MBB
iShares MBS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for MBB (iShares MBS ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.0% (compared to the benchmark's drawdown of -17.6%). 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 2.1%. The strategy executed 23 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for MBB:
Excess Return MMA Active Model
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for MBB:
🛡️ Long-Term Investing Active Horizon
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.
🛡️ MBB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-5.0% (vs -17.6% B&H)
+12.7% shallower drawdown
Downside Efficiency
1.19 Sortino
+0.60 vs 0.59 B&H
Capital Sheltered from Risk
29.7% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 MBB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -2.75% | -2.94% | -4.96% | -17.15% | -4.96% | -17.65% | -4.96% | -17.65% |
| Sharpe Ratio | 0.52 | 0.27 | 1.01 | 0.01 | 0.88 | 0.21 | 1.05 | 0.47 |
| Sortino Ratio | 0.72 | 0.42 | 1.13 | 0.01 | 0.89 | 0.27 | 1.19 | 0.59 |
| CAGR | 1.99% | 1.19% | 3.05% | 0.06% | 2.57% | 1.13% | 2.82% | 2.12% |
| % Time Invested | 84.8% | 100.0% | 44.3% | 100.0% | 56.4% | 100.0% | 70.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 1.4 | 0.0 | 1.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for MBB... Top Diversifiers for MBB
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2025-08-25 | 2026-05-18 | Completed | 33.33% | $89.59 | $92.33 | 3.00% | Signal | |
| 2025-07-31 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2025-04-23 | 2025-07-31 | Completed | 33.33% | $87.57 | $88.71 | 1.26% | Signal | |
| 2025-03-19 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2024-12-19 | 2025-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-04-23 | 2025-03-19 | Completed | 33.33% | $81.14 | $87.31 | 7.56% | Signal | |
| 2024-08-05 | 2024-12-19 | Completed | 33.33% | $87.70 | $84.87 | -3.27% | Signal | |
| 2024-05-08 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2021-12-30 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.83% | Interest Income | |
| 2024-01-24 | 2024-05-08 | Completed | 33.33% | $83.32 | $82.46 | -1.08% | Signal | |
| 2021-04-09 | 2024-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.22% | Interest Income | |
| 2023-05-15 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.77% | Interest Income | |
| 2023-02-10 | 2023-05-15 | Completed | 33.33% | $82.16 | $82.46 | 0.31% | Signal | |
| 2021-11-17 | 2023-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.59% | Interest Income | |
| 2018-12-06 | 2021-12-30 | Completed | 33.33% | $82.52 | $90.89 | 10.08% | Signal | |
| 2021-08-23 | 2021-11-17 | Completed | 33.33% | $91.67 | $90.90 | -0.89% | Signal | |
| 2021-03-25 | 2021-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-06 | 2021-04-09 | Completed | 33.33% | $82.52 | $91.20 | 10.46% | Signal | |
| 2018-12-06 | 2021-03-25 | Completed | 33.33% | $82.52 | $91.31 | 10.59% | Signal | |
| 2018-10-12 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2018-02-23 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.59% | Interest Income | |
| 2017-08-03 | 2018-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.28% | Interest Income | |
| 2018-08-22 | 2018-10-12 | Completed | 33.33% | $82.35 | $81.33 | -1.29% | Signal | |
| 2017-12-28 | 2018-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2017-08-16 | 2018-02-23 | Completed | 33.33% | $82.51 | $81.22 | -1.61% | Signal | |
| 2017-05-09 | 2017-12-28 | Completed | 33.33% | $81.58 | $82.74 | 1.38% | Signal | |
| 2017-01-25 | 2017-08-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2014-04-14 | 2017-08-03 | Completed | 33.33% | $76.15 | $82.47 | 8.24% | Signal | |
| 2016-12-05 | 2017-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2014-02-26 | 2017-01-25 | Completed | 33.33% | $75.76 | $80.64 | 6.39% | Signal | |
| 2015-10-02 | 2016-12-05 | Completed | 33.33% | $80.48 | $80.67 | 0.19% | Signal | |
| 2015-07-14 | 2015-10-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-11-20 | 2015-07-14 | Completed | 33.33% | $75.23 | $79.09 | 5.07% | Signal | |
| 2013-10-15 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-18 | 2014-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-06-11 | 2013-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-03-11 | 2013-10-15 | Completed | 33.33% | $63.86 | $74.67 | 16.86% | Signal | |
| 2013-04-08 | 2013-06-11 | Completed | 33.33% | $76.20 | $74.63 | -2.12% | Signal | |
| 2009-03-11 | 2013-04-18 | Completed | 33.33% | $63.86 | $76.18 | 19.22% | Signal | |
| 2013-01-07 | 2013-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-05-02 | 2013-01-07 | Completed | 33.33% | $71.47 | $75.88 | 6.11% | Signal | |
| 2011-02-01 | 2011-05-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-03-11 | 2011-02-01 | Completed | 33.33% | $63.86 | $70.26 | 9.96% | Signal | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |