USMV
iShares MSCI USA Min Vol Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for USMV (iShares MSCI USA Min Vol Factor ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.4% (compared to the benchmark's drawdown of -33.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.0%, compared to a Buy-and-Hold benchmark return of 10.6%. The strategy executed 30 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 3.29% | 4.72% | 5.14% | 6.69% | 9.13% | 9.46% | 9.96% | 10.59% |
| Sharpe Ratio | 0.43 | 0.54 | 0.57 | 0.53 | 0.86 | 0.62 | 0.94 | 0.73 |
| Max Drawdown | -6.46% | -6.46% | -14.44% | -17.93% | -14.44% | -33.10% | -14.44% | -33.10% |
| % Time Invested | 100.0% | 100.0% | 96.7% | 100.0% | 98.0% | 100.0% | 97.9% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 2.8 | 0.0 | 2.3 | 0.0 | 2.3 | 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 | ||||||||
| 2026-04-20 | 2026-05-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2026-02-18 | 2026-05-07 | Completed | 33.33% | $95.20 | $93.99 | -1.32% | Signal | |
| 2025-10-01 | 2026-04-20 | Completed | 33.33% | $93.73 | $94.40 | 0.67% | Signal | |
| 2025-12-31 | 2026-02-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2025-07-21 | 2025-12-31 | Completed | 33.33% | $91.68 | $94.16 | 2.65% | Signal | |
| 2025-08-19 | 2025-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2023-11-17 | 2025-08-19 | Completed | 33.33% | $71.51 | $92.13 | 28.77% | Signal | |
| 2025-06-23 | 2025-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2025-06-17 | 2025-06-23 | Completed | 33.33% | $91.04 | $90.49 | -0.66% | Signal | |
| 2025-05-23 | 2025-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-14 | 2025-05-23 | Completed | 33.33% | $89.17 | $90.27 | 1.18% | Signal | |
| 2025-02-14 | 2025-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2024-01-03 | 2025-02-14 | Completed | 33.33% | $75.30 | $91.61 | 21.61% | Signal | |
| 2023-10-25 | 2024-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2023-10-24 | 2023-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2023-06-16 | 2023-10-25 | Completed | 33.33% | $70.38 | $68.51 | -2.70% | Signal | |
| 2023-07-25 | 2023-10-24 | Completed | 33.33% | $72.08 | $68.42 | -5.13% | Signal | |
| 2023-06-09 | 2023-07-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2023-04-17 | 2023-06-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2023-04-03 | 2023-06-09 | Completed | 33.33% | $68.83 | $68.68 | -0.27% | Signal | |
| 2023-01-11 | 2023-04-17 | Completed | 33.33% | $69.07 | $69.75 | 0.93% | Signal | |
| 2022-12-05 | 2023-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.48% | Interest Income | |
| 2022-06-06 | 2023-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.02% | Interest Income | |
| 2022-03-23 | 2023-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.13% | Interest Income | |
| 2022-07-11 | 2022-12-05 | Completed | 33.33% | $66.47 | $70.45 | 5.93% | Signal | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-04-01 | 2022-06-15 | Completed | 33.33% | $46.86 | $63.61 | 35.69% | Stop | |
| 2022-03-21 | 2022-06-06 | Completed | 33.33% | $71.04 | $68.57 | -3.52% | Signal | |
| 2022-03-21 | 2022-03-23 | Completed | 33.33% | $71.04 | $71.10 | 0.04% | Signal | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-07-23 | 2022-02-25 | Completed | 33.33% | $57.60 | $67.50 | 17.13% | Stop | |
| 2020-06-03 | 2022-02-25 | Completed | 33.33% | $56.20 | $67.50 | 20.04% | Stop | |
| 2020-05-14 | 2020-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-06 | 2020-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-05-14 | Completed | 33.33% | $43.31 | $51.20 | 18.14% | Signal | |
| 2020-03-24 | 2020-04-06 | Completed | 33.33% | $43.31 | $48.73 | 12.46% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2020-03-10 | Completed | 33.33% | $33.01 | $55.73 | 68.75% | Stop | |
| 2019-03-25 | 2020-03-02 | Completed | 33.33% | $51.15 | $55.36 | 8.18% | Stop | |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $47.73 | $55.36 | 15.93% | Stop | |
| 2018-12-26 | 2019-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-03-02 | 2018-12-27 | Completed | 33.33% | $34.95 | $44.80 | 28.14% | Stop | |
| 2018-07-09 | 2018-12-26 | Completed | 33.33% | $47.07 | $43.90 | -6.79% | Signal | |
| 2018-04-27 | 2018-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2016-12-13 | 2018-04-27 | Completed | 33.33% | $38.30 | $45.24 | 18.07% | Signal | |
| 2016-11-09 | 2016-12-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-12-02 | 2016-11-09 | Completed | 33.33% | $34.79 | $36.94 | 6.14% | Signal | |
| 2016-02-08 | 2016-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-02-08 | Completed | 33.33% | $33.01 | $33.20 | 0.53% | Signal | |
| 2015-08-25 | 2015-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.77 | $32.72 | 22.16% | Stop | |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.77 | $32.72 | 22.16% | Stop | |
| 2013-10-17 | 2015-08-25 | Completed | 33.33% | $26.77 | $32.72 | 22.16% | Stop | |
| 2013-10-15 | 2013-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-15 | 2013-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-15 | 2013-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |