ITOT
iShares Core S&P Total U.S. Stock Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for ITOT (iShares Core S&P Total U.S. Stock Market ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.4% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.6%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 11 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
ITOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 18.06% | 18.06% | 7.58% | 11.44% | 14.81% | 14.44% | 10.62% | 10.78% |
| Sharpe Ratio | 1.29 | 1.29 | 0.51 | 0.62 | 0.94 | 0.74 | 0.71 | 0.53 |
| Max Drawdown | -8.90% | -8.90% | -20.87% | -25.36% | -20.87% | -35.00% | -26.40% | -55.20% |
| % Time Invested | 100.0% | 100.0% | 76.1% | 100.0% | 86.8% | 100.0% | 85.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.5 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $92.72 | $105.06 | 13.24% | Stop | |
| 2022-11-07 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.11% | Interest Income | |
| 2022-10-18 | 2022-11-07 | Completed | 100% | $79.25 | $79.91 | 0.78% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-25 | 2022-09-26 | Completed | 100% | $82.00 | $77.23 | -5.87% | Stop | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-24 | 2022-05-03 | Completed | 100% | $47.68 | $87.22 | 82.84% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $52.56 | $61.30 | 16.57% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-20 | Completed | 100% | $38.20 | $50.36 | 31.75% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $21.35 | $36.64 | 71.51% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $18.50 | $19.76 | 6.71% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-11-11 | 2010-05-07 | Completed | 100% | $18.41 | $19.11 | 3.74% | Stop | |
| 2008-07-14 | 2009-11-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2008-02-13 | 2008-07-14 | Completed | 100% | $21.74 | $20.33 | -6.52% | Signal | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2006-01-18 | 2008-01-22 | Completed | 100% | $19.76 | $20.08 | 1.62% | Stop | |
| 2006-01-13 | 2006-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |