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 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 11.3%, compared to a Buy-and-Hold benchmark return of 10.6%. 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.
📊 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 Active
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.
🎯 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.
Switch to MMA to enable
USMV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.72% | 4.72% | 4.98% | 6.69% | 10.47% | 9.46% | 11.31% | 10.59% |
| Sharpe Ratio | 0.54 | 0.54 | 0.42 | 0.53 | 0.82 | 0.62 | 0.90 | 0.73 |
| Max Drawdown | -6.46% | -6.46% | -21.59% | -17.93% | -21.59% | -33.10% | -21.59% | -33.10% |
| % Time Invested | 100.0% | 100.0% | 92.0% | 100.0% | 95.3% | 100.0% | 95.8% | 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
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 | ||||||||
| 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 | |