IAU
iShares Gold Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for IAU (iShares Gold Trust) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -42.4% (compared to the benchmark's drawdown of -45.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 9.7%. The strategy executed 15 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
IAU Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.16% | 23.97% | 15.16% | 17.40% | 9.35% | 12.33% | 8.49% | 9.69% |
| Sharpe Ratio | 0.62 | 0.79 | 0.91 | 0.88 | 0.63 | 0.72 | 0.53 | 0.51 |
| Max Drawdown | -26.32% | -24.40% | -26.32% | -24.40% | -26.32% | -24.40% | -42.42% | -45.14% |
| % Time Invested | 92.9% | 100.0% | 63.5% | 100.0% | 72.0% | 100.0% | 69.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.4 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-06-11 | Open | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Mark-to-Market |
| 2026-04-14 | 2026-06-11 | Completed | 100% | $90.00 | $76.62 | -14.87% | Stop |
| 2026-03-20 | 2026-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-10-30 | 2026-03-20 | Completed | 100% | $37.89 | $87.69 | 131.43% | Stop |
| 2022-01-27 | 2023-10-30 | Interest (CASH) | 100% | $1.00 | $1.06 | 6.44% | Interest Income |
| 2021-03-23 | 2022-01-27 | Completed | 100% | $33.02 | $34.22 | 3.63% | Signal |
| 2021-03-01 | 2021-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2019-06-07 | 2021-03-01 | Completed | 100% | $25.72 | $33.16 | 28.93% | Stop |
| 2018-11-23 | 2019-06-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2017-12-27 | 2018-11-23 | Completed | 100% | $24.68 | $23.46 | -4.94% | Signal |
| 2017-11-07 | 2017-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2017-01-10 | 2017-11-07 | Completed | 100% | $22.82 | $24.58 | 7.71% | Signal |
| 2016-12-15 | 2017-01-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2016-08-18 | 2016-12-15 | Completed | 100% | $26.04 | $21.78 | -16.36% | Stop |
| 2014-11-03 | 2016-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2014-10-15 | 2014-11-03 | Completed | 100% | $24.00 | $22.66 | -5.58% | Stop |
| 2014-06-02 | 2014-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-02-19 | 2014-06-02 | Completed | 100% | $25.62 | $24.14 | -5.78% | Stop |
| 2013-04-09 | 2014-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2012-01-25 | 2013-04-09 | Completed | 100% | $32.32 | $30.62 | -5.26% | Signal |
| 2011-12-30 | 2012-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-19 | 2011-12-30 | Completed | 100% | $32.30 | $30.52 | -5.51% | Stop |
| 2011-09-27 | 2011-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2008-11-11 | 2011-09-27 | Completed | 100% | $14.52 | $32.38 | 123.03% | Stop |
| 2008-10-20 | 2008-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-09-04 | 2008-10-20 | Completed | 100% | $15.96 | $15.56 | -2.46% | Stop |
| 2008-08-12 | 2008-09-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2008-05-27 | 2008-08-12 | Completed | 100% | $17.97 | $16.14 | -10.17% | Stop |
| 2008-05-02 | 2008-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2007-03-01 | 2008-05-02 | Completed | 100% | $13.33 | $16.80 | 26.03% | Stop |
| 2007-02-27 | 2007-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |