IJR
iShares Core S&P Small-Cap ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for IJR (iShares Core S&P Small-Cap ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.6% (compared to the benchmark's drawdown of -58.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.0%, 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for IJR:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for IJR:
🛡️ Long-Term Investing Active Horizon
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
🛡️ IJR Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-37.6% (vs -58.1% B&H)
+20.5% shallower drawdown
Downside Efficiency
0.55 Sortino
+0.02 vs 0.53 B&H
Capital Sheltered from Risk
30.2% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 IJR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.68% | -8.68% | -26.23% | -28.02% | -37.64% | -44.36% | -37.64% | -58.15% |
| Sharpe Ratio | 1.20 | 1.20 | 0.15 | 0.32 | 0.36 | 0.43 | 0.45 | 0.40 |
| Sortino Ratio | 2.05 | 2.05 | 0.18 | 0.50 | 0.45 | 0.57 | 0.55 | 0.53 |
| CAGR | 21.84% | 21.84% | 2.18% | 6.98% | 5.50% | 10.31% | 7.00% | 9.67% |
| % Time Invested | 100.0% | 100.0% | 62.4% | 100.0% | 68.6% | 100.0% | 69.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 0.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for IJR... Top Diversifiers for IJR
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2025-03-05 | 2025-08-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.99% | Interest Income | |
| 2023-12-27 | 2025-03-05 | Completed | 100% | $105.64 | $105.39 | -0.28% | Stop | |
| 2023-10-13 | 2023-12-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2023-07-19 | 2023-10-13 | Completed | 100% | $99.16 | $88.68 | -10.61% | Signal | |
| 2023-05-01 | 2023-07-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2023-04-19 | 2023-05-01 | Completed | 100% | $90.28 | $89.24 | -1.20% | Signal | |
| 2023-03-27 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2023-01-06 | 2023-03-27 | Completed | 100% | $90.56 | $89.77 | -0.92% | Stop | |
| 2022-01-31 | 2023-01-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.12% | Interest Income | |
| 2020-09-02 | 2022-01-31 | Completed | 100% | $68.52 | $96.78 | 41.18% | Stop | |
| 2020-03-02 | 2020-09-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-11-05 | 2020-03-02 | Completed | 100% | $73.43 | $66.14 | -9.96% | Stop | |
| 2019-10-14 | 2019-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-07-29 | 2019-10-14 | Completed | 100% | $71.08 | $69.13 | -2.79% | Signal | |
| 2019-03-08 | 2019-07-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2019-02-21 | 2019-03-08 | Completed | 100% | $72.29 | $68.23 | -5.66% | Stop | |
| 2018-11-23 | 2019-02-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2018-11-16 | 2018-11-23 | Completed | 100% | $69.51 | $67.90 | -2.37% | Signal | |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-04-28 | 2018-10-25 | Completed | 100% | $49.75 | $67.45 | 35.50% | Stop | |
| 2015-08-25 | 2016-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2014-12-12 | 2015-08-25 | Completed | 100% | $46.10 | $45.89 | -0.50% | Stop | |
| 2014-10-07 | 2014-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-01-25 | 2014-10-07 | Completed | 100% | $29.39 | $43.36 | 47.47% | Signal | |
| 2011-08-08 | 2012-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-25 | 2011-08-08 | Completed | 100% | $24.85 | $25.06 | 0.79% | Stop | |
| 2010-08-17 | 2010-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-08-17 | Completed | 100% | $22.93 | $21.86 | -4.70% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $17.64 | $23.41 | 32.61% | Stop | |
| 2008-10-06 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2008-09-17 | 2008-10-06 | Completed | 100% | $23.97 | $20.75 | -13.48% | Stop | |
| 2007-11-26 | 2008-09-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.59% | Interest Income | |
| 2007-10-22 | 2007-11-26 | Completed | 100% | $26.14 | $24.85 | -4.98% | Signal | |
| 2007-09-28 | 2007-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-09-06 | 2007-09-28 | Completed | 100% | $23.34 | $27.13 | 16.16% | Signal | |
| 2006-07-27 | 2006-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2004-10-06 | 2006-07-27 | Completed | 100% | $18.56 | $22.81 | 22.80% | Signal | |
| 2004-09-14 | 2004-10-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2003-05-21 | 2004-09-14 | Completed | 100% | $12.34 | $18.00 | 45.84% | Signal | |
| 2002-07-12 | 2003-05-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.16% | Interest Income | |
| 2002-05-29 | 2002-07-12 | Completed | 100% | $14.94 | $12.84 | -14.13% | Stop | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |