SHY

iShares 1-3 Year Treasury Bond ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-10

Executive Summary

The quantitative backtest for SHY (iShares 1-3 Year Treasury Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -2.2% (compared to the benchmark's drawdown of -5.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.4%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 31 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 SHY:

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 SHY:

🛡️ 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.

🛡️ SHY Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-2.2% (vs -5.7% B&H)

+3.5% shallower drawdown

Downside Efficiency

2.58 Sortino

+0.78 vs 1.80 B&H

Capital Sheltered from Risk

34.8% 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.

📊 SHY Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-0.50%	-0.89%	-0.97%	-5.64%	-0.97%	-5.71%	-2.23%	-5.71%
Sharpe Ratio	3.08	1.36	4.06	0.88	3.14	1.04	2.20	1.29
Sortino Ratio	4.75	1.94	4.96	1.37	3.86	1.50	2.58	1.80
CAGR	2.71%	1.79%	3.42%	1.77%	2.62%	1.65%	2.39%	1.94%
% Time Invested	69.6%	100.0%	37.3%	100.0%	48.7%	100.0%	65.2%	100.0%
Trades / Year	1.0	0.0	1.6	0.0	1.4	0.0	1.4	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of SHY under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 2.4% CAGR with a -2.2% Max Drawdown across 31 trade signals (compared to Buy & Hold's 1.9% CAGR and -5.7% Max Drawdown).

Histogram of monthly return distribution for SHY 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 **SHY** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for SHY

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
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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
2025-06-27	2026-05-14	Completed	33.33%	$79.10	$81.25	2.66%	Signal
2025-09-12	2026-02-11	Completed	33.33%	$80.02	$81.17	1.39%	Signal
2025-08-08	2025-09-12	Interest (CASH)	33.33%	$1.00	$1.00	0.40%	Interest Income
2025-02-28	2025-08-08	Completed	33.33%	$77.85	$79.48	2.04%	Signal
2025-04-07	2025-06-27	Interest (CASH)	33.33%	$1.00	$1.01	0.96%	Interest Income
2024-07-31	2025-04-07	Completed	33.33%	$75.76	$78.70	3.83%	Signal
2024-12-23	2025-02-28	Interest (CASH)	33.33%	$1.00	$1.01	0.74%	Interest Income
2024-07-31	2024-12-23	Completed	33.33%	$75.76	$76.87	1.42%	Signal
2024-04-17	2024-07-31	Interest (CASH)	33.33%	$1.00	$1.02	1.53%	Interest Income
2022-01-13	2024-07-31	Interest (CASH)	33.33%	$1.00	$1.11	10.76%	Interest Income
2021-06-23	2024-07-31	Interest (CASH)	33.33%	$1.00	$1.11	10.79%	Interest Income
2024-01-12	2024-04-17	Completed	33.33%	$74.44	$74.06	-0.56%	Signal
2023-06-23	2024-01-12	Interest (CASH)	33.33%	$1.00	$1.03	3.03%	Interest Income
2023-06-08	2023-06-23	Completed	33.33%	$72.19	$72.10	-0.19%	Signal
2023-04-20	2023-06-08	Interest (CASH)	33.33%	$1.00	$1.01	0.70%	Interest Income
2023-04-14	2023-04-20	Completed	33.33%	$72.42	$72.34	-0.16%	Signal
2021-04-20	2023-04-14	Interest (CASH)	33.33%	$1.00	$1.03	3.45%	Interest Income
2018-11-20	2022-01-13	Completed	33.33%	$69.46	$73.84	6.25%	Signal
2018-11-20	2021-06-23	Completed	33.33%	$69.46	$74.52	7.22%	Signal
2021-02-18	2021-04-20	Completed	33.33%	$74.63	$74.57	-0.12%	Signal
2020-12-07	2021-02-18	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-02-21	2020-12-07	Completed	33.33%	$72.85	$74.57	2.31%	Signal
2020-01-15	2020-02-21	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2018-11-20	2020-01-15	Completed	33.33%	$69.46	$72.51	4.32%	Signal
2017-09-29	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.02	2.02%	Interest Income
2017-05-09	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.02	2.43%	Interest Income
2017-01-04	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.03	2.67%	Interest Income
2017-05-16	2017-09-29	Completed	33.33%	$69.10	$69.29	0.23%	Signal
2016-11-10	2017-05-16	Interest (CASH)	33.33%	$1.00	$1.00	0.32%	Interest Income
2006-09-05	2017-05-09	Completed	33.33%	$55.79	$69.02	23.66%	Signal
2013-11-14	2017-01-04	Completed	33.33%	$67.76	$68.78	1.45%	Signal
2016-03-09	2016-11-10	Completed	33.33%	$68.69	$69.05	0.47%	Signal
2016-01-05	2016-03-09	Interest (CASH)	33.33%	$1.00	$1.00	0.05%	Interest Income
2013-10-23	2016-01-05	Completed	33.33%	$67.75	$68.36	0.85%	Signal
2013-10-21	2013-11-14	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2013-07-19	2013-10-23	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2007-08-22	2013-10-21	Completed	33.33%	$58.76	$67.70	15.16%	Signal
2013-02-11	2013-07-19	Completed	33.33%	$67.58	$67.60	-0.02%	Signal
2013-01-17	2013-02-11	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-06-19	2013-01-17	Completed	33.33%	$67.43	$67.56	0.14%	Signal
2012-04-26	2012-06-19	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2011-05-13	2012-04-26	Completed	33.33%	$66.79	$67.43	0.91%	Signal
2011-02-01	2011-05-13	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2009-07-15	2011-02-01	Completed	33.33%	$64.68	$66.49	2.74%	Signal
2009-06-01	2009-07-15	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2008-09-24	2009-06-01	Completed	33.33%	$62.84	$64.53	2.63%	Signal
2008-06-30	2008-09-24	Interest (CASH)	33.33%	$1.00	$1.00	0.38%	Interest Income
2007-08-22	2008-06-30	Completed	33.33%	$58.76	$61.86	5.22%	Signal
2007-06-06	2007-08-22	Interest (CASH)	33.33%	$1.00	$1.01	1.00%	Interest Income
2007-05-29	2007-08-22	Interest (CASH)	33.33%	$1.00	$1.01	1.11%	Interest Income
2007-05-18	2007-06-06	Completed	33.33%	$57.46	$57.42	-0.13%	Signal
2006-09-05	2007-05-29	Completed	33.33%	$55.79	$57.46	2.96%	Signal
2007-02-01	2007-05-18	Interest (CASH)	33.33%	$1.00	$1.01	1.46%	Interest Income
2006-09-05	2007-02-01	Completed	33.33%	$55.79	$56.70	1.59%	Signal
2004-12-28	2006-09-05	Interest (CASH)	33.33%	$1.00	$1.07	6.54%	Interest Income
2004-12-22	2006-09-05	Interest (CASH)	33.33%	$1.00	$1.07	6.57%	Interest Income
2004-08-20	2006-09-05	Interest (CASH)	33.33%	$1.00	$1.07	7.25%	Interest Income
2004-09-27	2004-12-28	Completed	33.33%	$53.66	$53.56	-0.24%	Signal
2004-07-26	2004-12-22	Completed	33.33%	$53.25	$53.60	0.60%	Signal
2004-07-22	2004-09-27	Interest (CASH)	33.33%	$1.00	$1.00	0.28%	Interest Income
2004-07-26	2004-08-20	Completed	33.33%	$53.25	$53.63	0.65%	Signal
2004-07-22	2004-07-26	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2004-07-22	2004-07-26	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where SHY 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 SHY → ⚖️ Compare SHY vs Non-Correlated Assets →

SHY