TLT
iShares 20+ Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for TLT (iShares 20+ 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 -38.5% (compared to the benchmark's drawdown of -48.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.1%, compared to a Buy-and-Hold benchmark return of 3.1%. The strategy executed 14 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for TLT:
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 Model
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 TLT:
🛡️ 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
🛡️ TLT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-38.5% (vs -48.4% B&H)
+9.9% shallower drawdown
Drawdown Shield
9.9% Cut
Protected capital vs -48.4% B&H
Capital Sheltered from Risk
35.6% 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.
📊 TLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -6.56% | -8.67% | -7.48% | -43.70% | -26.18% | -48.35% | -38.45% | -48.35% |
| Sharpe Ratio | -0.23 | -0.73 | 0.44 | -0.56 | 0.22 | -0.16 | 0.27 | 0.21 |
| Sortino Ratio | -0.19 | -1.13 | 0.21 | -0.88 | 0.19 | -0.23 | 0.31 | 0.32 |
| CAGR | -1.16% | -6.39% | 1.44% | -8.37% | 1.99% | -2.29% | 3.07% | 3.13% |
| % Time Invested | 28.6% | 100.0% | 9.6% | 100.0% | 41.7% | 100.0% | 64.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for TLT... Top Diversifiers for TLT
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 | ||||||||
| 2024-10-11 | 2026-06-01 | Interest (CASH) | 100% | $1.00 | $1.07 | 6.76% | Interest Income | |
| 2024-08-05 | 2024-10-11 | Completed | 100% | $91.02 | $85.90 | -5.67% | Stop | |
| 2021-09-01 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2021-03-11 | 2021-09-01 | Completed | 100% | $115.73 | $125.13 | 8.07% | Signal | |
| 2021-02-17 | 2021-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-13 | 2021-02-17 | Completed | 100% | $135.30 | $121.22 | -10.45% | Stop | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-19 | Completed | 100% | $94.80 | $120.50 | 27.06% | Stop | |
| 2018-02-08 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2017-11-07 | 2018-02-08 | Completed | 100% | $97.74 | $91.95 | -5.97% | Stop | |
| 2017-08-08 | 2017-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-12-08 | 2017-08-08 | Completed | 100% | $90.12 | $96.09 | 6.57% | Signal | |
| 2016-11-15 | 2016-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-07-02 | 2016-11-15 | Completed | 100% | $85.05 | $92.26 | 8.43% | Stop | |
| 2015-06-10 | 2015-07-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-28 | 2015-06-10 | Completed | 100% | $85.69 | $84.57 | -1.36% | Stop | |
| 2013-09-13 | 2014-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-07-16 | 2013-09-13 | Completed | 100% | $74.77 | $71.75 | -4.09% | Signal | |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-10-12 | 2013-06-21 | Completed | 100% | $65.99 | $75.79 | 14.79% | Stop | |
| 2010-03-26 | 2010-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2009-06-30 | 2010-03-26 | Completed | 100% | $56.45 | $54.66 | -3.23% | Signal | |
| 2009-06-08 | 2009-06-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-02-25 | 2009-06-08 | Completed | 100% | $62.33 | $54.19 | -13.11% | Stop | |
| 2009-02-02 | 2009-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2006-08-29 | 2009-02-02 | Completed | 100% | $46.19 | $61.61 | 33.31% | Stop | |
| 2006-07-13 | 2006-08-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2004-07-26 | 2006-07-13 | Completed | 100% | $40.80 | $44.66 | 9.40% | Signal | |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |