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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -44.7% (compared to the benchmark's drawdown of -66.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.3%, compared to a Buy-and-Hold benchmark return of 7.3%. The strategy executed 24 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.
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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% | 5.12% | 6.36% | 8.76% | 10.01% | 6.28% | 7.26% |
| Sharpe Ratio | 1.54 | 1.54 | 0.34 | 0.32 | 0.57 | 0.46 | 0.37 | 0.25 |
| Max Drawdown | -13.52% | -13.52% | -20.07% | -37.49% | -21.25% | -39.82% | -44.67% | -66.43% |
| % Time Invested | 100.0% | 100.0% | 64.1% | 100.0% | 68.6% | 100.0% | 64.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 1.1 | 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 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-02 | Open | Open | 100% | $43.86 | $67.19 | 53.20% | Mark-to-Market (Active) |
| 2025-04-09 | 2025-05-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-02-27 | 2025-04-09 | Completed | 100% | $43.03 | $37.63 | -12.59% | Stop |
| 2025-02-04 | 2025-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-01-05 | 2025-02-04 | Completed | 100% | $37.43 | $41.71 | 11.39% | Signal |
| 2023-10-05 | 2024-01-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income |
| 2023-01-25 | 2023-10-05 | Completed | 100% | $38.65 | $34.60 | -10.53% | Signal |
| 2021-08-25 | 2023-01-25 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.38% | Interest Income |
| 2020-07-27 | 2021-08-25 | Completed | 100% | $38.06 | $45.64 | 19.85% | Signal |
| 2020-03-02 | 2020-07-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-11-14 | 2020-03-02 | Completed | 100% | $36.44 | $35.40 | -2.89% | Stop |
| 2019-09-04 | 2019-11-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2019-03-12 | 2019-09-04 | Completed | 100% | $36.09 | $34.53 | -4.37% | Signal |
| 2018-06-14 | 2019-03-12 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.65% | Interest Income |
| 2016-04-29 | 2018-06-14 | Completed | 100% | $27.53 | $38.03 | 38.09% | Signal |
| 2015-07-22 | 2016-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2015-05-07 | 2015-07-22 | Completed | 100% | $32.82 | $29.98 | -8.72% | Signal |
| 2014-11-17 | 2015-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-31 | 2014-11-17 | Completed | 100% | $31.23 | $31.55 | 0.99% | Signal |
| 2014-02-05 | 2014-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-09-09 | 2014-02-05 | Completed | 100% | $30.49 | $28.72 | -5.84% | Signal |
| 2013-06-12 | 2013-09-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-10-03 | 2013-06-12 | Completed | 100% | $30.96 | $29.59 | -4.49% | Signal |
| 2012-06-14 | 2012-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2012-06-12 | 2012-06-14 | Completed | 100% | $27.74 | $27.78 | 0.11% | Signal |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-03-06 | 2012-05-18 | Completed | 100% | $31.28 | $27.63 | -11.72% | Stop |
| 2011-08-08 | 2012-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-08-30 | 2011-08-08 | Completed | 100% | $28.64 | $29.52 | 3.03% | Stop |
| 2010-06-21 | 2010-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2010-06-01 | 2010-06-21 | Completed | 100% | $26.66 | $28.96 | 8.56% | Signal |
| 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 |
| 2009-05-21 | 2010-01-27 | Completed | 100% | $21.98 | $27.42 | 24.69% | Stop |
| 2008-07-07 | 2009-05-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2008-05-28 | 2008-07-07 | Completed | 100% | $33.65 | $29.76 | -11.61% | Signal |
| 2008-03-11 | 2008-05-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2008-02-12 | 2008-03-11 | Completed | 100% | $30.57 | $30.86 | 0.91% | Signal |
| 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 |
| 2006-09-28 | 2007-08-16 | Completed | 100% | $21.37 | $26.36 | 23.30% | Stop |
| 2006-07-24 | 2006-09-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income |
| 2006-06-15 | 2006-07-24 | Completed | 100% | $18.93 | $20.24 | 6.85% | Signal |
| 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 |