SHV iShares Short Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SHV (iShares Short Treasury Bond ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -0.2% (compared to the benchmark's drawdown of -0.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.4%, 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.
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SHV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.93% | 3.93% | 3.54% | 3.32% | 2.38% | 2.22% | 1.41% | 1.31% |
| Sharpe Ratio | 18.89 | 18.89 | 13.75 | 11.30 | 10.17 | 7.97 | 5.92 | 4.82 |
| Max Drawdown | -0.01% | -0.01% | -0.12% | -0.40% | -0.17% | -0.45% | -0.22% | -0.45% |
| % Time Invested | 100.0% | 100.0% | 82.2% | 100.0% | 68.3% | 100.0% | 58.4% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2022-12-02 | Open | Open | 100% | $94.27 | $110.38 | 17.09% | Mark-to-Market |
| 2022-01-12 | 2022-12-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.73% | Interest Income |
| 2018-09-07 | 2022-01-12 | Completed | 100% | $90.32 | $93.69 | 3.73% | Signal |
| 2012-07-31 | 2018-09-07 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.71% | Interest Income |
| 2011-05-11 | 2012-07-31 | Completed | 100% | $88.36 | $88.37 | 0.01% | Signal |
| 2011-02-10 | 2011-05-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-06 | 2011-02-10 | Completed | 100% | $87.93 | $88.33 | 0.45% | Signal |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |