ACWI
iShares MSCI Acwi ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for ACWI (iShares MSCI Acwi ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.9% (compared to the benchmark's drawdown of -33.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.3%, compared to a Buy-and-Hold benchmark return of 10.3%. The strategy executed 13 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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ACWI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 19.03% | 19.03% | 6.99% | 10.47% | 11.14% | 12.38% | 7.26% | 10.32% |
| Sharpe Ratio | 1.27 | 1.27 | 0.49 | 0.62 | 0.77 | 0.68 | 0.50 | 0.57 |
| Max Drawdown | -9.73% | -9.73% | -21.64% | -26.42% | -21.64% | -33.53% | -33.88% | -33.53% |
| % Time Invested | 100.0% | 100.0% | 87.2% | 100.0% | 85.4% | 100.0% | 84.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.6 | 0.0 | 0.8 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-03 | 2025-04-08 | Completed | 100% | $85.85 | $105.88 | 23.26% | Stop | |
| 2022-09-27 | 2023-04-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.25% | Interest Income | |
| 2022-05-25 | 2022-09-27 | Completed | 100% | $81.66 | $74.37 | -8.97% | Stop | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-04-01 | 2022-05-03 | Completed | 100% | $53.84 | $85.52 | 58.76% | Stop | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-09-13 | 2020-03-10 | Completed | 100% | $66.20 | $61.98 | -6.41% | Stop | |
| 2019-07-05 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2019-01-15 | 2019-07-05 | Completed | 100% | $58.05 | $65.93 | 13.52% | Signal | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-01-24 | 2018-12-20 | Completed | 100% | $50.73 | $55.94 | 10.22% | Stop | |
| 2016-02-25 | 2017-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2016-02-12 | 2016-02-25 | Completed | 100% | $40.95 | $42.81 | 4.49% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $45.59 | $41.23 | -9.61% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-09 | 2015-08-25 | Completed | 100% | $34.68 | $44.93 | 29.48% | Stop | |
| 2012-06-14 | 2012-11-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-10-27 | 2012-06-14 | Completed | 100% | $33.45 | $31.94 | -4.55% | Signal | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 100% | $31.82 | $28.74 | -9.72% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $28.12 | $31.16 | 10.73% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-23 | 2010-05-07 | Completed | 100% | $31.13 | $29.23 | -6.16% | Stop | |
| 2010-03-19 | 2010-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |