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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -35.4% (compared to the benchmark's drawdown of -61.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.3%, compared to a Buy-and-Hold benchmark return of 7.5%. The strategy executed 22 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
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% | 1.93% | 8.61% | 5.30% | 10.10% | 5.32% | 7.53% |
| Sharpe Ratio | 1.16 | 1.16 | 0.14 | 0.50 | 0.39 | 0.56 | 0.35 | 0.35 |
| Max Drawdown | -11.42% | -11.42% | -31.86% | -29.53% | -31.86% | -34.19% | -35.40% | -61.04% |
| % Time Invested | 100.0% | 100.0% | 76.6% | 100.0% | 72.0% | 100.0% | 76.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 1.0 | 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% | $80.77 | $102.54 | 26.96% | Mark-to-Market (Active) |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-10-30 | 2025-04-08 | Completed | 100% | $60.58 | $72.07 | 18.91% | Stop |
| 2023-03-16 | 2023-10-30 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.32% | Interest Income |
| 2023-01-18 | 2023-03-16 | Completed | 100% | $63.95 | $59.53 | -6.95% | Stop |
| 2022-09-09 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2022-07-08 | 2022-09-09 | Completed | 100% | $55.30 | $55.25 | -0.15% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-03-29 | 2022-06-14 | Completed | 100% | $65.48 | $55.66 | -15.03% | Stop |
| 2022-03-07 | 2022-03-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-02-10 | 2022-03-07 | Completed | 100% | $63.94 | $59.74 | -6.62% | Stop |
| 2020-12-21 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-01 | 2020-12-21 | Completed | 100% | $42.57 | $59.74 | 40.26% | Signal |
| 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% | $53.62 | $48.72 | -9.19% | Stop |
| 2019-02-25 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.25% | Interest Income |
| 2018-11-15 | 2019-02-25 | Completed | 100% | $49.09 | $51.40 | 4.66% | Signal |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2017-04-19 | 2018-10-24 | Completed | 100% | $46.47 | $49.26 | 5.94% | Stop |
| 2016-01-07 | 2017-04-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.50% | Interest Income |
| 2015-10-09 | 2016-01-07 | Completed | 100% | $44.17 | $40.66 | -7.98% | Stop |
| 2015-08-24 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-11-10 | 2015-08-24 | Completed | 100% | $44.45 | $41.49 | -6.71% | Signal |
| 2014-10-17 | 2014-11-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-07 | 2014-10-17 | Completed | 100% | $36.58 | $42.60 | 16.38% | Stop |
| 2012-05-07 | 2012-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2011-12-19 | 2012-05-07 | Completed | 100% | $31.01 | $33.76 | 8.84% | Signal |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-27 | 2011-11-25 | Completed | 100% | $35.14 | $29.74 | -15.41% | Stop |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-29 | 2011-10-05 | Completed | 100% | $33.47 | $30.15 | -9.96% | Stop |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $29.19 | $34.47 | 18.02% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $22.63 | $30.36 | 34.13% | Stop |
| 2008-09-04 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2008-08-05 | 2008-09-04 | Completed | 100% | $38.34 | $35.99 | -6.20% | Signal |
| 2008-07-14 | 2008-08-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-12 | 2008-07-14 | Completed | 100% | $39.99 | $38.78 | -3.06% | Stop |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-09-11 | 2008-01-18 | Completed | 100% | $43.39 | $41.62 | -4.14% | Stop |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-07-07 | 2007-08-17 | Completed | 100% | $35.82 | $41.89 | 16.89% | Stop |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2003-12-03 | 2006-06-14 | Completed | 100% | $22.81 | $33.07 | 44.90% | Stop |
| 2003-08-25 | 2003-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income |