QUAL
iShares MSCI USA Quality Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
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 -21.3% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.0%, compared to a Buy-and-Hold benchmark return of 13.2%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for QUAL:
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for QUAL:
🛡️ Long-Term Investing Active Horizon
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.
🛡️ QUAL Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-21.3% (vs -34.1% B&H)
+12.8% shallower drawdown
Downside Efficiency
1.01 Sortino
+0.16 vs 0.85 B&H
Capital Sheltered from Risk
17.2% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 QUAL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -9.03% | -9.03% | -21.31% | -28.23% | -21.31% | -34.06% | -21.31% | -34.06% |
| Sharpe Ratio | 1.20 | 1.27 | 0.56 | 0.59 | 0.96 | 0.74 | 0.82 | 0.70 |
| Sortino Ratio | 1.81 | 1.95 | 0.74 | 0.83 | 1.20 | 0.90 | 1.01 | 0.85 |
| CAGR | 15.49% | 16.67% | 6.80% | 10.79% | 12.97% | 14.38% | 10.96% | 13.23% |
| % Time Invested | 97.8% | 100.0% | 75.3% | 100.0% | 83.2% | 100.0% | 82.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.2 | 0.0 | 2.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for QUAL... Top Diversifiers for QUAL
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 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% | $164.77 | $175.96 | 6.74% | 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% | $132.46 | $149.03 | 12.45% | Stop | |
| 2023-04-11 | 2025-04-07 | Completed | 33.33% | $120.11 | $149.03 | 24.02% | Stop | |
| 2023-12-27 | 2025-03-12 | Completed | 33.33% | $143.88 | $170.18 | 18.22% | 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% | $114.97 | $136.61 | 18.76% | 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% | $134.65 | $127.82 | -5.12% | 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% | $104.44 | $106.40 | 1.83% | 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% | $115.90 | $102.05 | -11.99% | 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% | $125.77 | $112.84 | -10.33% | Stop | |
| 2022-02-16 | 2022-05-09 | Completed | 33.33% | $124.53 | $114.60 | -8.03% | 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% | $124.53 | $122.09 | -2.01% | Signal | |
| 2020-04-01 | 2022-02-25 | Completed | 33.33% | $72.43 | $120.99 | 66.97% | 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% | $96.77 | $123.53 | 27.59% | Stop | |
| 2020-06-25 | 2022-01-25 | Completed | 33.33% | $87.79 | $123.53 | 40.64% | 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% | $67.44 | $89.33 | 32.40% | 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% | $67.44 | $80.95 | 19.98% | 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% | $71.45 | $81.87 | 14.52% | 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% | $83.19 | $85.82 | 3.11% | Stop | |
| 2019-03-27 | 2020-03-02 | Completed | 33.33% | $79.81 | $85.82 | 7.48% | 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% | $81.79 | $78.42 | -4.17% | 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% | $71.55 | $75.23 | 5.09% | 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% | $53.03 | $68.71 | 29.51% | Stop | |
| 2016-03-21 | 2018-12-18 | Completed | 33.33% | $55.99 | $70.75 | 26.30% | Stop | |
| 2018-07-18 | 2018-12-10 | Completed | 33.33% | $77.07 | $72.47 | -6.02% | 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% | $56.90 | $75.47 | 32.56% | 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% | $56.57 | $54.39 | -3.90% | 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% | $53.03 | $52.98 | -0.14% | 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% | $54.93 | $50.64 | -7.85% | Stop | |
| 2015-07-14 | 2015-08-25 | Completed | 33.33% | $54.93 | $50.64 | -7.85% | Stop | |
| 2015-07-14 | 2015-08-25 | Completed | 33.33% | $54.93 | $50.64 | -7.85% | 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 | |