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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.2% (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 16 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
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% | 10.09% | 13.88% | 7.20% | 10.41% | 5.52% | 4.36% |
| Sharpe Ratio | 1.68 | 1.68 | 0.72 | 0.82 | 0.57 | 0.57 | 0.40 | 0.19 |
| Max Drawdown | -10.90% | -10.90% | -19.21% | -25.84% | -34.21% | -43.16% | -34.21% | -63.94% |
| % Time Invested | 100.0% | 100.0% | 79.3% | 100.0% | 74.0% | 100.0% | 66.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.8 | 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 | |
|---|---|---|---|---|---|---|---|---|
| 🔒 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 | ||||||||
| 2025-01-06 | 2025-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-01-03 | 2025-01-06 | Completed | 100% | $39.39 | $49.25 | 24.97% | Signal | |
| 2022-06-13 | 2023-01-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.82% | Interest Income | |
| 2022-05-31 | 2022-06-13 | Completed | 100% | $40.53 | $37.51 | -7.49% | Stop | |
| 2022-04-01 | 2022-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2022-02-11 | 2022-04-01 | Completed | 100% | $43.35 | $41.43 | -4.46% | Signal | |
| 2021-12-01 | 2022-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-09-30 | 2021-12-01 | Completed | 100% | $31.29 | $39.75 | 26.97% | Signal | |
| 2020-03-02 | 2020-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2019-11-05 | 2020-03-02 | Completed | 100% | $37.47 | $33.35 | -11.05% | Stop | |
| 2019-08-29 | 2019-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2019-04-16 | 2019-08-29 | Completed | 100% | $36.88 | $33.79 | -8.41% | Signal | |
| 2018-10-24 | 2019-04-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2018-09-19 | 2018-10-24 | Completed | 100% | $37.17 | $34.91 | -6.13% | Stop | |
| 2018-06-27 | 2018-09-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2016-08-25 | 2018-06-27 | Completed | 100% | $30.56 | $36.89 | 20.64% | Signal | |
| 2015-12-14 | 2016-08-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2015-10-08 | 2015-12-14 | Completed | 100% | $31.67 | $29.85 | -5.78% | Stop | |
| 2015-08-25 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-17 | 2015-08-25 | Completed | 100% | $34.61 | $31.01 | -10.45% | Stop | |
| 2014-10-08 | 2015-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-06 | 2014-10-08 | Completed | 100% | $25.32 | $33.11 | 30.71% | Signal | |
| 2012-05-21 | 2012-09-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-03-12 | 2012-05-21 | Completed | 100% | $26.03 | $22.89 | -12.14% | Stop | |
| 2011-08-03 | 2012-03-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-10-04 | 2011-08-03 | Completed | 100% | $25.81 | $26.97 | 4.45% | Signal | |
| 2010-05-07 | 2010-10-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $16.96 | $23.22 | 36.81% | Stop | |
| 2008-01-07 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.40% | Interest Income | |
| 2007-10-24 | 2008-01-07 | Completed | 100% | $36.32 | $34.43 | -5.26% | Signal | |
| 2007-10-02 | 2007-10-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2007-08-02 | 2007-10-02 | Completed | 100% | $35.31 | $36.68 | 3.82% | Signal | |
| 2007-07-31 | 2007-08-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |