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 Moving Average (50/200)* 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 5 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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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% | 3.50% | 3.32% | 2.32% | 2.22% | 1.37% | 1.31% |
| Sharpe Ratio | 18.89 | 18.89 | 13.46 | 11.30 | 8.82 | 7.97 | 5.22 | 4.82 |
| Max Drawdown | -0.01% | -0.01% | -0.06% | -0.40% | -0.11% | -0.45% | -0.22% | -0.45% |
| % Time Invested | 100.0% | 100.0% | 74.4% | 100.0% | 82.9% | 100.0% | 84.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2022-09-08 | Open | Open | 100% | $93.76 | $110.38 | 17.72% | Mark-to-Market |
| 2020-12-23 | 2022-09-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.87% | Interest Income |
| 2016-02-19 | 2020-12-23 | Completed | 100% | $88.51 | $93.82 | 6.00% | Signal |
| 2015-12-11 | 2016-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-03-16 | 2015-12-11 | Completed | 100% | $88.43 | $88.40 | -0.03% | Signal |
| 2014-12-19 | 2015-03-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-01-03 | 2014-12-19 | Completed | 100% | $88.41 | $88.42 | 0.01% | Signal |
| 2013-12-10 | 2014-01-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-07-26 | 2013-12-10 | Completed | 100% | $88.37 | $88.42 | 0.05% | Signal |
| 2012-02-13 | 2012-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2009-01-06 | 2012-02-13 | Completed | 100% | $87.93 | $88.37 | 0.50% | Signal |
| 2009-01-02 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |