IWR
iShares Russell Mid-Cap ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for IWR (iShares Russell Mid-Cap ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.4% (compared to the benchmark's drawdown of -58.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.3%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 15 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
IWR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 16.93% | 16.93% | -1.15% | 8.06% | 9.75% | 11.31% | 9.31% | 10.84% |
| Sharpe Ratio | 1.15 | 1.15 | -0.08 | 0.43 | 0.63 | 0.55 | 0.61 | 0.51 |
| Max Drawdown | -8.17% | -8.17% | -34.44% | -26.18% | -34.44% | -40.59% | -34.44% | -58.83% |
| % Time Invested | 100.0% | 100.0% | 67.2% | 100.0% | 79.2% | 100.0% | 83.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-13 | 2025-04-07 | Completed | 100% | $79.63 | $73.66 | -7.55% | Stop | |
| 2022-10-21 | 2024-03-13 | Interest (CASH) | 100% | $1.00 | $1.07 | 7.21% | Interest Income | |
| 2022-10-18 | 2022-10-21 | Completed | 100% | $61.73 | $59.75 | -3.26% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-03 | 2022-09-26 | Completed | 100% | $68.04 | $59.87 | -12.05% | Stop | |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-11 | Completed | 100% | $72.74 | $64.35 | -11.59% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2022-02-25 | Completed | 100% | $35.63 | $70.16 | 96.81% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-11 | 2020-03-02 | Completed | 100% | $43.77 | $49.64 | 13.37% | Stop | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-12-18 | Completed | 100% | $37.75 | $42.86 | 13.49% | Stop | |
| 2016-05-16 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2016-02-12 | 2016-05-16 | Completed | 100% | $30.16 | $34.98 | 15.91% | 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% | $34.72 | $30.70 | -11.62% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-08-25 | Completed | 100% | $20.25 | $34.00 | 67.85% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 100% | $19.12 | $17.43 | -8.86% | 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% | $16.57 | $18.23 | 9.99% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $15.02 | $16.95 | 12.79% | Stop | |
| 2008-07-11 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2008-02-04 | 2008-07-11 | Completed | 100% | $18.69 | $17.23 | -7.83% | Signal | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2003-09-05 | 2008-01-10 | Completed | 100% | $10.75 | $18.13 | 68.58% | Stop | |
| 2003-08-25 | 2003-09-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |