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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.3% (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 2.1%. The strategy executed 3 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for MBB:
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 Model
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.
Switch to MMA to enable
🛡️ MBB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-5.3% (vs -17.6% B&H)
+12.4% shallower drawdown
Downside Efficiency
1.08 Sortino
+0.49 vs 0.59 B&H
Capital Sheltered from Risk
24.2% 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 | -2.94% | -2.94% | -5.28% | -17.15% | -5.28% | -17.65% | -5.28% | -17.65% |
| Sharpe Ratio | 0.27 | 0.27 | 0.79 | 0.01 | 0.85 | 0.21 | 1.00 | 0.47 |
| Sortino Ratio | 0.42 | 0.42 | 0.84 | 0.01 | 0.81 | 0.27 | 1.08 | 0.59 |
| CAGR | 1.19% | 1.19% | 2.64% | 0.06% | 2.68% | 1.13% | 2.95% | 2.12% |
| % Time Invested | 100.0% | 100.0% | 48.9% | 100.0% | 62.1% | 100.0% | 75.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.2 | 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 | ||||||||
| 2022-01-13 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.83% | Interest Income | |
| 2018-12-06 | 2022-01-13 | Completed | 100% | $82.52 | $89.93 | 8.93% | Signal | |
| 2017-09-12 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 2014-04-14 | 2017-09-12 | Completed | 100% | $76.15 | $82.90 | 8.81% | Signal | |
| 2013-10-29 | 2014-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-03-11 | 2013-10-29 | Completed | 100% | $63.86 | $75.45 | 18.07% | Signal | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |