QUAL
iShares MSCI USA Quality Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for QUAL (iShares MSCI USA Quality Factor ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -35.6% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.9%, compared to a Buy-and-Hold benchmark return of 13.3%. The strategy executed 9 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.
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QUAL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.59% | 17.59% | 0.86% | 10.83% | 9.61% | 13.95% | 8.87% | 13.26% |
| Sharpe Ratio | 1.33 | 1.33 | 0.06 | 0.59 | 0.63 | 0.72 | 0.58 | 0.69 |
| Max Drawdown | -9.03% | -9.03% | -35.65% | -28.23% | -35.65% | -34.06% | -35.65% | -34.06% |
| % Time Invested | 100.0% | 100.0% | 78.7% | 100.0% | 88.1% | 100.0% | 88.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.7 | 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 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 | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $132.46 | $149.03 | 12.45% | Stop | |
| 2023-09-27 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2023-07-19 | 2023-09-27 | Completed | 100% | $134.65 | $127.82 | -5.12% | Stop | |
| 2022-11-04 | 2023-07-19 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.36% | Interest Income | |
| 2022-10-18 | 2022-11-04 | Completed | 100% | $104.44 | $105.52 | 0.99% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-06 | 2022-09-26 | Completed | 100% | $118.01 | $102.05 | -13.57% | Stop | |
| 2022-05-12 | 2022-06-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-12 | Completed | 100% | $125.77 | $110.18 | -12.43% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-01 | 2022-02-25 | Completed | 100% | $72.43 | $120.99 | 66.97% | Stop | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-15 | 2020-03-10 | Completed | 100% | $71.45 | $81.87 | 14.52% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-20 | Completed | 100% | $53.03 | $68.71 | 29.51% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-07-14 | 2015-08-25 | Completed | 100% | $54.93 | $50.64 | -7.85% | Stop | |
| 2015-07-10 | 2015-07-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |