IVV
iShares Core S&P 500 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-13
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 -26.5% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.6%, 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.
📊 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
IVV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.40% | 24.40% | 8.65% | 13.39% | 15.09% | 15.47% | 11.55% | 10.30% |
| Sharpe Ratio | 1.78 | 1.78 | 0.58 | 0.74 | 0.96 | 0.80 | 0.79 | 0.52 |
| Max Drawdown | -8.89% | -8.89% | -25.15% | -24.53% | -25.15% | -33.90% | -26.46% | -55.25% |
| % Time Invested | 100.0% | 100.0% | 77.4% | 100.0% | 87.4% | 100.0% | 86.0% | 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
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 |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 100% | $543.39 | $745.14 | 37.13% | Mark-to-Market |
| 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% | $425.23 | $485.39 | 14.15% | 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% | $358.61 | $378.14 | 5.45% | 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% | $388.29 | $350.28 | -9.79% | 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% | $215.88 | $383.53 | 77.66% | 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% | $233.92 | $272.67 | 16.57% | 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% | $167.76 | $221.32 | 31.93% | 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% | $94.43 | $163.89 | 73.56% | 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% | $81.54 | $87.98 | 7.90% | 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% | $70.48 | $84.76 | 20.27% | 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% | $97.29 | $87.92 | -9.63% | 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% | $58.03 | $90.43 | 55.83% | Stop |
| 2002-05-17 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income |