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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.8% (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 10.8%. The strategy executed 12 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.
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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% | 9.63% | 11.44% | 13.52% | 14.44% | 10.83% | 10.78% |
| Sharpe Ratio | 1.29 | 1.29 | 0.71 | 0.62 | 0.99 | 0.74 | 0.83 | 0.53 |
| Max Drawdown | -8.90% | -8.90% | -20.78% | -25.36% | -20.78% | -35.00% | -20.78% | -55.20% |
| % Time Invested | 100.0% | 100.0% | 80.6% | 100.0% | 84.0% | 100.0% | 78.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.6 | 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 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-01-31 | 2025-04-07 | Completed | 100% | $85.38 | $105.06 | 22.99% | Stop | |
| 2022-03-08 | 2023-01-31 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.39% | Interest Income | |
| 2020-07-08 | 2022-03-08 | Completed | 100% | $65.09 | $88.12 | 35.31% | Signal | |
| 2020-03-31 | 2020-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-03-31 | Completed | 100% | $47.68 | $53.05 | 11.21% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-28 | 2020-03-02 | Completed | 100% | $57.31 | $61.30 | 6.90% | Stop | |
| 2018-12-07 | 2019-03-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2016-04-25 | 2018-12-07 | Completed | 100% | $40.21 | $54.50 | 35.47% | Signal | |
| 2016-01-14 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-14 | 2016-01-14 | Completed | 100% | $38.66 | $36.23 | -6.34% | Signal | |
| 2015-08-25 | 2015-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-06 | 2015-08-25 | Completed | 100% | $22.12 | $36.64 | 65.58% | Stop | |
| 2011-08-09 | 2011-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-13 | 2011-08-09 | Completed | 100% | $20.21 | $19.76 | -2.29% | Stop | |
| 2010-07-12 | 2010-10-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-12 | Completed | 100% | $18.50 | $18.35 | -0.90% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $15.38 | $19.11 | 24.16% | Stop | |
| 2007-12-27 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2006-09-08 | 2007-12-27 | Completed | 100% | $20.19 | $23.72 | 17.42% | Signal | |
| 2006-07-26 | 2006-09-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2006-01-18 | 2006-07-26 | Completed | 100% | $19.76 | $19.67 | -0.50% | Signal | |
| 2006-01-13 | 2006-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |