SHYG iShares 0-5 Year High Yield Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SHYG (iShares 0-5 Year High Yield Corporate 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 -6.9% (compared to the benchmark's drawdown of -19.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.7%, compared to a Buy-and-Hold benchmark return of 5.0%. The strategy executed 20 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.
SHYG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.69% | 6.96% | 4.23% | 4.91% | 4.87% | 5.24% | 4.69% | 5.03% |
| Sharpe Ratio | 2.15 | 2.15 | 1.17 | 0.84 | 1.22 | 0.80 | 1.21 | 0.77 |
| Max Drawdown | -1.75% | -1.75% | -4.53% | -9.38% | -6.94% | -19.27% | -6.94% | -19.27% |
| % Time Invested | 100.0% | 100.0% | 89.4% | 100.0% | 94.1% | 100.0% | 89.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 1.7 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-02-06 | Open | Open | 33.33% | $36.00 | $42.59 | 18.30% | Mark-to-Market |
| 2023-11-21 | Open | Open | 33.33% | $34.77 | $42.59 | 22.48% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-07-17 | 2026-05-04 | Completed | 33.33% | $40.43 | $42.42 | 4.92% | Signal |
| 2025-06-03 | 2025-07-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-25 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2024-07-19 | 2025-04-25 | Completed | 33.33% | $37.40 | $39.21 | 4.84% | Signal |
| 2024-06-26 | 2024-07-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2023-12-27 | 2024-06-26 | Completed | 33.33% | $35.99 | $36.91 | 2.54% | Signal |
| 2023-06-02 | 2024-02-06 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 4.54% | Interest Income |
| 2023-10-25 | 2023-12-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.03% | Interest Income |
| 2023-10-30 | 2023-11-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-04-03 | 2023-10-30 | Completed | 33.33% | $33.47 | $33.77 | 0.92% | Signal |
| 2023-06-30 | 2023-10-25 | Completed | 33.33% | $33.86 | $33.83 | -0.09% | Signal |
| 2023-06-02 | 2023-06-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.63% | 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 |
| 2023-01-13 | 2023-05-18 | Completed | 33.33% | $33.33 | $33.27 | -0.18% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | 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 |
| 2022-08-19 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-03-29 | 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 |
| 2022-07-07 | 2022-08-19 | Completed | 33.33% | $31.36 | $32.68 | 4.20% | Signal |
| 2022-06-13 | 2022-07-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2021-03-10 | 2022-06-13 | Completed | 33.33% | $32.81 | $31.47 | -4.10% | Stop |
| 2020-05-27 | 2022-03-29 | Completed | 33.33% | $29.55 | $33.33 | 12.79% | Signal |
| 2022-02-14 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2020-05-27 | 2022-02-14 | Completed | 33.33% | $29.55 | $33.25 | 12.51% | Signal |
| 2020-12-02 | 2021-03-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2020-11-10 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-04-01 | 2020-11-10 | Completed | 33.33% | $27.61 | $31.81 | 15.23% | Signal |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-04-03 | 2020-03-10 | Completed | 33.33% | $30.47 | $29.99 | -1.56% | Stop |
| 2019-03-20 | 2020-03-10 | Completed | 33.33% | $30.26 | $29.99 | -0.88% | Stop |
| 2016-08-12 | 2020-03-10 | Completed | 33.33% | $26.43 | $29.99 | 13.49% | Stop |
| 2019-03-12 | 2019-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2019-03-04 | 2019-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2016-07-12 | 2019-03-12 | Completed | 33.33% | $26.28 | $30.14 | 14.69% | Signal |
| 2018-12-12 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2018-05-16 | 2018-12-12 | Completed | 33.33% | $28.98 | $29.29 | 1.06% | Signal |
| 2018-04-13 | 2018-05-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2018-03-16 | 2018-04-13 | Completed | 33.33% | $28.74 | $29.00 | 0.91% | Signal |
| 2018-02-14 | 2018-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2016-05-05 | 2018-02-14 | Completed | 33.33% | $25.31 | $28.37 | 12.06% | Signal |
| 2016-04-04 | 2016-08-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.88% | Interest Income |
| 2016-04-04 | 2016-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2016-04-04 | 2016-05-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-22 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-10-16 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-10-09 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2015-10-13 | 2015-10-22 | Completed | 33.33% | $25.18 | $25.38 | 0.80% | Signal |
| 2015-10-13 | 2015-10-16 | Completed | 33.33% | $25.18 | $25.23 | 0.17% | Signal |
| 2015-10-09 | 2015-10-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-10-09 | 2015-10-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |