ITOT
iShares Core S&P Total U.S. Stock Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-04
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 10.8%, compared to a Buy-and-Hold benchmark return of 10.9%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for ITOT:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for ITOT:
🛡️ 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
🛡️ ITOT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-26.4% (vs -55.2% B&H)
+28.8% shallower drawdown
Downside Efficiency
0.83 Sortino
+0.19 vs 0.64 B&H
Capital Sheltered from Risk
14.1% 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.
📊 ITOT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.90% | -8.90% | -20.87% | -25.36% | -20.87% | -35.00% | -26.40% | -55.20% |
| Sharpe Ratio | 1.40 | 1.40 | 0.53 | 0.64 | 0.96 | 0.75 | 0.72 | 0.54 |
| Sortino Ratio | 2.00 | 2.00 | 0.60 | 0.88 | 1.10 | 0.89 | 0.83 | 0.64 |
| CAGR | 19.92% | 19.92% | 7.95% | 11.82% | 15.11% | 14.73% | 10.78% | 10.93% |
| % Time Invested | 100.0% | 100.0% | 76.1% | 100.0% | 86.8% | 100.0% | 85.9% | 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
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Loading Top Diversifiers for ITOT... Top Diversifiers for ITOT
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 | ||||||||
| 2025-04-07 | 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 | |