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-05-15 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | 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 |
| 2023-02-10 | 2023-05-15 | Completed | 33.33% | $83.36 | $83.66 | 0.37% | 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 | 2023-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.59% | 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 |
| 2022-03-02 | 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 |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-11-17 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2018-12-06 | 2021-12-30 | Completed | 33.33% | $83.72 | $92.21 | 10.14% | Signal |
| 2021-08-23 | 2021-11-17 | Completed | 33.33% | $93.00 | $92.22 | -0.84% | Signal |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-08-03 | 2021-08-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-04-09 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2018-12-06 | 2021-04-09 | Completed | 33.33% | $83.72 | $92.52 | 10.51% | Signal |
| 2021-03-25 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2018-12-06 | 2021-03-25 | Completed | 33.33% | $83.72 | $92.63 | 10.65% | Signal |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | 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 |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-12 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2018-02-23 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.52% | Interest Income |
| 2017-08-03 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.56% | Interest Income |
| 2018-08-22 | 2018-10-12 | Completed | 33.33% | $83.54 | $82.51 | -1.24% | Signal |
| 2017-12-28 | 2018-08-22 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.71% | Interest Income |
| 2017-08-16 | 2018-02-23 | Completed | 33.33% | $83.70 | $82.40 | -1.56% | Signal |
| 2017-05-09 | 2017-12-28 | Completed | 33.33% | $82.76 | $83.95 | 1.43% | Signal |
| 2017-05-02 | 2017-08-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2014-04-14 | 2017-08-03 | Completed | 33.33% | $77.26 | $83.66 | 8.29% | Signal |
| 2017-05-02 | 2017-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-25 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-12-05 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2014-02-26 | 2017-01-25 | Completed | 33.33% | $76.86 | $81.81 | 6.44% | Signal |
| 2015-10-02 | 2016-12-05 | Completed | 33.33% | $81.65 | $81.84 | 0.24% | Signal |
| 2015-09-02 | 2015-10-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-14 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-11-20 | 2015-07-14 | Completed | 33.33% | $76.33 | $80.24 | 5.13% | Signal |
| 2014-04-02 | 2014-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-02-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-10-15 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-11-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-03-11 | 2013-10-15 | Completed | 33.33% | $64.79 | $75.75 | 16.91% | Signal |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-06-11 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.14% | Interest Income |
| 2013-04-18 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2013-04-08 | 2013-06-11 | Completed | 33.33% | $77.31 | $75.71 | -2.07% | Signal |
| 2009-03-11 | 2013-04-18 | Completed | 33.33% | $64.79 | $77.28 | 19.28% | Signal |
| 2013-01-07 | 2013-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2011-05-02 | 2013-01-07 | Completed | 33.33% | $72.51 | $76.98 | 6.16% | Signal |
| 2011-04-04 | 2011-05-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-02-01 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2009-03-11 | 2011-02-01 | Completed | 33.33% | $64.79 | $71.28 | 10.01% | Signal |
| 2009-03-09 | 2009-03-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-03-09 | 2009-03-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-03-09 | 2009-03-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |