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 Moving Average (50/200)* 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 2.1%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 10 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for SHY:
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 Model
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.
Switch to MMA to enable
🛡️ 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
2.04 Sortino
+0.24 vs 1.80 B&H
Capital Sheltered from Risk
15.3% 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 | -0.89% | -0.89% | -1.58% | -5.64% | -1.58% | -5.71% | -2.23% | -5.71% |
| Sharpe Ratio | 1.36 | 1.36 | 1.90 | 0.88 | 1.80 | 1.04 | 1.55 | 1.29 |
| Sortino Ratio | 1.94 | 1.94 | 2.66 | 1.37 | 2.34 | 1.50 | 2.04 | 1.80 |
| CAGR | 1.79% | 1.79% | 3.16% | 1.77% | 2.39% | 1.65% | 2.13% | 1.94% |
| % Time Invested | 100.0% | 100.0% | 71.6% | 100.0% | 72.5% | 100.0% | 84.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Loading...
Loading Top Diversifiers for SHY... 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 |
|---|---|---|---|
| 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 | ||||||||
| 2021-09-27 | 2023-02-13 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.62% | Interest Income | |
| 2021-09-23 | 2021-09-27 | Completed | 100% | $74.53 | $74.49 | -0.11% | Signal | |
| 2021-07-01 | 2021-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-05-28 | 2021-07-01 | Completed | 100% | $74.64 | $74.50 | -0.23% | Signal | |
| 2021-04-19 | 2021-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2018-07-25 | 2021-04-19 | Completed | 100% | $69.03 | $74.56 | 7.95% | Signal | |
| 2017-12-14 | 2018-07-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2017-05-12 | 2017-12-14 | Completed | 100% | $69.08 | $69.09 | -0.05% | Signal | |
| 2016-12-12 | 2017-05-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-02-09 | 2016-12-12 | Completed | 100% | $68.92 | $68.82 | -0.19% | Signal | |
| 2015-12-30 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-11-07 | 2015-12-30 | Completed | 100% | $67.78 | $68.30 | 0.71% | Signal | |
| 2013-10-16 | 2013-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-04 | 2013-10-16 | Completed | 100% | $67.69 | $67.66 | -0.10% | Signal | |
| 2013-07-30 | 2013-10-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-04-27 | 2013-07-30 | Completed | 100% | $66.61 | $67.61 | 1.45% | Signal | |
| 2011-04-04 | 2011-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2005-05-19 | 2011-04-04 | Completed | 100% | $53.86 | $66.42 | 23.27% | Signal | |
| 2005-03-31 | 2005-05-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2004-08-19 | 2005-03-31 | Completed | 100% | $53.57 | $53.41 | -0.35% | Signal | |
| 2004-07-22 | 2004-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |