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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.7% (compared to the benchmark's drawdown of -61.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.3%, compared to a Buy-and-Hold benchmark return of 8.7%. The strategy executed 12 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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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% | 8.70% | 11.38% | 10.57% | 11.62% | 10.35% | 8.66% |
| Sharpe Ratio | 1.65 | 1.65 | 0.71 | 0.76 | 0.86 | 0.65 | 0.84 | 0.43 |
| Max Drawdown | -6.19% | -6.19% | -18.01% | -18.04% | -18.01% | -37.04% | -20.66% | -61.32% |
| % Time Invested | 100.0% | 100.0% | 83.5% | 100.0% | 84.2% | 100.0% | 77.7% | 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% | $135.40 | $164.83 | 21.67% | 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% | $103.21 | $137.55 | 33.21% | Signal | |
| 2020-03-26 | 2020-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 100% | $76.78 | $82.47 | 7.36% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-02-07 | 2020-03-02 | Completed | 100% | $94.48 | $101.05 | 6.89% | Stop | |
| 2018-12-12 | 2019-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2018-06-26 | 2018-12-12 | Completed | 100% | $93.22 | $91.87 | -1.50% | Signal | |
| 2018-06-04 | 2018-06-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-04-20 | 2018-06-04 | Completed | 100% | $74.17 | $93.52 | 26.02% | Signal | |
| 2015-08-25 | 2016-04-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-01-31 | 2015-08-25 | Completed | 100% | $44.41 | $66.45 | 49.55% | Stop | |
| 2011-08-08 | 2012-01-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-25 | 2011-08-08 | Completed | 100% | $39.66 | $38.49 | -3.00% | Stop | |
| 2010-07-13 | 2010-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-13 | Completed | 100% | $36.73 | $36.88 | 0.37% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-30 | 2010-05-07 | Completed | 100% | $30.30 | $38.25 | 26.14% | Stop | |
| 2007-12-12 | 2009-06-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2003-03-24 | 2007-12-12 | Completed | 100% | $24.74 | $51.96 | 109.96% | Signal | |
| 2002-06-10 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2002-05-29 | 2002-06-10 | Completed | 100% | $30.97 | $29.76 | -3.96% | Signal | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |