IVV
iShares Core S&P 500 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for IVV (iShares Core S&P 500 ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.6% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.5%, compared to a Buy-and-Hold benchmark return of 10.3%. The strategy executed 11 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for IVV:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for IVV:
🛡️ Long-Term Investing Active Horizon
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
🛡️ IVV Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-26.6% (vs -55.2% B&H)
+28.7% shallower drawdown
Downside Efficiency
0.92 Sortino
+0.28 vs 0.64 B&H
Capital Sheltered from Risk
13.9% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 IVV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.89% | -8.89% | -25.30% | -24.53% | -25.30% | -33.90% | -26.57% | -55.25% |
| Sharpe Ratio | 1.27 | 1.27 | 0.54 | 0.72 | 0.95 | 0.79 | 0.79 | 0.52 |
| Sortino Ratio | 1.82 | 1.82 | 0.61 | 0.98 | 1.09 | 0.93 | 0.92 | 0.64 |
| CAGR | 17.59% | 17.59% | 8.14% | 12.95% | 14.91% | 15.36% | 11.52% | 10.33% |
| % Time Invested | 100.0% | 100.0% | 77.4% | 100.0% | 87.4% | 100.0% | 86.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for IVV... Top Diversifiers for IVV
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $424.09 | $484.09 | 14.09% | Stop | |
| 2022-11-30 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.83% | Interest Income | |
| 2022-10-18 | 2022-11-30 | Completed | 100% | $357.65 | $377.13 | 5.39% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-02 | 2022-09-26 | Completed | 100% | $387.25 | $349.34 | -9.83% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-24 | 2022-05-10 | Completed | 100% | $215.30 | $382.50 | 77.57% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $233.29 | $271.94 | 16.51% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-21 | Completed | 100% | $167.31 | $220.73 | 31.86% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $94.17 | $163.45 | 73.47% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $81.32 | $87.74 | 7.84% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $70.29 | $84.54 | 20.21% | Stop | |
| 2008-07-15 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.50% | Interest Income | |
| 2008-02-13 | 2008-07-15 | Completed | 100% | $97.03 | $87.69 | -9.67% | Signal | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-21 | 2008-01-22 | Completed | 100% | $57.88 | $90.19 | 55.75% | Stop | |
| 2002-05-17 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |