EEM
iShares MSCI Emerging Markets ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-28
Executive Summary
The quantitative backtest for EEM (iShares MSCI Emerging Markets ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -67.2% (compared to the benchmark's drawdown of -66.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.3%, compared to a Buy-and-Hold benchmark return of 7.3%. The strategy executed 32 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.
Switch to MMA to enable
EEM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 41.93% | 41.93% | 1.58% | 6.36% | 2.97% | 10.01% | 1.33% | 7.26% |
| Sharpe Ratio | 1.54 | 1.54 | 0.10 | 0.32 | 0.19 | 0.46 | 0.07 | 0.25 |
| Max Drawdown | -13.52% | -13.52% | -34.64% | -37.49% | -37.08% | -39.82% | -67.20% | -66.43% |
| % Time Invested | 100.0% | 100.0% | 56.6% | 100.0% | 65.3% | 100.0% | 66.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 1.1 | 0.0 | 1.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $42.67 | $67.19 | 57.45% | Mark-to-Market (Active) |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-05-17 | 2025-04-08 | Completed | 100% | $41.39 | $39.07 | -5.66% | Stop |
| 2022-06-21 | 2024-05-17 | Interest (CASH) | 100% | $1.00 | $1.09 | 9.28% | Interest Income |
| 2022-06-03 | 2022-06-21 | Completed | 100% | $38.49 | $36.62 | -4.92% | Signal |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-03-30 | 2022-05-11 | Completed | 100% | $41.41 | $36.28 | -12.42% | Stop |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-12-21 | 2022-03-08 | Completed | 100% | $43.13 | $38.95 | -9.74% | Stop |
| 2021-11-29 | 2021-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-08-14 | 2021-11-29 | Completed | 100% | $38.74 | $43.75 | 12.90% | Stop |
| 2020-03-10 | 2020-08-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2019-09-13 | 2020-03-10 | Completed | 100% | $36.03 | $33.93 | -5.89% | Stop |
| 2019-08-15 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2019-06-05 | 2019-08-15 | Completed | 100% | $34.89 | $33.35 | -4.47% | Stop |
| 2019-02-22 | 2019-06-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2018-11-20 | 2019-02-22 | Completed | 100% | $33.12 | $36.34 | 9.65% | Signal |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-07-13 | 2018-10-29 | Completed | 100% | $36.50 | $32.53 | -10.92% | Stop |
| 2018-06-20 | 2018-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2017-02-13 | 2018-06-20 | Completed | 100% | $31.05 | $36.94 | 18.92% | Stop |
| 2016-11-11 | 2017-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2016-08-12 | 2016-11-11 | Completed | 100% | $30.12 | $27.75 | -7.91% | Stop |
| 2015-08-20 | 2016-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2015-07-31 | 2015-08-20 | Completed | 100% | $29.09 | $26.58 | -8.68% | Signal |
| 2015-07-09 | 2015-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-07 | 2015-07-09 | Completed | 100% | $30.04 | $29.74 | -1.06% | Stop |
| 2014-12-12 | 2015-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-07-01 | 2014-12-12 | Completed | 100% | $33.44 | $29.87 | -10.72% | Stop |
| 2014-05-09 | 2014-07-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-07-16 | 2014-05-09 | Completed | 100% | $29.78 | $31.79 | 6.71% | Signal |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-05-08 | 2013-06-21 | Completed | 100% | $32.84 | $27.87 | -15.18% | Stop |
| 2013-04-16 | 2013-05-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-13 | 2013-04-16 | Completed | 100% | $32.10 | $31.07 | -3.26% | Stop |
| 2012-04-17 | 2012-12-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2011-12-19 | 2012-04-17 | Completed | 100% | $26.98 | $30.86 | 14.30% | Signal |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-17 | 2011-11-25 | Completed | 100% | $28.39 | $26.26 | -7.55% | Stop |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-09-23 | Completed | 100% | $30.14 | $25.65 | -14.95% | 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% | $26.66 | $29.52 | 10.68% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-19 | 2010-05-07 | Completed | 100% | $27.76 | $27.12 | -2.37% | Stop |
| 2010-01-27 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-09-14 | 2010-01-27 | Completed | 100% | $26.16 | $27.42 | 4.78% | Stop |
| 2008-11-07 | 2009-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2008-10-29 | 2008-11-07 | Completed | 100% | $15.24 | $16.36 | 7.28% | Stop |
| 2008-10-07 | 2008-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-09-29 | 2008-10-07 | Completed | 100% | $23.41 | $19.80 | -15.45% | Stop |
| 2008-09-05 | 2008-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2008-07-28 | 2008-09-05 | Completed | 100% | $29.24 | $24.97 | -14.65% | Stop |
| 2008-07-03 | 2008-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-04-10 | 2008-07-03 | Completed | 100% | $31.80 | $29.90 | -6.00% | Stop |
| 2008-03-18 | 2008-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2008-02-12 | 2008-03-18 | Completed | 100% | $30.57 | $29.50 | -3.53% | Stop |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-12-19 | 2008-01-18 | Completed | 100% | $33.02 | $30.84 | -6.65% | Stop |
| 2007-11-27 | 2007-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2007-09-10 | 2007-11-27 | Completed | 100% | $29.90 | $32.08 | 7.22% | Stop |
| 2007-08-16 | 2007-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-06-15 | 2007-08-16 | Completed | 100% | $18.93 | $26.36 | 39.17% | Stop |
| 2006-05-23 | 2006-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2005-04-08 | 2006-05-23 | Completed | 100% | $15.14 | $21.18 | 39.82% | Stop |
| 2005-04-06 | 2005-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |