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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.1% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.7%, compared to a Buy-and-Hold benchmark return of 9.9%. The strategy executed 20 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
IJS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.44% | 37.04% | -3.87% | 5.29% | 4.36% | 9.88% | 6.66% | 9.90% |
| Sharpe Ratio | 1.20 | 1.73 | -0.25 | 0.24 | 0.28 | 0.40 | 0.43 | 0.39 |
| Max Drawdown | -9.28% | -9.28% | -37.06% | -28.65% | -37.06% | -47.68% | -37.06% | -60.11% |
| % Time Invested | 77.0% | 100.0% | 63.9% | 100.0% | 67.2% | 100.0% | 68.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-08-28 | Open | Open | 100% | $109.15 | $130.17 | 19.26% | Mark-to-Market |
| 2025-03-31 | 2025-08-28 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.78% | Interest Income |
| 2025-03-27 | 2025-03-31 | Completed | 100% | $98.16 | $94.94 | -3.28% | Signal |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-01-02 | 2025-03-05 | Completed | 100% | $98.45 | $98.52 | 0.07% | Stop |
| 2023-10-06 | 2024-01-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2023-07-27 | 2023-10-06 | Completed | 100% | $96.39 | $82.15 | -14.77% | Signal |
| 2023-05-04 | 2023-07-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2023-04-10 | 2023-05-04 | Completed | 100% | $86.46 | $84.20 | -2.61% | Signal |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-01-13 | 2023-03-16 | Completed | 100% | $92.49 | $85.82 | -7.22% | Stop |
| 2022-12-20 | 2023-01-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2022-11-01 | 2022-12-20 | Completed | 100% | $90.06 | $85.07 | -5.55% | Stop |
| 2022-02-07 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.34% | Interest Income |
| 2020-09-24 | 2022-02-07 | Completed | 100% | $54.31 | $92.32 | 69.99% | Signal |
| 2020-02-28 | 2020-09-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2019-11-01 | 2020-02-28 | Completed | 100% | $69.40 | $60.46 | -12.87% | Stop |
| 2019-10-10 | 2019-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2019-09-17 | 2019-10-10 | Completed | 100% | $69.34 | $65.20 | -5.98% | Signal |
| 2019-03-08 | 2019-09-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.18% | Interest Income |
| 2019-02-21 | 2019-03-08 | Completed | 100% | $69.88 | $65.60 | -6.12% | Stop |
| 2018-10-25 | 2019-02-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2016-03-04 | 2018-10-25 | Completed | 100% | $46.34 | $65.05 | 40.39% | Stop |
| 2015-08-24 | 2016-03-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2014-12-11 | 2015-08-24 | Completed | 100% | $48.02 | $44.57 | -7.18% | Signal |
| 2014-10-15 | 2014-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-01-23 | 2014-10-15 | Completed | 100% | $30.00 | $43.38 | 44.59% | Signal |
| 2011-08-08 | 2012-01-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-11-02 | 2011-08-08 | Completed | 100% | $25.51 | $25.13 | -1.50% | Stop |
| 2010-07-30 | 2010-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-06-01 | 2010-07-30 | Completed | 100% | $24.18 | $23.65 | -2.19% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-22 | 2010-05-07 | Completed | 100% | $18.18 | $24.88 | 36.89% | Stop |
| 2008-10-06 | 2009-06-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2008-09-22 | 2008-10-06 | Completed | 100% | $27.13 | $22.24 | -18.01% | Stop |
| 2007-08-17 | 2008-09-22 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.65% | Interest Income |
| 2006-10-13 | 2007-08-17 | Completed | 100% | $27.00 | $28.06 | 3.92% | Stop |
| 2006-08-02 | 2006-10-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income |
| 2003-05-28 | 2006-08-02 | Completed | 100% | $13.72 | $24.57 | 79.07% | Signal |
| 2002-08-01 | 2003-05-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2002-07-30 | 2002-08-01 | Completed | 100% | $13.65 | $13.35 | -2.26% | Signal |
| 2002-07-26 | 2002-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |