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 Moving Average (50/200)* 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 9.0%, compared to a Buy-and-Hold benchmark return of 13.3%. The strategy executed 7 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
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% | 9.81% | 10.83% | 11.50% | 13.95% | 8.96% | 13.26% |
| Sharpe Ratio | 1.33 | 1.33 | 0.74 | 0.59 | 0.85 | 0.72 | 0.67 | 0.69 |
| Max Drawdown | -9.03% | -9.03% | -19.31% | -28.23% | -19.31% | -34.06% | -21.30% | -34.06% |
| % Time Invested | 100.0% | 100.0% | 80.6% | 100.0% | 84.3% | 100.0% | 81.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 | 0.6 | 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 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2023-01-23 | 2025-04-07 | Completed | 100% | $114.65 | $149.03 | 29.92% | Stop | |
| 2022-02-25 | 2023-01-23 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2020-07-06 | 2022-02-25 | Completed | 100% | $91.21 | $120.99 | 32.58% | Stop | |
| 2020-03-10 | 2020-07-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2019-03-25 | 2020-03-10 | Completed | 100% | $78.96 | $81.87 | 3.63% | Stop | |
| 2018-12-11 | 2019-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2016-04-12 | 2018-12-11 | Completed | 100% | $56.10 | $73.80 | 31.49% | Signal | |
| 2016-02-04 | 2016-04-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-11-25 | 2016-02-04 | Completed | 100% | $56.57 | $52.25 | -7.67% | Signal | |
| 2015-09-22 | 2015-11-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2015-09-22 | Completed | 100% | $53.03 | $51.72 | -2.52% | Signal | |
| 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 | |