IWD
iShares Russell 1000 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IWD (iShares Russell 1000 Value ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.2% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.7%, compared to a Buy-and-Hold benchmark return of 8.8%. The strategy executed 16 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.
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IWD Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 27.24% | 27.24% | 5.62% | 11.38% | 8.46% | 11.29% | 8.71% | 8.79% |
| Sharpe Ratio | 2.14 | 2.14 | 0.43 | 0.73 | 0.60 | 0.62 | 0.64 | 0.44 |
| Max Drawdown | -6.79% | -6.79% | -18.96% | -19.04% | -18.96% | -38.51% | -24.20% | -60.10% |
| % Time Invested | 100.0% | 100.0% | 82.9% | 100.0% | 84.9% | 100.0% | 80.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 0.7 | 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-19 | 2025-04-08 | Completed | 100% | $166.63 | $170.66 | 2.37% | Stop | |
| 2023-10-30 | 2024-03-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2023-04-04 | 2023-10-30 | Completed | 100% | $144.35 | $137.49 | -4.80% | Stop | |
| 2022-12-20 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.31% | Interest Income | |
| 2022-10-20 | 2022-12-20 | Completed | 100% | $131.66 | $139.76 | 6.10% | Signal | |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-07-11 | 2022-09-28 | Completed | 100% | $135.31 | $128.09 | -5.38% | Stop | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2021-02-10 | 2022-06-15 | Completed | 100% | $130.03 | $134.88 | 3.68% | Stop | |
| 2020-11-03 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-11-03 | Completed | 100% | $79.47 | $107.96 | 35.78% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-10-30 | 2020-03-02 | Completed | 100% | $113.95 | $106.74 | -6.38% | Stop | |
| 2019-10-08 | 2019-10-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-01-16 | 2019-10-08 | Completed | 100% | $99.08 | $108.97 | 9.93% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-10-04 | 2018-12-21 | Completed | 100% | $85.49 | $94.06 | 9.97% | Stop | |
| 2016-04-08 | 2016-10-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2016-02-12 | 2016-04-08 | Completed | 100% | $70.49 | $78.86 | 11.83% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $76.53 | $70.55 | -7.86% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2015-08-25 | Completed | 100% | $43.87 | $73.96 | 68.51% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $39.82 | $42.33 | 6.25% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-29 | 2010-05-07 | Completed | 100% | $42.88 | $41.35 | -3.63% | Stop | |
| 2008-06-09 | 2010-03-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.76% | Interest Income | |
| 2008-02-12 | 2008-06-09 | Completed | 100% | $49.48 | $49.36 | -0.30% | Signal | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-24 | 2008-01-18 | Completed | 100% | $26.32 | $48.66 | 84.81% | Stop | |
| 2002-05-24 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.19% | Interest Income | |