SCHZ Schwab U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SCHZ (Schwab U.S. Aggregate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.4% (compared to the benchmark's drawdown of -18.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 2.1%. The strategy executed 24 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
SCHZ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.96% | 5.35% | 3.05% | 0.17% | 2.81% | 1.64% | 2.81% | 2.12% |
| Sharpe Ratio | 1.70 | 1.38 | 1.13 | 0.03 | 0.86 | 0.30 | 0.91 | 0.42 |
| Max Drawdown | -1.99% | -2.69% | -4.39% | -18.01% | -8.40% | -18.74% | -8.40% | -18.74% |
| % Time Invested | 100.0% | 100.0% | 66.5% | 100.0% | 76.3% | 100.0% | 81.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 1.8 | 0.0 | 1.9 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-11-05 | Open | Open | 33.33% | $22.95 | $23.17 | 0.94% | Mark-to-Market |
| 2025-09-08 | Open | Open | 33.33% | $22.86 | $23.17 | 1.34% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-11 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2025-08-25 | 2026-03-11 | Completed | 33.33% | $22.55 | $23.21 | 2.95% | Signal |
| 2025-10-13 | 2025-11-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2024-08-05 | 2025-10-13 | Completed | 33.33% | $22.04 | $22.95 | 4.12% | Signal |
| 2025-06-03 | 2025-09-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2025-08-01 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-04-29 | 2025-08-01 | Completed | 33.33% | $22.09 | $22.44 | 1.58% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-20 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $20.61 | $22.01 | 6.81% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $22.04 | $21.53 | -2.30% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-08 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-23 | 2024-05-08 | Completed | 33.33% | $20.97 | $20.85 | -0.55% | Signal |
| 2023-06-02 | 2024-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.21% | Interest Income |
| 2023-05-18 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-18 | Completed | 33.33% | $20.48 | $20.63 | 0.74% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-14 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-14 | 2022-02-14 | Completed | 33.33% | $23.17 | $22.30 | -3.76% | Signal |
| 2020-04-06 | 2022-01-04 | Completed | 33.33% | $22.54 | $22.97 | 1.89% | Signal |
| 2021-11-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-07-22 | 2021-11-30 | Completed | 33.33% | $23.33 | $23.27 | -0.26% | Signal |
| 2021-09-02 | 2021-10-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-24 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-12-14 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2020-04-06 | 2021-03-24 | Completed | 33.33% | $22.54 | $22.79 | 1.10% | Signal |
| 2020-04-06 | 2020-12-14 | Completed | 33.33% | $22.54 | $23.50 | 4.25% | Signal |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.93 | $21.43 | 7.52% | Stop |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.93 | $21.43 | 7.52% | Stop |
| 2018-12-06 | 2020-03-13 | Completed | 33.33% | $19.93 | $21.43 | 7.52% | Stop |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2018-12-04 | 2018-12-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-16 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2018-03-01 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2017-09-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.33% | Interest Income |
| 2018-08-27 | 2018-10-16 | Completed | 33.33% | $20.01 | $19.74 | -1.38% | Signal |
| 2017-12-21 | 2018-08-27 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.58% | Interest Income |
| 2017-03-24 | 2018-03-01 | Completed | 33.33% | $19.65 | $19.78 | 0.67% | Signal |
| 2017-03-24 | 2017-12-21 | Completed | 33.33% | $19.65 | $20.06 | 2.09% | Signal |
| 2014-04-01 | 2017-09-29 | Completed | 33.33% | $18.22 | $20.13 | 10.49% | Signal |
| 2017-02-01 | 2017-03-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2016-11-28 | 2017-03-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2016-01-08 | 2017-02-01 | Completed | 33.33% | $19.15 | $19.53 | 1.97% | Signal |
| 2015-10-15 | 2016-11-28 | Completed | 33.33% | $19.27 | $19.49 | 1.17% | Signal |
| 2015-11-03 | 2016-01-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2015-09-30 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-09-02 | 2015-10-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-03-03 | 2015-09-30 | Completed | 33.33% | $18.27 | $19.12 | 4.65% | Signal |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-06-29 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-11-25 | 2015-06-29 | Completed | 33.33% | $17.99 | $18.86 | 4.88% | Signal |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-11 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-07-11 | 2013-12-11 | Completed | 33.33% | $17.70 | $18.00 | 1.71% | Signal |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-11-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2013-07-09 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-07-09 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-07-09 | 2013-07-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |