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 Moving Average (50/200)* 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 1.9%, compared to a Buy-and-Hold benchmark return of 2.0%. 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.
Switch to MMA to enable
SCHZ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.15% | 3.18% | 1.26% | -0.35% | 1.73% | 1.34% | 1.93% | 2.02% |
| Sharpe Ratio | 0.83 | 0.84 | 0.29 | -0.06 | 0.39 | 0.25 | 0.48 | 0.40 |
| Max Drawdown | -2.69% | -2.69% | -5.00% | -18.01% | -10.27% | -18.74% | -10.27% | -18.74% |
| % Time Invested | 99.6% | 100.0% | 69.2% | 100.0% | 71.3% | 100.0% | 71.2% | 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 | ||||||||
| 2025-02-24 | 2025-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-24 | Completed | 100% | $20.91 | $21.67 | 3.59% | Signal | |
| 2023-08-22 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.01% | Interest Income | |
| 2023-02-06 | 2023-08-22 | Completed | 100% | $20.62 | $19.95 | -3.31% | Signal | |
| 2022-01-07 | 2023-02-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.51% | Interest Income | |
| 2021-08-04 | 2022-01-07 | Completed | 100% | $23.35 | $22.71 | -2.78% | Signal | |
| 2021-02-26 | 2021-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-06 | 2021-02-26 | Completed | 100% | $19.80 | $22.75 | 14.84% | Signal | |
| 2018-11-05 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2018-08-30 | 2018-11-05 | Completed | 100% | $19.83 | $19.51 | -1.67% | Signal | |
| 2018-02-12 | 2018-08-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2017-03-24 | 2018-02-12 | Completed | 100% | $19.51 | $19.64 | 0.62% | Signal | |
| 2016-12-08 | 2017-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2016-02-03 | 2016-12-08 | Completed | 100% | $19.21 | $19.35 | 0.67% | Signal | |
| 2016-01-11 | 2016-02-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-15 | 2016-01-11 | Completed | 100% | $19.13 | $19.05 | -0.47% | Signal | |
| 2015-07-07 | 2015-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-01-27 | 2015-07-07 | Completed | 100% | $17.99 | $18.89 | 4.95% | Signal | |
| 2014-01-02 | 2014-01-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-12-27 | 2014-01-02 | Completed | 100% | $17.80 | $17.78 | -0.15% | Signal | |
| 2013-07-09 | 2013-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |