EFV
iShares MSCI Eafe Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for EFV (iShares MSCI Eafe Value ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.0% (compared to the benchmark's drawdown of -63.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.5%, compared to a Buy-and-Hold benchmark return of 4.4%. The strategy executed 14 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
EFV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 27.00% | 27.00% | 10.39% | 13.88% | 7.28% | 10.41% | 5.49% | 4.36% |
| Sharpe Ratio | 1.68 | 1.68 | 0.72 | 0.82 | 0.58 | 0.57 | 0.35 | 0.19 |
| Max Drawdown | -10.90% | -10.90% | -22.26% | -25.84% | -22.47% | -43.16% | -26.00% | -63.94% |
| % Time Invested | 100.0% | 100.0% | 78.3% | 100.0% | 71.4% | 100.0% | 70.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | 0.0 | 0.7 | 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 | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2022-09-28 | 2023-10-05 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.01% | Interest Income | |
| 2022-07-11 | 2022-09-28 | Completed | 100% | $35.66 | $32.29 | -9.51% | Stop | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-11-09 | 2022-06-15 | Completed | 100% | $34.26 | $37.47 | 9.33% | Stop | |
| 2020-02-28 | 2020-11-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-09-13 | 2020-02-28 | Completed | 100% | $36.04 | $32.94 | -8.65% | Stop | |
| 2019-01-30 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2018-11-05 | 2019-01-30 | Completed | 100% | $35.27 | $34.98 | -0.89% | Signal | |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-12-12 | 2018-10-12 | Completed | 100% | $32.21 | $35.80 | 11.08% | Stop | |
| 2015-12-14 | 2016-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2015-10-08 | 2015-12-14 | Completed | 100% | $31.67 | $29.85 | -5.78% | Stop | |
| 2015-07-27 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-11-07 | 2015-07-27 | Completed | 100% | $33.03 | $33.66 | 1.85% | Signal | |
| 2014-10-16 | 2014-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-02-11 | 2014-10-16 | Completed | 100% | $29.43 | $31.24 | 6.09% | Stop | |
| 2012-04-13 | 2013-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2011-12-19 | 2012-04-13 | Completed | 100% | $23.22 | $25.14 | 8.22% | Signal | |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-11-25 | Completed | 100% | $24.81 | $22.04 | -11.23% | 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% | $22.29 | $25.61 | 14.83% | 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% | $16.96 | $23.22 | 36.81% | Stop | |
| 2008-07-09 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2008-02-12 | 2008-07-09 | Completed | 100% | $30.86 | $29.92 | -3.08% | Stop | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-08-02 | 2008-01-18 | Completed | 100% | $35.31 | $32.28 | -8.62% | Stop | |
| 2007-07-31 | 2007-08-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |