SCHR
Schwab Intermediate-term U.S. Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SCHR (Schwab Intermediate-term U.S. Treasury ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.2% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.5%, compared to a Buy-and-Hold benchmark return of 1.3%. 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.
📊 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 Active
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.
🎯 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.
Switch to MMA to enable
SCHR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.23% | 2.23% | 2.59% | -0.20% | 2.88% | 1.11% | 2.49% | 1.31% |
| Sharpe Ratio | 0.65 | 0.65 | 0.97 | -0.04 | 1.01 | 0.25 | 0.82 | 0.31 |
| Max Drawdown | -2.79% | -2.79% | -4.35% | -15.07% | -4.83% | -16.11% | -5.25% | -16.11% |
| % Time Invested | 100.0% | 100.0% | 46.5% | 100.0% | 59.9% | 100.0% | 68.8% | 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
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 | ||||||||
| 2021-11-30 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.84% | Interest Income | |
| 2018-11-20 | 2021-11-30 | Completed | 100% | $21.26 | $24.37 | 14.58% | Signal | |
| 2017-07-24 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.22% | Interest Income | |
| 2014-04-14 | 2017-07-24 | Completed | 100% | $20.15 | $21.59 | 7.09% | Signal | |
| 2013-12-06 | 2014-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-07-30 | 2013-12-06 | Completed | 100% | $20.33 | $19.93 | -2.05% | Signal | |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |