IVE iShares S&P 500 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for IVE (iShares S&P 500 Value ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.1% (compared to the benchmark's drawdown of -61.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.7%, compared to a Buy-and-Hold benchmark return of 8.6%. The strategy executed 49 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
IVE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.24% | 22.69% | 7.42% | 10.78% | 11.18% | 11.83% | 9.74% | 8.63% |
| Sharpe Ratio | 1.80 | 2.10 | 0.67 | 0.71 | 0.93 | 0.66 | 0.83 | 0.43 |
| Max Drawdown | -6.19% | -6.19% | -12.71% | -18.04% | -14.67% | -37.04% | -17.11% | -61.32% |
| % Time Invested | 100.0% | 100.0% | 97.2% | 100.0% | 97.7% | 100.0% | 91.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 2.1 | 0.0 | 2.0 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-10-09 | Open | Open | 33.33% | $206.84 | $227.92 | 10.19% | Mark-to-Market |
| 2025-07-23 | Open | Open | 33.33% | $197.02 | $227.92 | 15.68% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $181.25 | $227.92 | 25.75% | Mark-to-Market |
| 2025-06-03 | 2025-10-09 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.00% | Interest Income |
| 2025-06-03 | 2025-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2025-05-14 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-05-14 | Completed | 33.33% | $179.09 | $186.28 | 4.02% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-02-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-06-15 | 2025-04-08 | Completed | 33.33% | $150.34 | $173.08 | 15.13% | Stop |
| 2023-03-16 | 2025-04-07 | Completed | 33.33% | $136.13 | $165.48 | 21.56% | Stop |
| 2024-01-04 | 2025-02-19 | Completed | 33.33% | $166.75 | $193.30 | 15.92% | Signal |
| 2023-10-30 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income |
| 2023-06-14 | 2023-10-30 | Completed | 33.33% | $150.81 | $141.98 | -5.85% | Signal |
| 2023-06-02 | 2023-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2023-06-02 | 2023-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2022-12-28 | 2023-05-17 | Completed | 33.33% | $136.43 | $142.96 | 4.79% | Signal |
| 2022-12-21 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income |
| 2022-12-02 | 2023-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2022-12-02 | 2022-12-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2022-07-14 | 2022-12-21 | Completed | 33.33% | $125.27 | $135.98 | 8.54% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-14 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2022-05-06 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-03-17 | 2022-06-21 | Completed | 33.33% | $128.20 | $125.99 | -1.72% | Stop |
| 2020-11-02 | 2022-06-14 | Completed | 33.33% | $100.54 | $128.66 | 27.96% | Stop |
| 2020-07-13 | 2022-05-06 | Completed | 33.33% | $97.73 | $137.67 | 40.86% | Signal |
| 2021-01-13 | 2021-03-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2021-01-13 | Completed | 33.33% | $82.34 | $119.30 | 44.89% | Signal |
| 2020-06-02 | 2020-11-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-06-02 | 2020-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2020-05-21 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-31 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-05-21 | Completed | 33.33% | $77.08 | $93.83 | 21.73% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2020-03-31 | Completed | 33.33% | $77.08 | $86.72 | 12.50% | Signal |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $90.63 | $96.52 | 6.49% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $99.04 | $101.45 | 2.43% | Stop |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $94.86 | $101.45 | 6.95% | Stop |
| 2019-03-04 | 2019-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2019-01-24 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2018-12-07 | 2019-02-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2019-01-14 | 2019-01-24 | Completed | 33.33% | $89.44 | $91.83 | 2.67% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-19 | 2019-01-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2016-09-22 | 2018-12-21 | Completed | 33.33% | $77.46 | $85.54 | 10.43% | Stop |
| 2018-09-24 | 2018-12-19 | Completed | 33.33% | $100.58 | $88.04 | -12.47% | Stop |
| 2018-07-31 | 2018-12-07 | Completed | 33.33% | $97.28 | $93.47 | -3.92% | Signal |
| 2018-08-30 | 2018-09-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2016-06-14 | 2018-08-30 | Completed | 33.33% | $74.02 | $99.00 | 33.75% | Signal |
| 2018-04-27 | 2018-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2016-04-25 | 2018-04-27 | Completed | 33.33% | $74.25 | $93.37 | 25.74% | Signal |
| 2016-04-22 | 2016-09-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2016-04-04 | 2016-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2016-04-04 | 2016-04-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2015-09-17 | 2016-04-22 | Completed | 33.33% | $69.25 | $74.19 | 7.13% | Signal |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-16 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-24 | 2016-02-16 | Completed | 33.33% | $71.74 | $66.27 | -7.63% | Signal |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2015-12-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2015-10-05 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-05 | Completed | 33.33% | $69.25 | $68.27 | -1.41% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-21 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-03-15 | 2015-08-25 | Completed | 33.33% | $47.32 | $66.72 | 40.99% | Stop |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $39.93 | $66.72 | 67.08% | Stop |
| 2012-09-04 | 2015-08-21 | Completed | 33.33% | $47.34 | $70.24 | 48.37% | Signal |
| 2012-07-03 | 2012-09-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2012-07-02 | 2012-07-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-12-27 | 2012-07-02 | Completed | 33.33% | $42.51 | $46.10 | 8.44% | Signal |
| 2012-01-04 | 2012-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2011-10-05 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-02 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-29 | 2011-10-05 | Completed | 33.33% | $39.52 | $37.26 | -5.71% | Signal |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $36.88 | $38.64 | 4.79% | Stop |
| 2010-12-09 | 2011-08-05 | Completed | 33.33% | $41.29 | $40.44 | -2.08% | Stop |
| 2011-07-18 | 2011-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2010-10-13 | 2011-07-18 | Completed | 33.33% | $39.81 | $43.91 | 10.31% | Signal |
| 2010-11-02 | 2010-12-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-10-15 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $36.88 | $39.76 | 7.81% | Signal |
| 2010-09-02 | 2010-10-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-07-20 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $36.88 | $35.80 | -2.92% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-26 | 2010-05-07 | Completed | 33.33% | $39.64 | $38.40 | -3.15% | Stop |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $34.74 | $38.40 | 10.53% | Stop |
| 2009-06-01 | 2010-05-07 | Completed | 33.33% | $30.75 | $38.40 | 24.87% | Stop |
| 2010-03-02 | 2010-03-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-02-02 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-10-02 | 2010-02-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-07-02 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-02-12 | 2008-07-02 | Completed | 33.33% | $47.02 | $42.35 | -9.93% | Signal |
| 2007-12-14 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2007-09-12 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.03 | 2.78% | Interest Income |
| 2008-01-18 | 2008-02-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2003-03-24 | 2008-01-18 | Completed | 33.33% | $24.84 | $46.31 | 86.48% | Stop |
| 2003-03-24 | 2007-12-14 | Completed | 33.33% | $24.84 | $50.59 | 103.69% | Signal |
| 2006-09-26 | 2007-09-12 | Completed | 33.33% | $45.47 | $51.09 | 12.37% | Signal |
| 2006-07-27 | 2006-09-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2005-12-22 | 2006-07-27 | Completed | 33.33% | $41.36 | $43.82 | 5.96% | Signal |
| 2005-11-14 | 2005-12-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2005-06-17 | 2005-11-14 | Completed | 33.33% | $39.28 | $40.24 | 2.44% | Signal |
| 2005-05-05 | 2005-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2004-09-03 | 2005-05-05 | Completed | 33.33% | $35.06 | $37.65 | 7.41% | Signal |
| 2004-06-17 | 2004-09-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2003-05-27 | 2004-06-17 | Completed | 33.33% | $27.22 | $34.50 | 26.75% | Signal |
| 2003-04-01 | 2003-05-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2003-03-10 | 2003-04-01 | Completed | 33.33% | $23.39 | $24.13 | 3.20% | Signal |
| 2002-05-24 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2002-05-24 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2003-02-13 | 2003-03-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2003-01-03 | 2003-02-13 | Completed | 33.33% | $26.18 | $23.40 | -10.63% | Stop |
| 2002-06-14 | 2003-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income |
| 2002-05-29 | 2002-06-14 | Completed | 33.33% | $31.10 | $28.81 | -7.36% | Signal |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |