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 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 2.2%, 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 3.09% | 1.69% | 2.43% | 1.64% | 2.19% | 1.94% |
| Sharpe Ratio | 2.29 | 2.29 | 1.90 | 0.85 | 1.84 | 1.04 | 1.60 | 1.29 |
| Max Drawdown | -0.89% | -0.89% | -1.58% | -5.71% | -1.58% | -5.71% | -2.23% | -5.71% |
| % Time Invested | 100.0% | 100.0% | 67.8% | 100.0% | 72.6% | 100.0% | 84.5% | 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
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 |
|---|---|---|---|---|---|---|---|
| 2023-02-13 | Open | Open | 100% | $72.02 | $81.86 | 13.67% | Mark-to-Market |
| 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% | $75.20 | $75.16 | -0.06% | 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% | $75.31 | $75.17 | -0.18% | 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% | $69.65 | $75.23 | 8.01% | 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% | $69.71 | $69.71 | 0.00% | 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% | $69.54 | $69.44 | -0.14% | 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% | $68.39 | $68.91 | 0.76% | 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% | $68.30 | $68.26 | -0.05% | 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% | $67.21 | $68.22 | 1.50% | 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% | $54.34 | $67.02 | 23.33% | 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% | $54.06 | $53.89 | -0.30% | Signal |
| 2004-07-22 | 2004-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |