IAU
iShares Gold Trust
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for IAU (iShares Gold Trust) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -38.4% (compared to the benchmark's drawdown of -45.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.8%, compared to a Buy-and-Hold benchmark return of 9.7%. The strategy executed 21 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
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% | 8.91% | 17.40% | 7.26% | 12.33% | 5.75% | 9.69% |
| Sharpe Ratio | 0.62 | 0.79 | 0.52 | 0.88 | 0.48 | 0.72 | 0.38 | 0.51 |
| Max Drawdown | -26.32% | -24.40% | -26.32% | -24.40% | -35.13% | -24.40% | -38.41% | -45.14% |
| % Time Invested | 92.9% | 100.0% | 75.1% | 100.0% | 74.2% | 100.0% | 69.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 1.0 | 0.0 | 1.1 | 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 |
| 2023-12-04 | 2026-03-20 | Completed | 100% | $38.72 | $87.69 | 126.47% | Stop |
| 2023-09-29 | 2023-12-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.97% | Interest Income |
| 2023-01-17 | 2023-09-29 | Completed | 100% | $36.34 | $35.49 | -2.34% | Signal |
| 2022-07-07 | 2023-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-02-23 | 2022-07-07 | Completed | 100% | $36.14 | $33.09 | -8.44% | Stop |
| 2022-01-31 | 2022-02-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-12-28 | 2022-01-31 | Completed | 100% | $34.48 | $34.16 | -0.93% | Signal |
| 2021-12-03 | 2021-12-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-11-15 | 2021-12-03 | Completed | 100% | $35.45 | $33.70 | -4.94% | Stop |
| 2021-08-09 | 2021-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-07-13 | 2021-08-09 | Completed | 100% | $34.48 | $33.17 | -3.80% | Signal |
| 2021-06-18 | 2021-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-05-24 | 2021-06-18 | Completed | 100% | $35.82 | $33.79 | -5.67% | Stop |
| 2021-02-18 | 2021-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-01-24 | 2021-02-18 | Completed | 100% | $24.54 | $33.94 | 38.30% | Signal |
| 2018-06-25 | 2019-01-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | Interest Income |
| 2017-05-23 | 2018-06-25 | Completed | 100% | $24.30 | $24.30 | 0.00% | Signal |
| 2016-11-22 | 2017-05-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2016-03-02 | 2016-11-22 | Completed | 100% | $23.90 | $23.38 | -2.18% | Signal |
| 2014-11-03 | 2016-03-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2014-10-15 | 2014-11-03 | Completed | 100% | $24.00 | $22.66 | -5.58% | Stop |
| 2014-09-22 | 2014-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-07-08 | 2014-09-22 | Completed | 100% | $25.64 | $23.50 | -8.35% | Signal |
| 2014-05-29 | 2014-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-19 | 2014-05-29 | Completed | 100% | $25.62 | $24.30 | -5.15% | Signal |
| 2013-02-25 | 2014-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2012-06-19 | 2013-02-25 | Completed | 100% | $31.72 | $30.84 | -2.77% | Signal |
| 2012-04-18 | 2012-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-01-25 | 2012-04-18 | Completed | 100% | $32.32 | $32.00 | -0.99% | 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 |
| 2009-02-12 | 2011-09-27 | Completed | 100% | $18.62 | $32.38 | 73.88% | Stop |
| 2009-01-13 | 2009-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2008-12-17 | 2009-01-13 | Completed | 100% | $17.05 | $16.21 | -4.93% | Stop |
| 2008-08-12 | 2008-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | 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 |