IUSV
iShares Core S&P U.S. Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IUSV (iShares Core S&P U.S. Value ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.6% (compared to the benchmark's drawdown of -60.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.7%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 14 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.
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IUSV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.83% | 17.83% | 7.38% | 11.41% | 11.49% | 11.77% | 10.70% | 10.17% |
| Sharpe Ratio | 1.64 | 1.64 | 0.55 | 0.75 | 0.78 | 0.65 | 0.75 | 0.51 |
| Max Drawdown | -6.36% | -6.36% | -19.41% | -17.95% | -19.41% | -37.54% | -24.59% | -60.18% |
| % Time Invested | 100.0% | 100.0% | 91.4% | 100.0% | 91.2% | 100.0% | 85.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 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 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-04 | 2025-04-07 | Completed | 100% | $69.46 | $79.49 | 14.38% | Stop | |
| 2023-01-06 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2022-11-07 | 2023-01-06 | Completed | 100% | $64.71 | $67.05 | 3.56% | Signal | |
| 2022-10-14 | 2022-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2022-07-13 | 2022-10-14 | Completed | 100% | $61.22 | $60.72 | -0.86% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-02-10 | 2022-06-17 | Completed | 100% | $58.33 | $60.12 | 3.02% | Stop | |
| 2020-12-31 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-12-31 | Completed | 100% | $36.69 | $55.22 | 50.45% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $43.61 | $48.57 | 11.32% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-10-11 | 2018-12-21 | Completed | 100% | $37.22 | $41.22 | 10.69% | Stop | |
| 2016-04-07 | 2016-10-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-12 | 2016-04-07 | Completed | 100% | $30.41 | $33.98 | 11.67% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $33.15 | $30.41 | -8.30% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2015-08-25 | Completed | 100% | $19.07 | $32.01 | 67.72% | 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% | $17.45 | $18.48 | 5.86% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-08-27 | 2010-05-07 | Completed | 100% | $16.23 | $18.05 | 11.15% | Stop | |
| 2008-06-02 | 2009-08-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2008-02-04 | 2008-06-02 | Completed | 100% | $22.20 | $21.81 | -1.81% | Signal | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2003-03-24 | 2008-01-10 | Completed | 100% | $11.33 | $21.69 | 91.38% | Stop | |
| 2002-08-02 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income | |