MBB
iShares MBS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 11 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
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MBB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.55% | 4.55% | 2.26% | 0.15% | 1.79% | 1.18% | 2.30% | 2.15% |
| Sharpe Ratio | 1.01 | 1.01 | 0.48 | 0.02 | 0.46 | 0.22 | 0.68 | 0.48 |
| Max Drawdown | -2.94% | -2.94% | -5.37% | -17.19% | -5.37% | -17.65% | -5.37% | -17.65% |
| % Time Invested | 100.0% | 100.0% | 61.9% | 100.0% | 67.0% | 100.0% | 76.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 0.6 | 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 | ||||||||
| 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% | $83.97 | $88.00 | 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% | $82.80 | $80.44 | -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% | $92.65 | $91.85 | -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% | $83.13 | $91.92 | 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% | $82.95 | $81.67 | -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% | $82.75 | $81.77 | -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% | $80.28 | $81.25 | 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% | $75.54 | $80.33 | 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% | $76.76 | $75.28 | -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% | $71.38 | $76.05 | 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% | $64.33 | $70.11 | 8.93% | Signal | |
| 2009-03-09 | 2009-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |