QUAL iShares MSCI USA Quality Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for QUAL (iShares MSCI USA Quality Factor ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.1% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.2%, compared to a Buy-and-Hold benchmark return of 13.4%. The strategy executed 30 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
QUAL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 19.48% | 23.04% | 8.28% | 12.23% | 12.96% | 14.28% | 11.15% | 13.38% |
| Sharpe Ratio | 1.62 | 1.76 | 0.68 | 0.67 | 0.96 | 0.74 | 0.83 | 0.70 |
| Max Drawdown | -9.03% | -9.03% | -21.15% | -28.23% | -21.15% | -34.06% | -21.15% | -34.06% |
| % Time Invested | 100.0% | 100.0% | 91.9% | 100.0% | 95.0% | 100.0% | 94.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.2 | 0.0 | 2.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-02 | Open | Open | 33.33% | $195.14 | $215.49 | 10.43% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $168.94 | $215.49 | 27.55% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $165.06 | $215.49 | 30.55% | Mark-to-Market |
| 2025-06-03 | 2025-10-02 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.88% | Interest Income |
| 2025-05-16 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2025-04-30 | 2025-05-16 | Completed | 33.33% | $165.06 | $176.28 | 6.80% | Signal |
| 2025-03-12 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $132.70 | $149.30 | 12.51% | Stop |
| 2023-04-11 | 2025-04-07 | Completed | 33.33% | $120.32 | $149.30 | 24.08% | Stop |
| 2023-12-27 | 2025-03-12 | Completed | 33.33% | $144.13 | $170.49 | 18.28% | Signal |
| 2023-11-21 | 2023-12-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2023-01-18 | 2023-11-21 | Completed | 33.33% | $115.18 | $136.86 | 18.82% | Signal |
| 2023-09-27 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2023-07-19 | 2023-09-27 | Completed | 33.33% | $134.89 | $128.05 | -5.07% | Stop |
| 2023-06-02 | 2023-07-19 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-10-28 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-18 | 2022-10-28 | Completed | 33.33% | $104.62 | $106.59 | 1.88% | Signal |
| 2022-10-04 | 2022-10-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-26 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-07 | 2022-09-26 | Completed | 33.33% | $116.11 | $102.23 | -11.95% | Stop |
| 2022-05-09 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-13 | 2022-06-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-21 | 2022-05-13 | Completed | 33.33% | $125.99 | $113.04 | -10.28% | Stop |
| 2022-02-16 | 2022-05-09 | Completed | 33.33% | $124.76 | $114.80 | -7.98% | Signal |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-28 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-16 | 2022-02-28 | Completed | 33.33% | $124.76 | $122.31 | -1.96% | Signal |
| 2020-04-01 | 2022-02-25 | Completed | 33.33% | $72.55 | $121.20 | 67.05% | Stop |
| 2022-01-25 | 2022-02-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2022-01-25 | 2022-02-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-08-11 | 2022-01-25 | Completed | 33.33% | $96.94 | $123.75 | 27.65% | Stop |
| 2020-06-25 | 2022-01-25 | Completed | 33.33% | $87.95 | $123.75 | 40.71% | Stop |
| 2020-07-01 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2020-03-24 | 2020-07-01 | Completed | 33.33% | $67.56 | $89.49 | 32.47% | Signal |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-04-09 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-04-09 | Completed | 33.33% | $67.56 | $81.10 | 20.04% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-15 | 2020-03-10 | Completed | 33.33% | $71.58 | $82.02 | 14.58% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-26 | 2020-03-02 | Completed | 33.33% | $83.33 | $85.97 | 3.16% | Stop |
| 2019-03-27 | 2020-03-02 | Completed | 33.33% | $79.95 | $85.97 | 7.53% | Stop |
| 2019-06-04 | 2019-06-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2019-04-08 | 2019-06-04 | Completed | 33.33% | $81.93 | $78.56 | -4.12% | Stop |
| 2019-03-04 | 2019-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2019-03-04 | 2019-03-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2019-02-01 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2018-12-10 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2019-01-11 | 2019-02-01 | Completed | 33.33% | $71.68 | $75.36 | 5.14% | Signal |
| 2018-12-20 | 2019-01-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2015-09-17 | 2018-12-20 | Completed | 33.33% | $53.12 | $68.84 | 29.57% | Stop |
| 2016-03-21 | 2018-12-18 | Completed | 33.33% | $56.09 | $70.87 | 26.37% | Stop |
| 2018-07-18 | 2018-12-10 | Completed | 33.33% | $77.21 | $72.60 | -5.97% | Signal |
| 2018-05-21 | 2018-07-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-04-27 | 2018-05-21 | Completed | 33.33% | $57.00 | $75.60 | 32.62% | Signal |
| 2016-04-04 | 2016-04-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-03-03 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-03-02 | 2016-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-11-25 | 2016-03-03 | Completed | 33.33% | $56.67 | $54.49 | -3.85% | Signal |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-01-13 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2015-09-17 | 2016-01-13 | Completed | 33.33% | $53.12 | $53.08 | -0.09% | Signal |
| 2015-11-03 | 2015-11-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-07-14 | 2015-08-25 | Completed | 33.33% | $55.03 | $50.73 | -7.81% | Stop |
| 2015-07-14 | 2015-08-25 | Completed | 33.33% | $55.03 | $50.73 | -7.81% | Stop |
| 2015-07-14 | 2015-08-25 | Completed | 33.33% | $55.03 | $50.73 | -7.81% | Stop |
| 2015-07-10 | 2015-07-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-07-10 | 2015-07-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-07-10 | 2015-07-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |