IJS
iShares S&P Small-Cap 600 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IJS (iShares S&P Small-Cap 600 Value ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -35.6% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 10.1%. The strategy executed 20 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
IJS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 29.76% | 33.41% | 5.00% | 7.94% | 4.37% | 10.04% | 6.10% | 10.06% |
| Sharpe Ratio | 1.70 | 1.63 | 0.31 | 0.35 | 0.30 | 0.41 | 0.37 | 0.40 |
| Max Drawdown | -7.47% | -9.28% | -28.17% | -28.65% | -32.98% | -47.68% | -35.65% | -60.11% |
| % Time Invested | 74.6% | 100.0% | 53.4% | 100.0% | 57.7% | 100.0% | 69.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.9 | 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 | ||||||||
| 2025-12-03 | 2026-03-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2025-05-01 | 2025-12-03 | Completed | 100% | $90.27 | $112.25 | 24.28% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-27 | 2025-04-08 | Completed | 100% | $97.77 | $87.29 | -10.76% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-09-11 | 2025-03-05 | Completed | 100% | $98.08 | $98.13 | 0.00% | Stop | |
| 2022-11-14 | 2024-09-11 | Interest (CASH) | 100% | $1.00 | $1.10 | 9.76% | Interest Income | |
| 2022-10-18 | 2022-11-14 | Completed | 100% | $83.93 | $90.96 | 8.32% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-02 | 2022-09-26 | Completed | 100% | $91.34 | $78.75 | -13.83% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2021-02-12 | 2022-05-10 | Completed | 100% | $85.27 | $87.98 | 3.13% | Stop | |
| 2019-07-19 | 2021-02-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.18% | Interest Income | |
| 2019-01-16 | 2019-07-19 | Completed | 100% | $62.88 | $65.42 | 4.00% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-16 | 2018-12-21 | Completed | 100% | $66.51 | $57.64 | -13.38% | Stop | |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-10-04 | 2018-10-25 | Completed | 100% | $53.50 | $64.79 | 21.04% | Stop | |
| 2016-03-21 | 2016-10-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-08 | 2016-03-21 | Completed | 100% | $41.54 | $47.83 | 15.07% | Signal | |
| 2016-01-14 | 2016-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-14 | Completed | 100% | $46.18 | $41.61 | -9.94% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2015-08-25 | Completed | 100% | $26.55 | $44.73 | 68.37% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-04 | Completed | 100% | $26.05 | $22.08 | -15.29% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $24.08 | $25.03 | 3.88% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-05-07 | Completed | 100% | $22.88 | $24.78 | 8.25% | Stop | |
| 2008-04-07 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2008-01-30 | 2008-04-07 | Completed | 100% | $24.72 | $25.55 | 3.35% | Signal | |
| 2008-01-07 | 2008-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2007-09-11 | 2008-01-07 | Completed | 100% | $27.33 | $24.73 | -9.57% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2003-05-30 | 2007-08-17 | Completed | 100% | $13.80 | $27.94 | 102.44% | Stop | |
| 2003-02-06 | 2003-05-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2002-10-29 | 2003-02-06 | Completed | 100% | $12.35 | $12.06 | -2.34% | Signal | |
| 2002-10-07 | 2002-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2002-07-30 | 2002-10-07 | Completed | 100% | $13.60 | $11.78 | -13.39% | Stop | |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |