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 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 -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 1.3%. 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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SCHR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.18% | 2.23% | 2.08% | -0.20% | 2.31% | 1.11% | 1.95% | 1.31% |
| Sharpe Ratio | 0.98 | 0.65 | 0.59 | -0.04 | 0.72 | 0.25 | 0.61 | 0.31 |
| Max Drawdown | -2.79% | -2.79% | -4.36% | -15.07% | -4.36% | -16.11% | -5.40% | -16.11% |
| % Time Invested | 88.5% | 100.0% | 59.2% | 100.0% | 62.9% | 100.0% | 67.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.8 | 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 | |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $22.49 | $23.32 | 3.67% | Signal | |
| 2023-08-14 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.14% | Interest Income | |
| 2023-03-21 | 2023-08-14 | Completed | 100% | $22.13 | $21.76 | -1.74% | Signal | |
| 2021-10-28 | 2023-03-21 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.10% | Interest Income | |
| 2021-08-20 | 2021-10-28 | Completed | 100% | $24.66 | $24.23 | -1.78% | Signal | |
| 2020-12-21 | 2021-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-12-06 | 2020-12-21 | Completed | 100% | $21.44 | $24.86 | 15.89% | Signal | |
| 2018-11-07 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2018-08-30 | 2018-11-07 | Completed | 100% | $21.25 | $21.06 | -0.98% | Signal | |
| 2017-12-21 | 2018-08-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2017-03-24 | 2017-12-21 | Completed | 100% | $21.24 | $21.39 | 0.68% | Signal | |
| 2016-11-23 | 2017-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-09-02 | 2016-11-23 | Completed | 100% | $20.97 | $21.14 | 0.75% | Signal | |
| 2015-08-11 | 2015-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-02-27 | 2015-08-11 | Completed | 100% | $20.13 | $20.99 | 4.20% | Signal | |
| 2013-06-25 | 2014-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-17 | 2013-06-25 | Completed | 100% | $20.49 | $19.82 | -3.29% | Signal | |
| 2013-02-21 | 2013-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-07-30 | 2013-02-21 | Completed | 100% | $20.33 | $20.25 | -0.44% | Signal | |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |