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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.6% (compared to the benchmark's drawdown of -33.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.6%, compared to a Buy-and-Hold benchmark return of 10.3%. The strategy executed 11 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
Switch to MMA to enable
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% | 9.97% | 10.47% | 10.79% | 12.38% | 7.60% | 10.32% |
| Sharpe Ratio | 1.27 | 1.27 | 0.79 | 0.62 | 0.83 | 0.68 | 0.59 | 0.57 |
| Max Drawdown | -9.73% | -9.73% | -15.44% | -26.42% | -18.36% | -33.53% | -25.63% | -33.53% |
| % Time Invested | 100.0% | 100.0% | 80.2% | 100.0% | 83.7% | 100.0% | 78.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 | 0.7 | 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 | 2025-05-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2023-01-20 | 2025-04-08 | Completed | 100% | $83.33 | $105.88 | 27.00% | Stop | |
| 2022-03-03 | 2023-01-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2020-06-04 | 2022-03-03 | Completed | 100% | $66.98 | $90.64 | 35.26% | Signal | |
| 2020-03-10 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-03-28 | 2020-03-10 | Completed | 100% | $62.52 | $61.98 | -0.92% | Stop | |
| 2018-10-31 | 2019-03-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2016-05-03 | 2018-10-31 | Completed | 100% | $46.32 | $59.46 | 28.31% | Signal | |
| 2015-08-25 | 2016-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-03-03 | 2015-08-25 | Completed | 100% | $48.76 | $44.93 | -7.90% | Stop | |
| 2015-01-29 | 2015-03-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-12-26 | 2015-01-29 | Completed | 100% | $47.59 | $46.52 | -2.30% | Signal | |
| 2014-11-26 | 2014-12-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-17 | 2014-11-26 | Completed | 100% | $34.91 | $48.13 | 37.83% | Signal | |
| 2012-07-10 | 2012-08-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-02-24 | 2012-07-10 | Completed | 100% | $34.87 | $33.26 | -4.67% | Signal | |
| 2011-08-08 | 2012-02-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-30 | 2011-08-08 | Completed | 100% | $31.44 | $31.16 | -0.95% | Stop | |
| 2010-06-18 | 2010-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-06-18 | Completed | 100% | $28.12 | $29.39 | 4.47% | Signal | |
| 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 | |