SCHZ
Schwab U.S. Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SCHZ (Schwab U.S. Aggregate Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -10.3% (compared to the benchmark's drawdown of -18.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.0%, compared to a Buy-and-Hold benchmark return of 2.0%. The strategy executed 5 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.
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SCHZ 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% | 3.18% | 2.24% | -0.35% | 2.83% | 1.34% | 3.01% | 2.02% |
| Sharpe Ratio | 0.84 | 0.84 | 0.73 | -0.06 | 0.72 | 0.25 | 0.81 | 0.40 |
| Max Drawdown | -2.69% | -2.69% | -4.92% | -18.01% | -10.27% | -18.74% | -10.27% | -18.74% |
| % Time Invested | 100.0% | 100.0% | 49.2% | 100.0% | 64.2% | 100.0% | 70.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.4 | 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 | ||||||||
| 2022-01-19 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.82% | Interest Income | |
| 2018-12-06 | 2022-01-19 | Completed | 100% | $19.80 | $22.48 | 13.49% | Signal | |
| 2018-02-08 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.65% | Interest Income | |
| 2018-02-02 | 2018-02-08 | Completed | 100% | $19.74 | $19.66 | -0.44% | Signal | |
| 2018-01-10 | 2018-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2017-12-28 | 2018-01-10 | Completed | 100% | $20.03 | $19.91 | -0.65% | Signal | |
| 2017-11-02 | 2017-12-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2014-04-01 | 2017-11-02 | Completed | 100% | $18.10 | $20.00 | 10.48% | Signal | |
| 2013-12-26 | 2014-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-07-11 | 2013-12-26 | Completed | 100% | $17.58 | $17.79 | 1.18% | Signal | |
| 2013-07-09 | 2013-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |