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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.6% (compared to the benchmark's drawdown of -60.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.1%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 13 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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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% | 8.67% | 11.41% | 9.84% | 11.77% | 10.14% | 10.17% |
| Sharpe Ratio | 1.64 | 1.64 | 0.70 | 0.75 | 0.78 | 0.65 | 0.82 | 0.51 |
| Max Drawdown | -6.36% | -6.36% | -18.38% | -17.95% | -18.38% | -37.54% | -19.57% | -60.18% |
| % Time Invested | 100.0% | 100.0% | 83.5% | 100.0% | 83.8% | 100.0% | 78.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 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 | 2025-07-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2022-12-22 | 2025-04-07 | Completed | 100% | $65.54 | $79.49 | 21.21% | Stop | |
| 2022-06-09 | 2022-12-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2020-09-15 | 2022-06-09 | Completed | 100% | $49.42 | $66.63 | 34.76% | Signal | |
| 2020-06-12 | 2020-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-06-09 | 2020-06-12 | Completed | 100% | $50.07 | $46.93 | -6.31% | Stop | |
| 2020-03-26 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 100% | $36.69 | $39.40 | 7.34% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-25 | 2020-03-02 | Completed | 100% | $46.27 | $48.57 | 4.93% | Stop | |
| 2018-12-12 | 2019-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2016-04-25 | 2018-12-12 | Completed | 100% | $35.14 | $44.35 | 26.15% | Signal | |
| 2016-01-11 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-10-08 | 2016-01-11 | Completed | 100% | $33.48 | $31.87 | -4.87% | Stop | |
| 2015-08-25 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-01 | 2015-08-25 | Completed | 100% | $21.10 | $32.01 | 51.59% | Stop | |
| 2011-08-08 | 2012-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-22 | 2011-08-08 | Completed | 100% | $18.78 | $18.48 | -1.68% | Stop | |
| 2010-07-14 | 2010-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-14 | Completed | 100% | $17.45 | $17.56 | 0.63% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-01 | 2010-05-07 | Completed | 100% | $14.20 | $18.05 | 27.05% | Stop | |
| 2007-11-15 | 2009-07-01 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2007-10-26 | 2007-11-15 | Completed | 100% | $23.90 | $23.09 | -3.46% | Signal | |
| 2007-09-18 | 2007-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2003-03-24 | 2007-09-18 | Completed | 100% | $11.33 | $23.76 | 109.65% | Signal | |
| 2002-08-02 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income | |