RSP
Invesco S&P 500 Equal Weight ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-03
Executive Summary
The quantitative backtest for RSP (Invesco S&P 500 Equal Weight ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.8% (compared to the benchmark's drawdown of -59.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.8%, compared to a Buy-and-Hold benchmark return of 10.4%. The strategy executed 11 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.
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RSP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.17% | 20.17% | 4.97% | 8.95% | 9.06% | 11.99% | 9.75% | 10.38% |
| Sharpe Ratio | 1.58 | 1.58 | 0.41 | 0.53 | 0.73 | 0.62 | 0.77 | 0.49 |
| Max Drawdown | -7.85% | -7.85% | -17.64% | -21.38% | -17.64% | -39.04% | -22.83% | -59.92% |
| % Time Invested | 100.0% | 100.0% | 76.4% | 100.0% | 80.9% | 100.0% | 75.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | 2025-07-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.06% | Interest Income | |
| 2023-12-15 | 2025-04-07 | Completed | 100% | $150.40 | $150.52 | 0.03% | Stop | |
| 2023-10-20 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2023-01-05 | 2023-10-20 | Completed | 100% | $134.30 | $132.39 | -1.47% | Signal | |
| 2022-03-28 | 2023-01-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2020-08-04 | 2022-03-28 | Completed | 100% | $96.91 | $146.74 | 51.35% | Signal | |
| 2020-03-02 | 2020-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-03-22 | 2020-03-02 | Completed | 100% | $92.01 | $92.81 | 0.81% | Stop | |
| 2018-11-30 | 2019-03-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2016-04-22 | 2018-11-30 | Completed | 100% | $67.19 | $88.27 | 31.31% | Signal | |
| 2015-08-26 | 2016-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-07 | 2015-08-26 | Completed | 100% | $39.53 | $61.63 | 55.84% | Signal | |
| 2011-08-08 | 2012-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-29 | 2011-08-08 | Completed | 100% | $32.67 | $33.74 | 3.22% | Stop | |
| 2010-07-26 | 2010-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-26 | Completed | 100% | $30.62 | $31.33 | 2.27% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-09 | 2010-05-07 | Completed | 100% | $24.39 | $31.53 | 29.22% | Stop | |
| 2007-09-21 | 2009-06-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.45% | Interest Income | |
| 2006-09-06 | 2007-09-21 | Completed | 100% | $31.48 | $36.88 | 17.09% | Signal | |
| 2006-07-28 | 2006-09-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2005-04-26 | 2006-07-28 | Completed | 100% | $26.51 | $30.27 | 14.09% | Signal | |
| 2005-04-22 | 2005-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |