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 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 9.6%, compared to a Buy-and-Hold benchmark return of 10.2%. 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 | 15.88% | 20.38% | 5.24% | 9.22% | 9.01% | 11.94% | 9.62% | 10.25% |
| Sharpe Ratio | 1.28 | 1.58 | 0.43 | 0.55 | 0.72 | 0.61 | 0.76 | 0.48 |
| Max Drawdown | -7.85% | -7.85% | -17.64% | -21.38% | -17.64% | -39.04% | -22.83% | -59.92% |
| % Time Invested | 95.2% | 100.0% | 76.4% | 100.0% | 81.0% | 100.0% | 75.7% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-07-08 | Open | Open | 100% | $181.46 | $209.96 | 15.70% | Mark-to-Market |
| 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% | $150.98 | $151.10 | 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% | $134.82 | $132.91 | -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% | $97.28 | $147.30 | 51.34% | 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% | $92.37 | $93.17 | 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% | $67.45 | $88.61 | 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% | $39.68 | $61.87 | 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% | $32.80 | $33.87 | 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% | $30.74 | $31.45 | 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% | $24.48 | $31.65 | 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% | $31.60 | $37.02 | 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% | $26.62 | $30.38 | 14.09% | Signal |
| 2005-04-22 | 2005-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |