IVV
iShares Core S&P 500 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for IVV (iShares Core S&P 500 ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.0% (compared to the benchmark's drawdown of -55.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.8%, compared to a Buy-and-Hold benchmark return of 10.3%. The strategy executed 13 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.
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% | 12.15% | 13.39% | 14.06% | 15.47% | 10.79% | 10.30% |
| Sharpe Ratio | 1.78 | 1.78 | 0.90 | 0.74 | 1.03 | 0.80 | 0.85 | 0.52 |
| Max Drawdown | -8.89% | -8.89% | -20.00% | -24.53% | -20.00% | -33.90% | -20.00% | -55.25% |
| % Time Invested | 100.0% | 100.0% | 81.4% | 100.0% | 84.7% | 100.0% | 77.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $556.13 | $745.14 | 33.99% | Mark-to-Market |
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2023-01-27 | 2025-04-07 | Completed | 100% | $387.68 | $485.39 | 25.20% | Stop |
| 2022-03-17 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income |
| 2020-07-07 | 2022-03-17 | Completed | 100% | $291.40 | $409.77 | 40.62% | Signal |
| 2020-04-01 | 2020-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-03-24 | 2020-04-01 | Completed | 100% | $215.88 | $228.02 | 5.62% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $253.34 | $272.67 | 7.63% | Stop |
| 2018-12-13 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2016-04-22 | 2018-12-13 | Completed | 100% | $176.98 | $237.72 | 34.32% | Signal |
| 2016-01-19 | 2016-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-12-10 | 2016-01-19 | Completed | 100% | $173.27 | $161.08 | -7.04% | Signal |
| 2015-08-25 | 2015-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-01-24 | 2015-08-25 | Completed | 100% | $102.06 | $163.89 | 60.58% | Stop |
| 2011-08-09 | 2012-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-10-14 | 2011-08-09 | Completed | 100% | $89.55 | $87.98 | -1.76% | Stop |
| 2010-07-08 | 2010-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-06-01 | 2010-07-08 | Completed | 100% | $81.54 | $80.89 | -0.80% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $68.65 | $84.76 | 23.48% | Stop |
| 2007-12-31 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.49% | Interest Income |
| 2006-08-30 | 2007-12-31 | Completed | 100% | $90.97 | $105.17 | 15.62% | Signal |
| 2006-07-26 | 2006-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2004-10-29 | 2006-07-26 | Completed | 100% | $75.98 | $88.00 | 15.82% | Signal |
| 2004-08-27 | 2004-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2003-03-21 | 2004-08-27 | Completed | 100% | $58.03 | $73.54 | 26.73% | Signal |
| 2002-05-17 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income |