SHY
iShares 1-3 Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-07
Executive Summary
The quantitative backtest for SHY (iShares 1-3 Year 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 -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 2.5%, compared to a Buy-and-Hold benchmark return of 1.9%. 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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SHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.11% | 3.11% | 3.18% | 1.69% | 2.57% | 1.64% | 2.47% | 1.94% |
| Sharpe Ratio | 2.29 | 2.29 | 3.19 | 0.85 | 2.69 | 1.04 | 2.06 | 1.29 |
| Max Drawdown | -0.89% | -0.89% | -1.49% | -5.71% | -1.49% | -5.71% | -2.23% | -5.71% |
| % Time Invested | 100.0% | 100.0% | 50.1% | 100.0% | 61.0% | 100.0% | 74.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-07-31 | Open | Open | 100% | $76.44 | $81.86 | 7.09% | Mark-to-Market |
| 2022-01-31 | 2024-07-31 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.75% | Interest Income |
| 2018-11-20 | 2022-01-31 | Completed | 100% | $70.09 | $74.22 | 5.89% | Signal |
| 2017-06-26 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.30% | Interest Income |
| 2006-09-05 | 2017-06-26 | Completed | 100% | $56.29 | $69.78 | 23.96% | Signal |
| 2005-02-04 | 2006-09-05 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.27% | Interest Income |
| 2004-07-26 | 2005-02-04 | Completed | 100% | $53.73 | $54.08 | 0.66% | Signal |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |