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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.8% (compared to the benchmark's drawdown of -58.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.5%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 20 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
IWM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 34.71% | 39.19% | 2.06% | 6.14% | 6.76% | 11.24% | 6.45% | 9.14% |
| Sharpe Ratio | 1.62 | 1.68 | 0.13 | 0.26 | 0.41 | 0.46 | 0.40 | 0.37 |
| Max Drawdown | -11.03% | -11.03% | -30.04% | -31.91% | -30.83% | -41.13% | -30.83% | -58.64% |
| % Time Invested | 85.7% | 100.0% | 63.1% | 100.0% | 73.1% | 100.0% | 68.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-08-05 | Open | Open | 100% | $218.81 | $292.95 | 33.88% | Mark-to-Market |
| 2025-03-05 | 2025-08-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.80% | Interest Income |
| 2024-01-02 | 2025-03-05 | Completed | 100% | $194.54 | $203.79 | 4.75% | Stop |
| 2023-10-17 | 2024-01-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2023-07-05 | 2023-10-17 | Completed | 100% | $181.06 | $167.14 | -7.69% | Signal |
| 2023-04-27 | 2023-07-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2023-04-19 | 2023-04-27 | Completed | 100% | $170.86 | $165.99 | -2.85% | Signal |
| 2023-03-27 | 2023-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2023-01-23 | 2023-03-27 | Completed | 100% | $178.26 | $167.73 | -5.90% | Stop |
| 2022-11-10 | 2023-01-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income |
| 2022-11-01 | 2022-11-10 | Completed | 100% | $177.26 | $174.01 | -1.83% | Stop |
| 2022-01-20 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.35% | Interest Income |
| 2020-08-12 | 2022-01-20 | Completed | 100% | $147.92 | $194.62 | 31.57% | Stop |
| 2020-03-02 | 2020-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-11-07 | 2020-03-02 | Completed | 100% | $147.30 | $136.95 | -7.03% | Stop |
| 2019-10-09 | 2019-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-02-20 | 2019-10-09 | Completed | 100% | $143.07 | $136.05 | -4.90% | Signal |
| 2018-10-25 | 2019-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2016-05-23 | 2018-10-25 | Completed | 100% | $97.42 | $133.55 | 37.09% | Stop |
| 2015-08-25 | 2016-05-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2014-12-17 | 2015-08-25 | Completed | 100% | $97.85 | $99.29 | 1.47% | Stop |
| 2014-10-02 | 2014-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-02-08 | 2014-10-02 | Completed | 100% | $68.27 | $92.81 | 35.95% | Signal |
| 2011-08-05 | 2012-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-10-25 | 2011-08-05 | Completed | 100% | $57.35 | $60.09 | 4.78% | Stop |
| 2010-08-11 | 2010-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2010-06-16 | 2010-08-11 | Completed | 100% | $53.44 | $51.14 | -4.31% | Signal |
| 2010-05-24 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-19 | 2010-05-24 | Completed | 100% | $41.11 | $52.15 | 26.85% | Stop |
| 2008-10-03 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2008-09-16 | 2008-10-03 | Completed | 100% | $53.20 | $50.61 | -4.87% | Stop |
| 2007-09-12 | 2008-09-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.37% | Interest Income |
| 2006-10-19 | 2007-09-12 | Completed | 100% | $58.30 | $60.27 | 3.39% | Signal |
| 2006-07-25 | 2006-10-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2005-06-29 | 2006-07-25 | Completed | 100% | $48.48 | $52.72 | 8.74% | Signal |
| 2005-06-01 | 2005-06-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2004-11-01 | 2005-06-01 | Completed | 100% | $43.80 | $46.46 | 6.08% | Signal |
| 2004-08-10 | 2004-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2003-05-13 | 2004-08-10 | Completed | 100% | $30.82 | $38.81 | 25.93% | Signal |
| 2002-07-12 | 2003-05-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2002-05-29 | 2002-07-12 | Completed | 100% | $35.72 | $30.37 | -14.99% | Stop |
| 2002-05-24 | 2002-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |