EFA
iShares MSCI Eafe ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-28
Executive Summary
The quantitative backtest for EFA (iShares MSCI Eafe ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.9% (compared to the benchmark's drawdown of -61.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.1%, compared to a Buy-and-Hold benchmark return of 7.5%. The strategy executed 66 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
EFA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 19.79% | 19.79% | 4.81% | 8.61% | 7.20% | 10.10% | 7.10% | 7.53% |
| Sharpe Ratio | 1.16 | 1.16 | 0.41 | 0.50 | 0.64 | 0.56 | 0.54 | 0.35 |
| Max Drawdown | -11.42% | -11.42% | -18.86% | -29.53% | -18.86% | -34.19% | -28.90% | -61.04% |
| % Time Invested | 100.0% | 100.0% | 91.1% | 100.0% | 93.6% | 100.0% | 91.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.5 | 0.0 | 2.9 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-21 | Open | Open | 33.33% | $84.21 | $102.54 | 21.77% | Mark-to-Market (Active) |
| 2025-05-01 | Open | Open | 33.33% | $80.77 | $102.54 | 26.96% | Mark-to-Market (Active) |
| 2023-11-02 | Open | Open | 33.33% | $62.51 | $102.54 | 64.04% | Mark-to-Market (Active) |
| 2025-02-13 | 2025-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-21 | 2025-04-08 | Completed | 33.33% | $79.41 | $72.07 | -9.29% | Stop |
| 2024-12-13 | 2025-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.10% | Interest Income |
| 2023-12-15 | 2025-02-13 | Completed | 33.33% | $68.00 | $77.18 | 13.44% | Signal |
| 2023-12-15 | 2024-12-13 | Completed | 33.33% | $68.00 | $74.27 | 9.17% | Signal |
| 2023-11-22 | 2023-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-09-19 | 2023-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income |
| 2023-04-10 | 2023-11-22 | Completed | 33.33% | $63.90 | $65.49 | 2.44% | Signal |
| 2023-03-16 | 2023-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.39% | Interest Income |
| 2022-12-29 | 2023-09-19 | Completed | 33.33% | $59.03 | $64.85 | 9.81% | Signal |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-01-18 | 2023-03-16 | Completed | 33.33% | $63.95 | $59.53 | -6.95% | Stop |
| 2023-01-18 | 2023-03-16 | Completed | 33.33% | $63.95 | $59.53 | -6.95% | Stop |
| 2022-09-06 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2022-03-07 | 2023-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.22% | Interest Income |
| 2022-01-21 | 2022-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.04% | Interest Income |
| 2022-07-11 | 2022-09-06 | Completed | 33.33% | $54.81 | $54.09 | -1.36% | Signal |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-03-30 | 2022-06-15 | Completed | 33.33% | $65.22 | $55.76 | -14.54% | Stop |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-02-10 | 2022-03-08 | Completed | 33.33% | $63.94 | $58.78 | -8.12% | Stop |
| 2020-10-08 | 2022-03-07 | Completed | 33.33% | $54.26 | $59.74 | 10.04% | Stop |
| 2022-01-11 | 2022-01-21 | Completed | 33.33% | $68.01 | $67.19 | -1.25% | Signal |
| 2021-12-07 | 2022-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-06 | 2021-12-07 | Completed | 33.33% | $52.33 | $67.29 | 28.52% | Signal |
| 2020-12-28 | 2021-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-01 | 2020-12-28 | Completed | 33.33% | $42.57 | $61.62 | 44.68% | Signal |
| 2020-04-29 | 2020-10-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-03-02 | 2020-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-03-24 | 2020-04-29 | Completed | 33.33% | $41.17 | $47.35 | 14.95% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-09-13 | 2020-03-10 | Completed | 33.33% | $53.62 | $48.72 | -9.19% | Stop |
| 2019-11-06 | 2020-03-02 | Completed | 33.33% | $55.59 | $51.21 | -7.92% | Stop |
| 2019-06-28 | 2020-03-02 | Completed | 33.33% | $53.42 | $51.21 | -4.17% | Stop |
| 2019-09-24 | 2019-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2019-03-27 | 2019-09-24 | Completed | 33.33% | $51.69 | $53.35 | 3.14% | Signal |
| 2019-02-21 | 2019-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2018-10-12 | 2019-06-28 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2018-10-12 | 2019-03-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.06% | Interest Income |
| 2018-11-16 | 2019-02-21 | Completed | 33.33% | $49.24 | $50.98 | 3.47% | Signal |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2017-04-21 | 2018-10-25 | Completed | 33.33% | $46.60 | $48.53 | 4.09% | Stop |
| 2018-09-19 | 2018-10-12 | Completed | 33.33% | $53.27 | $50.53 | -5.20% | Stop |
| 2018-09-19 | 2018-10-12 | Completed | 33.33% | $53.27 | $50.53 | -5.20% | Stop |
| 2018-08-14 | 2018-09-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2018-05-01 | 2018-09-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2016-08-18 | 2018-08-14 | Completed | 33.33% | $43.86 | $52.48 | 19.60% | Signal |
| 2017-02-07 | 2018-05-01 | Completed | 33.33% | $44.83 | $54.61 | 21.73% | Signal |
| 2016-01-07 | 2017-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2016-12-29 | 2017-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-05-13 | 2016-12-29 | Completed | 33.33% | $41.68 | $43.27 | 3.76% | Signal |
| 2015-11-09 | 2016-08-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-01-07 | 2016-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2015-10-09 | 2016-01-07 | Completed | 33.33% | $44.17 | $40.66 | -7.98% | Stop |
| 2015-10-09 | 2016-01-07 | Completed | 33.33% | $44.17 | $40.66 | -7.98% | Stop |
| 2015-09-17 | 2015-11-09 | Completed | 33.33% | $43.36 | $43.81 | 0.98% | Signal |
| 2015-08-24 | 2015-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-08-21 | 2015-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-04-29 | 2015-08-25 | Completed | 33.33% | $47.88 | $43.68 | -8.81% | Stop |
| 2012-12-07 | 2015-08-24 | Completed | 33.33% | $36.58 | $41.49 | 13.35% | Signal |
| 2015-03-19 | 2015-08-21 | Completed | 33.33% | $45.70 | $44.23 | -3.27% | Signal |
| 2014-12-05 | 2015-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-09-29 | 2015-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-11-07 | 2014-12-05 | Completed | 33.33% | $44.11 | $45.08 | 2.14% | Signal |
| 2014-10-16 | 2014-11-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-11-07 | 2014-10-16 | Completed | 33.33% | $35.36 | $41.34 | 16.86% | Stop |
| 2012-09-11 | 2014-09-29 | Completed | 33.33% | $35.07 | $45.15 | 28.67% | Signal |
| 2012-05-07 | 2012-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2012-09-20 | 2012-11-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-05-17 | 2012-09-20 | Completed | 33.33% | $31.65 | $35.80 | 13.07% | Signal |
| 2012-06-19 | 2012-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-06-12 | 2012-06-19 | Completed | 33.33% | $31.33 | $32.21 | 2.77% | Signal |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-02-09 | 2012-05-18 | Completed | 33.33% | $35.12 | $31.44 | -10.51% | Stop |
| 2011-09-23 | 2012-05-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2011-12-19 | 2012-05-07 | Completed | 33.33% | $31.01 | $33.76 | 8.84% | Signal |
| 2011-08-01 | 2012-02-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-11-25 | Completed | 33.33% | $33.40 | $29.74 | -10.99% | Stop |
| 2011-08-29 | 2011-09-23 | Completed | 33.33% | $33.47 | $29.55 | -11.75% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $29.19 | $33.01 | 13.02% | Stop |
| 2010-11-19 | 2011-08-05 | Completed | 33.33% | $35.55 | $34.47 | -3.07% | Stop |
| 2010-09-17 | 2011-08-01 | Completed | 33.33% | $33.42 | $37.89 | 13.33% | Signal |
| 2010-06-30 | 2010-11-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2010-03-08 | 2010-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2010-06-01 | 2010-06-30 | Completed | 33.33% | $29.19 | $29.09 | -0.40% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-03-03 | 2010-05-07 | Completed | 33.33% | $32.86 | $30.36 | -7.65% | Stop |
| 2009-03-19 | 2010-05-07 | Completed | 33.33% | $22.63 | $30.36 | 34.13% | Stop |
| 2010-03-03 | 2010-03-08 | Completed | 33.33% | $32.86 | $33.56 | 2.08% | Signal |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-03-19 | 2010-02-08 | Completed | 33.33% | $22.63 | $31.07 | 37.26% | Stop |
| 2009-03-19 | 2010-02-08 | Completed | 33.33% | $22.63 | $31.07 | 37.26% | Stop |
| 2008-09-11 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2008-08-07 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2008-01-17 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.30% | Interest Income |
| 2008-08-07 | 2008-09-11 | Completed | 33.33% | $38.50 | $33.88 | -12.05% | Signal |
| 2008-08-05 | 2008-08-07 | Completed | 33.33% | $38.34 | $38.50 | 0.35% | Signal |
| 2008-07-16 | 2008-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-07-14 | 2008-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-14 | 2008-07-16 | Completed | 33.33% | $40.86 | $37.53 | -8.20% | Stop |
| 2008-06-03 | 2008-07-14 | Completed | 33.33% | $43.61 | $38.78 | -11.12% | Stop |
| 2008-01-18 | 2008-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-09-11 | 2008-01-23 | Completed | 33.33% | $43.39 | $37.98 | -12.52% | Stop |
| 2007-11-14 | 2008-01-18 | Completed | 33.33% | $46.81 | $41.62 | -11.13% | Stop |
| 2007-09-11 | 2008-01-17 | Completed | 33.33% | $43.39 | $41.94 | -3.38% | Stop |
| 2007-09-14 | 2007-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income |
| 2007-09-11 | 2007-09-14 | Completed | 33.33% | $43.39 | $43.54 | 0.28% | Signal |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-09-29 | 2007-08-17 | Completed | 33.33% | $37.14 | $41.89 | 12.74% | Stop |
| 2006-07-03 | 2007-08-17 | Completed | 33.33% | $35.85 | $41.89 | 16.79% | Stop |
| 2003-12-03 | 2007-08-17 | Completed | 33.33% | $22.81 | $41.89 | 83.57% | Stop |
| 2006-08-04 | 2006-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2006-07-03 | 2006-08-04 | Completed | 33.33% | $35.85 | $36.42 | 1.54% | Signal |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2005-08-23 | 2006-06-09 | Completed | 33.33% | $29.85 | $34.23 | 14.61% | Stop |
| 2003-08-27 | 2006-06-09 | Completed | 33.33% | $19.60 | $34.23 | 74.55% | Stop |
| 2005-06-07 | 2005-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2004-10-07 | 2005-06-07 | Completed | 33.33% | $25.43 | $28.20 | 10.83% | Signal |
| 2004-06-18 | 2004-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2003-08-27 | 2004-06-18 | Completed | 33.33% | $19.60 | $24.82 | 26.54% | Signal |
| 2003-08-25 | 2003-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |