USHY iShares Broad USD High Yield Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for USHY (iShares Broad USD High Yield Corporate Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.8% (compared to the benchmark's drawdown of -22.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.1%, compared to a Buy-and-Hold benchmark return of 4.9%. The strategy executed 14 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
USHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 7.09% | 7.57% | 3.76% | 4.36% | 5.10% | 4.87% |
| Sharpe Ratio | 1.97 | 2.02 | 0.91 | 0.58 | 0.96 | 0.52 |
| Max Drawdown | -2.43% | -2.43% | -8.76% | -15.56% | -8.76% | -22.44% |
| % Time Invested | 100.0% | 100.0% | 87.3% | 100.0% | 89.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 2.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-02-21 | Open | Open | 33.33% | $31.07 | $37.17 | 19.62% | Mark-to-Market |
| 2023-04-21 | Open | Open | 33.33% | $28.53 | $37.17 | 30.29% | Mark-to-Market |
| 2026-05-05 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-07-15 | 2026-05-05 | Completed | 33.33% | $35.21 | $36.96 | 4.96% | Signal |
| 2025-06-03 | 2025-07-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-16 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2024-07-25 | 2025-04-16 | Completed | 33.33% | $32.42 | $33.45 | 3.15% | Signal |
| 2024-07-02 | 2024-07-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2023-12-28 | 2024-07-02 | Completed | 33.33% | $31.17 | $31.82 | 2.10% | Signal |
| 2023-06-02 | 2024-02-21 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 4.85% | Interest Income |
| 2023-10-23 | 2023-12-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income |
| 2023-06-20 | 2023-10-23 | Completed | 33.33% | $28.82 | $28.33 | -1.68% | Signal |
| 2023-06-02 | 2023-06-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-01-27 | 2023-05-23 | Completed | 33.33% | $28.47 | $28.52 | 0.18% | Signal |
| 2023-04-04 | 2023-04-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-07-27 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2022-03-15 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-07-08 | 2022-07-27 | Completed | 33.33% | $27.02 | $27.80 | 2.91% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $29.13 | $26.55 | -8.87% | Stop |
| 2022-03-15 | 2022-04-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-06-03 | 2022-03-15 | Completed | 33.33% | $26.81 | $28.71 | 7.08% | Stop |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $23.82 | $28.71 | 20.55% | Stop |
| 2022-02-02 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-06-03 | 2022-02-02 | Completed | 33.33% | $26.81 | $30.26 | 12.86% | Signal |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-15 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-10 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2020-04-15 | Completed | 33.33% | $23.82 | $25.41 | 6.70% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-10-23 | 2020-03-10 | Completed | 33.33% | $27.16 | $26.29 | -3.22% | Stop |
| 2019-10-23 | 2020-03-10 | Completed | 33.33% | $27.16 | $26.29 | -3.22% | Stop |
| 2019-10-23 | 2020-03-10 | Completed | 33.33% | $27.16 | $26.29 | -3.22% | Stop |
| 2019-10-21 | 2019-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-10-21 | 2019-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-10-21 | 2019-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |