USMV
iShares MSCI USA Min Vol Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for USMV (iShares MSCI USA Min Vol Factor ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.6% (compared to the benchmark's drawdown of -33.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.4%, compared to a Buy-and-Hold benchmark return of 10.7%. The strategy executed 5 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for USMV:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for USMV:
🛡️ Long-Term Investing Active Horizon
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
🛡️ USMV Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-21.6% (vs -33.1% B&H)
+11.5% shallower drawdown
Downside Efficiency
1.13 Sortino
+0.27 vs 0.86 B&H
Capital Sheltered from Risk
4.1% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 USMV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -6.46% | -6.46% | -21.59% | -17.93% | -21.59% | -33.10% | -21.59% | -33.10% |
| Sharpe Ratio | 0.81 | 0.81 | 0.44 | 0.54 | 0.86 | 0.66 | 0.91 | 0.73 |
| Sortino Ratio | 1.33 | 1.33 | 0.56 | 0.74 | 1.05 | 0.76 | 1.13 | 0.86 |
| CAGR | 7.24% | 7.24% | 5.21% | 6.92% | 11.06% | 10.05% | 11.37% | 10.66% |
| % Time Invested | 100.0% | 100.0% | 92.0% | 100.0% | 95.3% | 100.0% | 95.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.3 | 0.0 | 0.4 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for USMV... Top Diversifiers for USMV
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2022-12-21 | 2023-04-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2022-11-07 | 2022-12-21 | Completed | 100% | $65.73 | $67.99 | 3.40% | Signal | |
| 2022-10-14 | 2022-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2022-07-08 | 2022-10-14 | Completed | 100% | $66.73 | $63.39 | -5.06% | Stop | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-04-01 | 2022-06-14 | Completed | 100% | $46.86 | $63.75 | 35.99% | Stop | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2020-03-10 | Completed | 100% | $33.01 | $55.73 | 68.75% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-10-17 | 2015-08-25 | Completed | 100% | $26.77 | $32.72 | 22.16% | Stop | |
| 2013-10-15 | 2013-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |