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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -27.7% (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 8.7%. The strategy executed 13 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.
Switch to MMA to enable
IVE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.67% | 17.67% | 7.08% | 11.38% | 11.32% | 11.62% | 9.72% | 8.66% |
| Sharpe Ratio | 1.65 | 1.65 | 0.54 | 0.76 | 0.79 | 0.65 | 0.70 | 0.43 |
| Max Drawdown | -6.19% | -6.19% | -19.40% | -18.04% | -19.40% | -37.04% | -27.68% | -61.32% |
| % Time Invested | 100.0% | 100.0% | 87.5% | 100.0% | 89.0% | 100.0% | 82.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 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 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-06-15 | 2025-04-07 | Completed | 100% | $149.74 | $164.83 | 10.02% | Stop | |
| 2023-01-09 | 2023-06-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.13% | Interest Income | |
| 2022-11-07 | 2023-01-09 | Completed | 100% | $133.31 | $140.86 | 5.61% | 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% | $126.26 | $125.15 | -0.93% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-03-17 | 2022-06-17 | Completed | 100% | $127.70 | $124.14 | -2.83% | Stop | |
| 2021-01-08 | 2021-03-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2021-01-08 | Completed | 100% | $76.78 | $118.44 | 54.19% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $89.43 | $101.05 | 12.94% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-09-21 | 2018-12-20 | Completed | 100% | $76.22 | $85.96 | 12.72% | Stop | |
| 2016-04-26 | 2016-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-09-17 | 2016-04-26 | Completed | 100% | $68.98 | $74.13 | 7.41% | Signal | |
| 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% | $39.78 | $66.45 | 66.99% | 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% | $36.73 | $38.49 | 4.74% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-26 | 2010-05-07 | Completed | 100% | $39.49 | $38.25 | -3.20% | Stop | |
| 2008-06-23 | 2010-03-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2008-02-12 | 2008-06-23 | Completed | 100% | $46.84 | $43.68 | -6.79% | Signal | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-24 | 2008-01-18 | Completed | 100% | $24.74 | $46.13 | 86.39% | Stop | |
| 2002-05-24 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.19% | Interest Income | |