TLT
iShares 20+ Year Treasury Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
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 -38.3% (compared to the benchmark's drawdown of -48.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.4%, compared to a Buy-and-Hold benchmark return of 3.4%. 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.
📊 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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TLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.78% | 2.88% | 3.66% | -6.39% | 2.62% | -1.76% | 3.40% | 3.39% |
| Sharpe Ratio | 2.57 | 0.30 | 0.96 | -0.42 | 0.28 | -0.12 | 0.29 | 0.23 |
| Max Drawdown | -1.20% | -7.58% | -7.43% | -43.70% | -26.03% | -48.35% | -38.26% | -48.35% |
| % Time Invested | 4.0% | 100.0% | 9.1% | 100.0% | 41.8% | 100.0% | 64.0% | 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
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 |
|---|---|---|---|---|---|---|---|
| 2026-06-01 | Open | Open | 100% | $84.93 | $85.77 | 0.99% | Mark-to-Market |
| 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% | $92.07 | $86.90 | -5.62% | 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% | $117.07 | $126.59 | 8.13% | 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% | $136.87 | $122.63 | -10.40% | 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% | $95.90 | $121.90 | 27.12% | 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% | $98.88 | $93.02 | -5.93% | 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% | $91.17 | $97.21 | 6.62% | 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% | $86.03 | $93.33 | 8.48% | 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% | $86.68 | $85.55 | -1.31% | 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% | $75.64 | $72.58 | -4.04% | 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% | $66.76 | $76.67 | 14.85% | 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% | $57.11 | $55.29 | -3.18% | 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% | $63.05 | $54.82 | -13.06% | 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% | $46.73 | $62.32 | 33.38% | 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% | $41.28 | $45.18 | 9.45% | Signal |
| 2004-07-22 | 2004-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |