ACWI iShares MSCI Acwi ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for ACWI (iShares MSCI Acwi ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.5% (compared to the benchmark's drawdown of -33.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.0%, compared to a Buy-and-Hold benchmark return of 10.6%. The strategy executed 38 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.
ACWI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 30.09% | 30.09% | 7.77% | 11.40% | 11.10% | 12.93% | 7.98% | 10.56% |
| Sharpe Ratio | 2.07 | 2.07 | 0.65 | 0.68 | 0.91 | 0.71 | 0.65 | 0.58 |
| Max Drawdown | -9.73% | -9.73% | -20.46% | -26.42% | -20.46% | -33.53% | -20.46% | -33.53% |
| % Time Invested | 100.0% | 100.0% | 91.7% | 100.0% | 94.8% | 100.0% | 94.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.8 | 0.0 | 2.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-16 | Open | Open | 33.33% | $121.59 | $158.54 | 30.38% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $116.05 | $158.54 | 36.62% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $113.97 | $158.54 | 39.11% | Mark-to-Market |
| 2025-05-02 | 2025-05-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-03-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-04-03 | 2025-04-08 | Completed | 33.33% | $86.41 | $106.56 | 23.32% | Stop |
| 2023-04-03 | 2025-04-07 | Completed | 33.33% | $86.41 | $101.11 | 17.02% | Stop |
| 2024-01-08 | 2025-03-19 | Completed | 33.33% | $96.81 | $116.04 | 19.86% | Signal |
| 2023-10-25 | 2024-01-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income |
| 2023-01-18 | 2023-10-25 | Completed | 33.33% | $85.51 | $86.79 | 1.50% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-02 | 2023-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | 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 |
| 2022-10-03 | 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 |
| 2022-06-02 | 2022-10-03 | Completed | 33.33% | $85.48 | $74.01 | -13.41% | Stop |
| 2022-04-28 | 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 |
| 2022-05-10 | 2022-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $54.19 | $83.12 | 53.38% | Stop |
| 2022-03-30 | 2022-04-28 | Completed | 33.33% | $94.84 | $86.85 | -8.42% | Signal |
| 2022-03-08 | 2022-03-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-09-16 | 2022-03-08 | Completed | 33.33% | $74.23 | $86.30 | 16.26% | Stop |
| 2022-02-24 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-06-04 | 2022-02-24 | Completed | 33.33% | $67.42 | $86.78 | 28.73% | Signal |
| 2020-06-02 | 2020-09-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2020-06-02 | 2020-06-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-05-20 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-04-03 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-24 | 2020-05-20 | Completed | 33.33% | $51.96 | $63.39 | 22.00% | Signal |
| 2020-03-24 | 2020-04-03 | Completed | 33.33% | $51.96 | $54.62 | 5.12% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-09-13 | 2020-03-10 | Completed | 33.33% | $66.63 | $62.39 | -6.37% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $64.22 | $65.46 | 1.92% | Stop |
| 2019-03-26 | 2020-03-02 | Completed | 33.33% | $63.14 | $65.46 | 3.67% | Stop |
| 2019-06-26 | 2019-09-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2019-01-15 | 2019-06-26 | Completed | 33.33% | $58.43 | $65.30 | 11.76% | Signal |
| 2019-03-04 | 2019-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2019-03-04 | 2019-03-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-20 | 2019-01-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2017-01-24 | 2018-12-20 | Completed | 33.33% | $51.06 | $56.30 | 10.27% | Stop |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-31 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-10-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2018-07-30 | 2018-10-31 | Completed | 33.33% | $64.01 | $59.85 | -6.50% | Signal |
| 2016-07-20 | 2018-10-29 | Completed | 33.33% | $48.36 | $59.36 | 22.76% | Stop |
| 2018-05-07 | 2018-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2016-05-03 | 2018-05-07 | Completed | 33.33% | $46.62 | $62.25 | 33.53% | Signal |
| 2016-11-02 | 2017-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2016-10-04 | 2016-11-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-04-04 | 2016-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income |
| 2016-04-04 | 2016-07-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2016-04-04 | 2016-05-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2016-02-24 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-09-17 | 2016-02-24 | Completed | 33.33% | $45.89 | $42.47 | -7.45% | Signal |
| 2016-01-26 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-12-31 | 2016-01-26 | Completed | 33.33% | $46.26 | $42.32 | -8.51% | Signal |
| 2015-11-03 | 2015-12-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2015-10-16 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-16 | Completed | 33.33% | $45.89 | $46.91 | 2.24% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-17 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-04-07 | 2015-08-25 | Completed | 33.33% | $49.30 | $45.22 | -8.28% | Stop |
| 2012-11-12 | 2015-08-25 | Completed | 33.33% | $35.00 | $45.22 | 29.18% | Stop |
| 2015-01-28 | 2015-08-17 | Completed | 33.33% | $47.54 | $48.04 | 1.05% | Signal |
| 2015-03-11 | 2015-04-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2012-04-05 | 2015-03-11 | Completed | 33.33% | $34.76 | $47.38 | 36.32% | Signal |
| 2015-01-05 | 2015-01-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2014-11-04 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-24 | 2014-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2012-09-10 | 2014-10-24 | Completed | 33.33% | $35.65 | $46.09 | 29.28% | Signal |
| 2012-07-03 | 2012-11-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2012-07-03 | 2012-09-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2012-06-13 | 2012-07-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2012-06-04 | 2012-07-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-30 | 2012-06-13 | Completed | 33.33% | $32.03 | $32.20 | 0.53% | Signal |
| 2012-01-11 | 2012-06-04 | Completed | 33.33% | $32.34 | $31.22 | -3.47% | Stop |
| 2012-01-04 | 2012-04-05 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income |
| 2012-01-04 | 2012-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-10-03 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-02 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-29 | 2011-10-03 | Completed | 33.33% | $31.91 | $28.85 | -9.59% | Signal |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-16 | 2011-08-08 | Completed | 33.33% | $29.24 | $31.36 | 7.26% | Stop |
| 2010-11-17 | 2011-08-05 | Completed | 33.33% | $32.48 | $32.75 | 0.85% | Stop |
| 2010-09-29 | 2011-08-02 | Completed | 33.33% | $31.58 | $34.62 | 9.63% | Signal |
| 2010-11-02 | 2010-11-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-09-02 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2010-09-02 | 2010-09-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2010-09-01 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-25 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-06-01 | 2010-09-01 | Completed | 33.33% | $28.30 | $29.23 | 3.27% | Signal |
| 2010-06-01 | 2010-06-25 | Completed | 33.33% | $28.30 | $28.78 | 1.68% | Signal |
| 2010-05-24 | 2010-06-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-23 | 2010-05-24 | Completed | 33.33% | $31.33 | $28.60 | -8.72% | Stop |
| 2010-03-23 | 2010-05-07 | Completed | 33.33% | $31.33 | $29.42 | -6.11% | Stop |
| 2010-03-23 | 2010-05-07 | Completed | 33.33% | $31.33 | $29.42 | -6.11% | Stop |
| 2010-03-19 | 2010-03-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-19 | 2010-03-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-19 | 2010-03-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |