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 Moving Average (50/200)* 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 6.4%, compared to a Buy-and-Hold benchmark return of 7.5%. The strategy executed 18 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
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% | 4.71% | 8.61% | 6.32% | 10.10% | 6.36% | 7.53% |
| Sharpe Ratio | 1.16 | 1.16 | 0.38 | 0.50 | 0.51 | 0.56 | 0.46 | 0.35 |
| Max Drawdown | -11.42% | -11.42% | -21.32% | -29.53% | -21.75% | -34.19% | -28.93% | -61.04% |
| % Time Invested | 100.0% | 100.0% | 72.2% | 100.0% | 74.6% | 100.0% | 72.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.8 | 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 |
| 2025-03-07 | 2025-04-08 | Completed | 100% | $79.56 | $72.07 | -9.46% | Stop |
| 2024-12-20 | 2025-03-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income |
| 2023-12-15 | 2024-12-20 | Completed | 100% | $68.00 | $70.69 | 3.91% | Signal |
| 2023-10-13 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2023-01-05 | 2023-10-13 | Completed | 100% | $59.41 | $62.68 | 5.46% | Signal |
| 2022-01-24 | 2023-01-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.11% | Interest Income |
| 2020-08-06 | 2022-01-24 | Completed | 100% | $53.06 | $65.24 | 22.90% | Signal |
| 2020-03-10 | 2020-08-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2019-04-09 | 2020-03-10 | Completed | 100% | $52.62 | $48.72 | -7.45% | Stop |
| 2018-10-12 | 2019-04-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.15% | Interest Income |
| 2018-09-19 | 2018-10-12 | Completed | 100% | $53.27 | $50.53 | -5.20% | Stop |
| 2018-07-12 | 2018-09-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2016-08-01 | 2018-07-12 | Completed | 100% | $43.09 | $53.14 | 23.24% | Signal |
| 2016-07-08 | 2016-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-06-03 | 2016-07-08 | Completed | 100% | $42.72 | $40.99 | -4.09% | Signal |
| 2016-01-07 | 2016-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-09 | 2016-01-07 | Completed | 100% | $44.17 | $40.66 | -7.98% | Stop |
| 2015-08-25 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-04-07 | 2015-08-25 | Completed | 100% | $46.92 | $43.68 | -6.95% | Stop |
| 2014-10-07 | 2015-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-09-04 | 2014-10-07 | Completed | 100% | $34.02 | $44.15 | 29.70% | Signal |
| 2012-06-01 | 2012-09-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2012-03-13 | 2012-06-01 | Completed | 100% | $35.16 | $30.31 | -13.82% | Stop |
| 2011-08-05 | 2012-03-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-09-29 | 2011-08-05 | Completed | 100% | $34.38 | $34.47 | 0.22% | Stop |
| 2010-05-07 | 2010-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $22.63 | $30.36 | 34.13% | Stop |
| 2008-01-18 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | 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 |
| 2004-10-07 | 2006-06-14 | Completed | 100% | $25.43 | $33.07 | 29.96% | Stop |
| 2004-09-13 | 2004-10-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2003-08-27 | 2004-09-13 | Completed | 100% | $19.60 | $24.87 | 26.82% | Signal |
| 2003-08-25 | 2003-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |