SHYG

iShares 0-5 Year High Yield Corporate Bond ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-09

Executive Summary

The quantitative backtest for SHYG (iShares 0-5 Year High Yield Corporate Bond ETF) using the Excess Return MMA* 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 4.5%, compared to a Buy-and-Hold benchmark return of 5.0%. The strategy executed 20 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for SHYG:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for SHYG:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ SHYG Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-6.9% (vs -19.3% B&H)

+12.3% shallower drawdown

Downside Efficiency

1.27 Sortino

+0.41 vs 0.86 B&H

Capital Sheltered from Risk

23.5% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 SHYG Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-1.75%	-1.75%	-4.53%	-9.38%	-6.94%	-19.27%	-6.94%	-19.27%
Sharpe Ratio	1.36	1.32	1.18	0.82	1.20	0.76	1.20	0.77
Sortino Ratio	1.98	1.98	1.50	1.10	1.30	0.84	1.27	0.86
CAGR	4.09%	4.18%	4.06%	4.80%	4.68%	4.94%	4.49%	4.97%
% Time Invested	94.6%	100.0%	71.6%	100.0%	81.4%	100.0%	76.5%	100.0%
Trades / Year	0.0	0.0	1.4	0.0	1.5	0.0	1.8	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of SHYG under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 4.5% CAGR with a -6.9% Max Drawdown across 20 trade signals (compared to Buy & Hold's 5.0% CAGR and -19.3% Max Drawdown).

Histogram of monthly return distribution for SHYG under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **SHYG** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

Loading Top Diversifiers for SHYG...

Top Diversifiers for SHYG

Explore Correlation Across Horizons →

Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
Loading top diversifier assets...

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. Subscribe to Unlock
2026-05-04	2026-07-02	Interest (CASH)	33.33%	$1.00	$1.01	0.60%	Interest Income
2025-07-17	2026-05-04	Completed	33.33%	$39.51	$41.46	4.87%	Signal
2025-04-25	2025-07-17	Interest (CASH)	33.33%	$1.00	$1.01	0.96%	Interest Income
2024-07-19	2025-04-25	Completed	33.33%	$36.55	$38.32	4.79%	Signal
2024-06-26	2024-07-19	Interest (CASH)	33.33%	$1.00	$1.00	0.34%	Interest Income
2023-12-27	2024-06-26	Completed	33.33%	$35.18	$36.07	2.49%	Signal
2022-08-19	2024-02-06	Interest (CASH)	33.33%	$1.00	$1.07	7.25%	Interest Income
2023-10-25	2023-12-27	Interest (CASH)	33.33%	$1.00	$1.01	0.92%	Interest Income
2023-10-30	2023-11-21	Interest (CASH)	33.33%	$1.00	$1.00	0.34%	Interest Income
2023-04-03	2023-10-30	Completed	33.33%	$32.71	$33.01	0.87%	Signal
2023-06-30	2023-10-25	Completed	33.33%	$33.09	$33.06	-0.14%	Signal
2023-05-18	2023-06-30	Interest (CASH)	33.33%	$1.00	$1.01	0.61%	Interest Income
2023-01-13	2023-05-18	Completed	33.33%	$32.57	$32.51	-0.23%	Signal
2022-03-29	2023-04-03	Interest (CASH)	33.33%	$1.00	$1.03	3.19%	Interest Income
2022-02-14	2023-01-13	Interest (CASH)	33.33%	$1.00	$1.02	2.21%	Interest Income
2022-07-07	2022-08-19	Completed	33.33%	$30.65	$31.93	4.15%	Signal
2022-06-13	2022-07-07	Interest (CASH)	33.33%	$1.00	$1.00	0.11%	Interest Income
2021-03-10	2022-06-13	Completed	33.33%	$32.07	$30.75	-4.15%	Stop
2020-05-27	2022-03-29	Completed	33.33%	$28.88	$32.57	12.73%	Signal
2020-05-27	2022-02-14	Completed	33.33%	$28.88	$32.49	12.45%	Signal
2020-11-10	2021-03-10	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-04-01	2020-11-10	Completed	33.33%	$26.98	$31.09	15.17%	Signal
2020-03-10	2020-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-10	2020-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-10	2020-04-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2019-04-03	2020-03-10	Completed	33.33%	$29.78	$29.31	-1.61%	Stop
2019-03-20	2020-03-10	Completed	33.33%	$29.57	$29.31	-0.93%	Stop
2016-08-12	2020-03-10	Completed	33.33%	$25.83	$29.31	13.44%	Stop
2019-03-12	2019-04-03	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2018-12-12	2019-03-20	Interest (CASH)	33.33%	$1.00	$1.01	0.63%	Interest Income
2016-07-12	2019-03-12	Completed	33.33%	$25.68	$29.45	14.63%	Signal
2018-05-16	2018-12-12	Completed	33.33%	$28.32	$28.62	1.01%	Signal
2018-04-13	2018-05-16	Interest (CASH)	33.33%	$1.00	$1.00	0.17%	Interest Income
2018-03-16	2018-04-13	Completed	33.33%	$28.09	$28.34	0.86%	Signal
2018-02-14	2018-03-16	Interest (CASH)	33.33%	$1.00	$1.00	0.14%	Interest Income
2016-05-05	2018-02-14	Completed	33.33%	$24.74	$27.72	12.00%	Signal
2015-10-22	2016-08-12	Interest (CASH)	33.33%	$1.00	$1.00	0.20%	Interest Income
2015-10-16	2016-07-12	Interest (CASH)	33.33%	$1.00	$1.00	0.17%	Interest Income
2015-10-09	2016-05-05	Interest (CASH)	33.33%	$1.00	$1.00	0.12%	Interest Income
2015-10-13	2015-10-22	Completed	33.33%	$24.61	$24.81	0.75%	Signal
2015-10-13	2015-10-16	Completed	33.33%	$24.61	$24.65	0.12%	Signal
2015-10-09	2015-10-13	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2015-10-09	2015-10-13	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where SHYG ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with SHYG → ⚖️ Compare SHYG vs Non-Correlated Assets →