MBB
iShares MBS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for MBB (iShares MBS ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.4% (compared to the benchmark's drawdown of -17.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 2.1%. The strategy executed 12 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
-5.4% (vs -17.6% B&H)
+12.3% shallower drawdown
Downside Efficiency
0.74 Sortino
+0.15 vs 0.59 B&H
Capital Sheltered from Risk
23.9% 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% | -5.37% | -17.15% | -5.37% | -17.65% | -5.37% | -17.65% |
| Sharpe Ratio | 0.43 | 0.27 | 0.49 | 0.01 | 0.46 | 0.21 | 0.68 | 0.47 |
| Sortino Ratio | 0.64 | 0.42 | 0.60 | 0.01 | 0.47 | 0.27 | 0.74 | 0.59 |
| CAGR | 1.86% | 1.19% | 2.34% | 0.06% | 1.80% | 1.13% | 2.31% | 2.12% |
| % Time Invested | 98.4% | 100.0% | 64.1% | 100.0% | 66.8% | 100.0% | 76.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-08 | 2025-02-25 | Completed | 100% | $83.36 | $87.35 | 4.74% | Signal | |
| 2023-08-17 | 2024-01-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.12% | Interest Income | |
| 2023-02-07 | 2023-08-17 | Completed | 100% | $82.19 | $79.86 | -2.89% | Signal | |
| 2021-10-18 | 2023-02-07 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.54% | Interest Income | |
| 2021-09-15 | 2021-10-18 | Completed | 100% | $91.97 | $91.18 | -0.91% | Signal | |
| 2021-03-23 | 2021-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2018-12-06 | 2021-03-23 | Completed | 100% | $82.52 | $91.25 | 10.52% | Signal | |
| 2018-11-07 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2018-08-22 | 2018-11-07 | Completed | 100% | $82.35 | $81.08 | -1.59% | Signal | |
| 2018-02-08 | 2018-08-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2017-05-25 | 2018-02-08 | Completed | 100% | $82.15 | $81.17 | -1.24% | Signal | |
| 2016-12-12 | 2017-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2015-08-26 | 2016-12-12 | Completed | 100% | $79.70 | $80.66 | 1.16% | Signal | |
| 2015-08-04 | 2015-08-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-11-26 | 2015-08-04 | Completed | 100% | $74.99 | $79.74 | 6.29% | Signal | |
| 2013-06-05 | 2013-11-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-04-08 | 2013-06-05 | Completed | 100% | $76.20 | $74.73 | -1.99% | Signal | |
| 2013-02-13 | 2013-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-04-18 | 2013-02-13 | Completed | 100% | $70.86 | $75.49 | 6.48% | Signal | |
| 2011-02-14 | 2011-04-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-03-11 | 2011-02-14 | Completed | 100% | $63.86 | $69.60 | 8.93% | Signal | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |