IJS
iShares S&P Small-Cap 600 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-07
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 -35.5% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.0%, compared to a Buy-and-Hold benchmark return of 9.9%. 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 | 33.43% | 37.04% | 2.55% | 5.29% | 3.99% | 9.88% | 6.02% | 9.90% |
| Sharpe Ratio | 1.80 | 1.73 | 0.16 | 0.24 | 0.27 | 0.40 | 0.37 | 0.39 |
| Max Drawdown | -7.47% | -9.28% | -28.02% | -28.65% | -32.64% | -47.68% | -35.52% | -60.11% |
| % Time Invested | 74.6% | 100.0% | 53.4% | 100.0% | 56.4% | 100.0% | 69.5% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2026-03-09 | Open | Open | 100% | $116.81 | $130.17 | 11.43% | Mark-to-Market |
| 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% | $90.64 | $112.70 | 24.35% | 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% | $98.16 | $87.64 | -10.71% | 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% | $98.47 | $98.52 | 0.05% | 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% | $84.27 | $91.32 | 8.37% | 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% | $91.71 | $79.07 | -13.78% | 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% | $85.61 | $88.34 | 3.18% | 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% | $63.13 | $65.68 | 4.05% | 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% | $66.78 | $57.87 | -13.33% | 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% | $53.72 | $65.05 | 21.10% | 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% | $41.71 | $48.02 | 15.13% | 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% | $46.37 | $41.78 | -9.90% | 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% | $26.66 | $44.91 | 68.46% | 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% | $26.15 | $22.16 | -15.25% | 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% | $24.18 | $25.13 | 3.93% | 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% | $22.97 | $24.88 | 8.30% | 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% | $24.81 | $25.66 | 3.40% | 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% | $27.44 | $24.83 | -9.52% | 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% | $13.85 | $28.06 | 102.54% | 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% | $12.40 | $12.11 | -2.30% | 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% | $13.65 | $11.83 | -13.34% | Stop |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |