RSP
Invesco S&P 500 Equal Weight ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-19
Executive Summary
The quantitative backtest for RSP (Invesco S&P 500 Equal Weight ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.9% (compared to the benchmark's drawdown of -59.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.6%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 13 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
RSP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.38% | 20.38% | 3.36% | 9.22% | 11.40% | 11.94% | 10.56% | 10.25% |
| Sharpe Ratio | 1.58 | 1.58 | 0.24 | 0.55 | 0.72 | 0.61 | 0.68 | 0.48 |
| Max Drawdown | -7.85% | -7.85% | -24.37% | -21.38% | -24.37% | -39.04% | -25.95% | -59.92% |
| % Time Invested | 100.0% | 100.0% | 87.1% | 100.0% | 89.6% | 100.0% | 87.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 100% | $164.39 | $209.96 | 27.72% | Mark-to-Market |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-12-15 | 2025-04-07 | Completed | 100% | $150.98 | $151.10 | 0.03% | Stop |
| 2023-10-24 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income |
| 2023-04-04 | 2023-10-24 | Completed | 100% | $138.01 | $131.31 | -4.90% | Stop |
| 2022-12-12 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2022-10-18 | 2022-12-12 | Completed | 100% | $125.90 | $136.04 | 8.01% | Signal |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-06-07 | 2022-09-26 | Completed | 100% | $137.64 | $122.58 | -10.99% | Stop |
| 2022-05-13 | 2022-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2022-05-13 | Completed | 100% | $68.34 | $133.13 | 94.71% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $84.15 | $93.17 | 10.66% | Stop |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-09-26 | 2018-12-20 | Completed | 100% | $70.47 | $80.28 | 13.87% | Stop |
| 2016-05-20 | 2016-09-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2016-02-09 | 2016-05-20 | Completed | 100% | $57.48 | $66.10 | 14.93% | Signal |
| 2016-01-15 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-08-30 | 2016-01-15 | Completed | 100% | $35.24 | $58.30 | 65.33% | 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% | $30.74 | $33.87 | 10.14% | 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% | $28.24 | $31.65 | 12.04% | Stop |
| 2008-06-13 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2008-02-01 | 2008-06-13 | Completed | 100% | $33.50 | $32.97 | -1.63% | Signal |
| 2008-01-09 | 2008-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2005-04-26 | 2008-01-09 | Completed | 100% | $26.62 | $32.59 | 22.36% | Stop |
| 2005-04-22 | 2005-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |