IVE
iShares S&P 500 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IVE (iShares S&P 500 Value ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.2% (compared to the benchmark's drawdown of -61.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.5%, compared to a Buy-and-Hold benchmark return of 8.7%. The strategy executed 49 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 16.19% | 17.67% | 7.91% | 11.38% | 10.84% | 11.62% | 9.52% | 8.66% |
| Sharpe Ratio | 1.59 | 1.65 | 0.73 | 0.76 | 0.91 | 0.65 | 0.82 | 0.43 |
| Max Drawdown | -6.19% | -6.19% | -12.50% | -18.04% | -14.89% | -37.04% | -17.16% | -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 | 2.0 | 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 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 | ||||||||
| 2025-05-14 | 2025-10-09 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2025-02-19 | 2025-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2025-04-30 | 2025-05-14 | Completed | 33.33% | $178.38 | $185.55 | 3.97% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-06-15 | 2025-04-08 | Completed | 33.33% | $149.74 | $172.40 | 15.07% | Stop | |
| 2023-03-16 | 2025-04-07 | Completed | 33.33% | $135.59 | $164.83 | 21.50% | Stop | |
| 2024-01-04 | 2025-02-19 | Completed | 33.33% | $166.10 | $192.54 | 15.87% | Signal | |
| 2023-10-30 | 2024-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2023-06-14 | 2023-10-30 | Completed | 33.33% | $150.22 | $141.43 | -5.90% | Signal | |
| 2022-12-21 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.33% | Interest Income | |
| 2023-05-17 | 2023-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2022-12-28 | 2023-05-17 | Completed | 33.33% | $135.89 | $142.40 | 4.74% | Signal | |
| 2022-06-14 | 2023-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.76% | Interest Income | |
| 2022-05-06 | 2022-12-28 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2022-07-14 | 2022-12-21 | Completed | 33.33% | $124.78 | $135.44 | 8.49% | Signal | |
| 2022-06-21 | 2022-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-03-17 | 2022-06-21 | Completed | 33.33% | $127.70 | $125.50 | -1.77% | Stop | |
| 2020-11-02 | 2022-06-14 | Completed | 33.33% | $100.15 | $128.16 | 27.90% | Stop | |
| 2020-07-13 | 2022-05-06 | Completed | 33.33% | $97.35 | $137.13 | 40.79% | Signal | |
| 2021-01-13 | 2021-03-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-01 | 2021-01-13 | Completed | 33.33% | $82.02 | $118.84 | 44.82% | Signal | |
| 2020-05-21 | 2020-11-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-03-31 | 2020-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-05-21 | Completed | 33.33% | $76.78 | $93.46 | 21.67% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-31 | Completed | 33.33% | $76.78 | $86.38 | 12.45% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $90.28 | $96.14 | 6.44% | Stop | |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $98.65 | $101.05 | 2.38% | Stop | |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $94.48 | $101.05 | 6.89% | Stop | |
| 2019-01-24 | 2019-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2018-12-07 | 2019-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2019-01-14 | 2019-01-24 | Completed | 33.33% | $89.09 | $91.47 | 2.62% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-19 | 2019-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-09-22 | 2018-12-21 | Completed | 33.33% | $77.15 | $85.20 | 10.38% | Stop | |
| 2018-09-24 | 2018-12-19 | Completed | 33.33% | $100.19 | $87.69 | -12.51% | Stop | |
| 2018-07-31 | 2018-12-07 | Completed | 33.33% | $96.90 | $93.10 | -3.97% | Signal | |
| 2018-08-30 | 2018-09-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-06-14 | 2018-08-30 | Completed | 33.33% | $73.73 | $98.61 | 33.68% | Signal | |
| 2018-04-27 | 2018-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2016-04-25 | 2018-04-27 | Completed | 33.33% | $73.96 | $93.00 | 25.68% | Signal | |
| 2016-04-22 | 2016-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-10-05 | 2016-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-16 | 2016-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-09-17 | 2016-04-22 | Completed | 33.33% | $68.98 | $73.90 | 7.07% | Signal | |
| 2015-12-24 | 2016-02-16 | Completed | 33.33% | $71.46 | $66.00 | -7.68% | Signal | |
| 2015-08-21 | 2015-12-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-09-17 | 2015-10-05 | Completed | 33.33% | $68.98 | $68.01 | -1.46% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-03-15 | 2015-08-25 | Completed | 33.33% | $47.13 | $66.45 | 40.92% | Stop | |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $39.78 | $66.45 | 66.99% | Stop | |
| 2012-09-04 | 2015-08-21 | Completed | 33.33% | $47.16 | $69.97 | 48.29% | Signal | |
| 2012-07-02 | 2012-09-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-27 | 2012-07-02 | Completed | 33.33% | $42.34 | $45.91 | 8.39% | Signal | |
| 2011-10-05 | 2012-03-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-07-18 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-29 | 2011-10-05 | Completed | 33.33% | $39.37 | $37.12 | -5.76% | Signal | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $36.73 | $38.49 | 4.74% | Stop | |
| 2010-12-09 | 2011-08-05 | Completed | 33.33% | $41.13 | $40.28 | -2.13% | Stop | |
| 2010-10-13 | 2011-07-18 | Completed | 33.33% | $39.65 | $43.74 | 10.25% | Signal | |
| 2010-10-15 | 2010-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $36.73 | $39.60 | 7.76% | Signal | |
| 2010-07-20 | 2010-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $36.73 | $35.66 | -2.97% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-26 | 2010-05-07 | Completed | 33.33% | $39.49 | $38.25 | -3.20% | Stop | |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $34.60 | $38.25 | 10.48% | Stop | |
| 2009-06-01 | 2010-05-07 | Completed | 33.33% | $30.63 | $38.25 | 24.81% | Stop | |
| 2008-07-02 | 2010-03-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2007-12-14 | 2009-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.65% | Interest Income | |
| 2007-09-12 | 2009-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.56% | Interest Income | |
| 2008-02-12 | 2008-07-02 | Completed | 33.33% | $46.84 | $42.19 | -9.97% | Signal | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-24 | 2008-01-18 | Completed | 33.33% | $24.74 | $46.13 | 86.39% | Stop | |
| 2003-03-24 | 2007-12-14 | Completed | 33.33% | $24.74 | $50.39 | 103.59% | Signal | |
| 2006-09-26 | 2007-09-12 | Completed | 33.33% | $45.29 | $50.89 | 12.31% | 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% | $41.19 | $43.65 | 5.91% | 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% | $39.13 | $40.09 | 2.39% | 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% | $34.92 | $37.51 | 7.35% | 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% | $27.12 | $34.37 | 26.69% | 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% | $23.29 | $24.04 | 3.15% | 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% | $26.08 | $23.31 | -10.68% | 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% | $30.97 | $28.69 | -7.41% | Signal | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |