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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.4% (compared to the benchmark's drawdown of -60.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.9%, compared to a Buy-and-Hold benchmark return of 8.8%. 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.
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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% | 6.98% | 11.38% | 8.61% | 11.29% | 8.95% | 8.79% |
| Sharpe Ratio | 2.14 | 2.14 | 0.58 | 0.73 | 0.72 | 0.62 | 0.73 | 0.44 |
| Max Drawdown | -6.79% | -6.79% | -14.53% | -19.04% | -16.01% | -38.51% | -19.44% | -60.10% |
| % Time Invested | 100.0% | 100.0% | 79.8% | 100.0% | 81.7% | 100.0% | 77.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 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 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 | 2025-07-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2023-12-20 | 2025-04-08 | Completed | 100% | $157.25 | $170.66 | 8.48% | Stop | |
| 2023-10-27 | 2023-12-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2022-12-30 | 2023-10-27 | Completed | 100% | $141.56 | $138.57 | -2.16% | Signal | |
| 2022-05-17 | 2022-12-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.88% | Interest Income | |
| 2020-09-14 | 2022-05-17 | Completed | 100% | $107.48 | $144.17 | 34.07% | Signal | |
| 2020-03-02 | 2020-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-03-26 | 2020-03-02 | Completed | 100% | $105.56 | $106.74 | 1.07% | Stop | |
| 2018-12-11 | 2019-03-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2016-04-25 | 2018-12-11 | Completed | 100% | $81.29 | $101.34 | 24.60% | Signal | |
| 2016-01-11 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-10-08 | 2016-01-11 | Completed | 100% | $77.28 | $73.81 | -4.54% | Stop | |
| 2015-08-25 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-01 | 2015-08-25 | Completed | 100% | $48.48 | $73.96 | 52.47% | Stop | |
| 2011-08-08 | 2012-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-21 | 2011-08-08 | Completed | 100% | $43.23 | $42.33 | -2.12% | Stop | |
| 2010-07-13 | 2010-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-13 | Completed | 100% | $39.82 | $40.19 | 0.87% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-01 | 2010-05-07 | Completed | 100% | $32.76 | $41.35 | 26.16% | Stop | |
| 2007-11-26 | 2009-07-01 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.79% | Interest Income | |
| 2007-10-17 | 2007-11-26 | Completed | 100% | $57.04 | $52.11 | -8.70% | Signal | |
| 2007-09-24 | 2007-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2003-03-24 | 2007-09-24 | Completed | 100% | $26.32 | $56.50 | 114.57% | Signal | |
| 2002-07-10 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2002-05-29 | 2002-07-10 | Completed | 100% | $32.37 | $29.39 | -9.26% | Signal | |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |