IWM
iShares Russell 2000 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for IWM (iShares Russell 2000 ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -41.3% (compared to the benchmark's drawdown of -58.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.2%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 19 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
IWM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 39.19% | 39.19% | 4.13% | 6.14% | 3.57% | 11.24% | 6.19% | 9.14% |
| Sharpe Ratio | 1.68 | 1.68 | 0.23 | 0.26 | 0.23 | 0.46 | 0.37 | 0.37 |
| Max Drawdown | -11.03% | -11.03% | -33.89% | -31.91% | -41.31% | -41.13% | -41.31% | -58.64% |
| % Time Invested | 100.0% | 100.0% | 63.6% | 100.0% | 62.9% | 100.0% | 71.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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% | $193.62 | $292.95 | 51.30% | Mark-to-Market |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-27 | 2025-04-08 | Completed | 100% | $203.14 | $183.71 | -9.57% | Stop |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-04-19 | 2025-03-05 | Completed | 100% | $187.74 | $203.79 | 8.55% | Stop |
| 2022-11-10 | 2024-04-19 | Interest (CASH) | 100% | $1.00 | $1.08 | 7.55% | Interest Income |
| 2022-11-01 | 2022-11-10 | Completed | 100% | $177.26 | $174.01 | -1.83% | Stop |
| 2022-09-15 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2022-06-02 | 2022-09-15 | Completed | 100% | $175.26 | $173.18 | -1.19% | Signal |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-02-11 | 2022-05-10 | Completed | 100% | $192.98 | $168.60 | -12.63% | Stop |
| 2022-01-20 | 2022-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-01-28 | 2022-01-20 | Completed | 100% | $197.92 | $194.62 | -1.67% | Stop |
| 2020-02-26 | 2021-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-12-26 | 2020-02-26 | Completed | 100% | $154.40 | $145.35 | -5.86% | Stop |
| 2019-08-02 | 2019-12-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2019-01-16 | 2019-08-02 | Completed | 100% | $131.22 | $140.91 | 7.39% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-16 | 2018-12-21 | Completed | 100% | $137.09 | $120.90 | -11.81% | Stop |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-11-15 | 2018-10-25 | Completed | 100% | $114.26 | $133.55 | 16.88% | Stop |
| 2016-04-25 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-02-08 | 2016-04-25 | Completed | 100% | $85.06 | $100.09 | 17.66% | Signal |
| 2016-01-14 | 2016-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-09-17 | 2016-01-14 | Completed | 100% | $101.79 | $88.44 | -13.11% | Stop |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-26 | 2015-08-25 | Completed | 100% | $59.57 | $99.29 | 66.68% | Stop |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-29 | 2011-10-04 | Completed | 100% | $57.27 | $49.49 | -13.58% | Stop |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-16 | 2011-08-05 | Completed | 100% | $53.44 | $60.09 | 12.44% | Stop |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-19 | 2010-05-24 | Completed | 100% | $50.37 | $52.15 | 3.54% | Stop |
| 2009-10-29 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-09-15 | 2009-10-29 | Completed | 100% | $47.87 | $45.84 | -4.24% | Stop |
| 2008-05-08 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.87% | Interest Income |
| 2008-01-30 | 2008-05-08 | Completed | 100% | $54.42 | $56.07 | 3.04% | Signal |
| 2008-01-07 | 2008-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2003-06-02 | 2008-01-07 | Completed | 100% | $32.81 | $56.42 | 71.95% | Stop |
| 2002-05-24 | 2003-06-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income |