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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.1% (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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
-20.1% (vs -55.2% B&H)
+35.2% shallower drawdown
Downside Efficiency
0.94 Sortino
+0.30 vs 0.64 B&H
Capital Sheltered from Risk
22.5% 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% | -20.08% | -24.53% | -20.08% | -33.90% | -20.08% | -55.25% |
| Sharpe Ratio | 1.27 | 1.27 | 0.86 | 0.72 | 1.02 | 0.79 | 0.85 | 0.52 |
| Sortino Ratio | 1.82 | 1.82 | 1.02 | 0.98 | 1.16 | 0.93 | 0.94 | 0.64 |
| CAGR | 17.59% | 17.59% | 11.67% | 12.95% | 13.89% | 15.36% | 10.76% | 10.33% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 84.7% | 100.0% | 77.5% | 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
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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 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-01-27 | 2025-04-07 | Completed | 100% | $386.65 | $484.09 | 25.14% | 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% | $290.62 | $408.67 | 40.55% | 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% | $215.30 | $227.41 | 5.57% | 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% | $252.66 | $271.94 | 7.58% | 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% | $176.51 | $237.08 | 34.25% | 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% | $172.81 | $160.64 | -7.08% | 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% | $101.78 | $163.45 | 60.50% | 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% | $89.31 | $87.74 | -1.80% | 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% | $81.32 | $80.67 | -0.85% | 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% | $68.46 | $84.54 | 23.42% | 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% | $90.72 | $104.89 | 15.56% | 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% | $75.77 | $87.76 | 15.76% | 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% | $57.88 | $73.35 | 26.66% | Signal | |
| 2002-05-17 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |