USMV iShares MSCI USA Min Vol Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for USMV (iShares MSCI USA Min Vol Factor ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.7% (compared to the benchmark's drawdown of -33.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.1%, compared to a Buy-and-Hold benchmark return of 10.7%. The strategy executed 30 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
USMV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.14% | 5.54% | 6.22% | 7.76% | 9.85% | 10.06% | 10.14% | 10.67% |
| Sharpe Ratio | 0.56 | 0.64 | 0.68 | 0.61 | 0.92 | 0.66 | 0.94 | 0.73 |
| Max Drawdown | -6.46% | -6.46% | -14.67% | -17.93% | -14.67% | -33.10% | -14.67% | -33.10% |
| % Time Invested | 100.0% | 100.0% | 96.7% | 100.0% | 98.0% | 100.0% | 97.9% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 2.8 | 0.0 | 2.3 | 0.0 | 2.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-15 | Open | Open | 33.33% | $95.03 | $96.60 | 1.65% | Mark-to-Market |
| 2023-04-03 | Open | Open | 33.33% | $69.04 | $96.60 | 39.91% | Mark-to-Market |
| 2026-05-07 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Mark-to-Market |
| 2026-05-04 | 2026-05-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2026-02-18 | 2026-05-07 | Completed | 33.33% | $95.50 | $94.28 | -1.27% | Signal |
| 2026-04-20 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2025-10-01 | 2026-04-20 | Completed | 33.33% | $94.02 | $94.70 | 0.72% | Signal |
| 2025-12-31 | 2026-02-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2025-07-21 | 2025-12-31 | Completed | 33.33% | $91.97 | $94.45 | 2.70% | Signal |
| 2025-08-19 | 2025-10-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2023-11-17 | 2025-08-19 | Completed | 33.33% | $71.73 | $92.41 | 28.84% | Signal |
| 2025-06-23 | 2025-07-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2025-06-17 | 2025-06-23 | Completed | 33.33% | $91.33 | $90.77 | -0.61% | Signal |
| 2025-06-03 | 2025-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-05-23 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2025-04-14 | 2025-05-23 | Completed | 33.33% | $89.45 | $90.56 | 1.23% | Signal |
| 2025-02-14 | 2025-04-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.48% | Interest Income |
| 2024-01-03 | 2025-02-14 | Completed | 33.33% | $75.53 | $91.90 | 21.67% | Signal |
| 2023-10-25 | 2024-01-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-10-24 | 2023-11-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2023-06-16 | 2023-10-25 | Completed | 33.33% | $70.60 | $68.73 | -2.65% | Signal |
| 2023-07-25 | 2023-10-24 | Completed | 33.33% | $72.31 | $68.63 | -5.09% | Signal |
| 2023-06-09 | 2023-07-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2023-06-02 | 2023-06-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-04-03 | 2023-06-09 | Completed | 33.33% | $69.04 | $68.89 | -0.22% | Signal |
| 2023-04-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2023-01-11 | 2023-04-17 | Completed | 33.33% | $69.29 | $69.97 | 0.98% | Signal |
| 2022-12-05 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income |
| 2022-12-02 | 2023-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-07-11 | 2022-12-05 | Completed | 33.33% | $66.68 | $70.67 | 5.98% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-06 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-03-23 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-04-01 | 2022-06-15 | Completed | 33.33% | $47.00 | $63.81 | 35.76% | Stop |
| 2022-03-21 | 2022-06-06 | Completed | 33.33% | $71.26 | $68.78 | -3.47% | Signal |
| 2022-03-21 | 2022-03-23 | Completed | 33.33% | $71.26 | $71.33 | 0.09% | Signal |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-07-23 | 2022-02-25 | Completed | 33.33% | $57.78 | $67.71 | 17.19% | Stop |
| 2020-06-03 | 2022-02-25 | Completed | 33.33% | $56.38 | $67.71 | 20.10% | Stop |
| 2020-06-02 | 2020-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-05-14 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-04-06 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-05-14 | Completed | 33.33% | $43.45 | $51.36 | 18.20% | Signal |
| 2020-03-24 | 2020-04-06 | Completed | 33.33% | $43.45 | $48.89 | 12.51% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2015-09-17 | 2020-03-10 | Completed | 33.33% | $33.11 | $55.90 | 68.84% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-03-25 | 2020-03-02 | Completed | 33.33% | $51.31 | $55.54 | 8.24% | Stop |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $47.88 | $55.54 | 15.99% | Stop |
| 2019-03-04 | 2019-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2018-12-26 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2018-12-27 | 2019-01-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2016-03-02 | 2018-12-27 | Completed | 33.33% | $35.05 | $44.94 | 28.21% | Stop |
| 2018-07-09 | 2018-12-26 | Completed | 33.33% | $47.22 | $44.04 | -6.75% | Signal |
| 2018-04-27 | 2018-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2016-12-13 | 2018-04-27 | Completed | 33.33% | $38.42 | $45.38 | 18.12% | Signal |
| 2016-11-09 | 2016-12-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-12-02 | 2016-11-09 | Completed | 33.33% | $34.89 | $37.06 | 6.20% | Signal |
| 2016-02-08 | 2016-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-09-17 | 2016-02-08 | Completed | 33.33% | $33.11 | $33.30 | 0.58% | Signal |
| 2015-11-03 | 2015-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.86 | $32.82 | 22.22% | Stop |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.86 | $32.82 | 22.22% | Stop |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.86 | $32.82 | 22.22% | Stop |
| 2013-10-15 | 2013-10-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-10-15 | 2013-10-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-10-15 | 2013-10-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |