BIL SPDR Bloomberg 1-3 Month T-bill ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for BIL (SPDR Bloomberg 1-3 Month T-bill ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -0.1% (compared to the benchmark's drawdown of -0.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.4%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 10 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.
BIL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.93% | 3.93% | 3.58% | 3.41% | 2.34% | 2.18% | 1.40% | 1.26% |
| Sharpe Ratio | 20.91 | 19.70 | 16.05 | 12.94 | 12.16 | 8.42 | 8.23 | 4.54 |
| Max Drawdown | -0.01% | -0.01% | -0.02% | -0.10% | -0.09% | -0.21% | -0.09% | -0.44% |
| % Time Invested | 100.0% | 100.0% | 73.3% | 100.0% | 57.3% | 100.0% | 40.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-03-03 | Open | Open | 33.33% | $79.11 | $91.66 | 15.87% | Mark-to-Market |
| 2023-03-03 | Open | Open | 33.33% | $79.11 | $91.66 | 15.87% | Mark-to-Market |
| 2026-04-21 | Open | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Mark-to-Market |
| 2025-07-07 | 2026-04-21 | Completed | 33.33% | $88.60 | $91.30 | 3.05% | Signal |
| 2025-06-02 | 2025-07-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2024-06-07 | 2025-06-02 | Completed | 33.33% | $84.35 | $88.25 | 4.63% | Signal |
| 2024-05-07 | 2024-06-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2023-03-03 | 2024-05-07 | Completed | 33.33% | $79.11 | $83.97 | 6.15% | Signal |
| 2021-11-01 | 2023-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.86% | Interest Income |
| 2020-12-29 | 2023-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.90% | Interest Income |
| 2020-08-20 | 2023-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.94% | Interest Income |
| 2019-05-08 | 2021-11-01 | Completed | 33.33% | $76.30 | $77.49 | 1.56% | Signal |
| 2019-05-08 | 2020-12-29 | Completed | 33.33% | $76.30 | $77.56 | 1.65% | Signal |
| 2020-03-10 | 2020-08-20 | Completed | 33.33% | $77.54 | $77.57 | 0.03% | Signal |
| 2020-01-22 | 2020-03-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2019-05-08 | 2020-01-22 | Completed | 33.33% | $76.30 | $77.32 | 1.33% | Signal |
| 2010-06-25 | 2019-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.50% | Interest Income |
| 2009-08-18 | 2019-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.59% | Interest Income |
| 2009-06-12 | 2019-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.63% | Interest Income |
| 2009-05-22 | 2010-06-25 | Completed | 33.33% | $74.11 | $74.12 | 0.01% | Signal |
| 2009-05-22 | 2009-08-18 | Completed | 33.33% | $74.11 | $74.12 | 0.02% | Signal |
| 2009-06-02 | 2009-06-12 | Completed | 33.33% | $74.08 | $74.08 | 0.00% | Signal |
| 2009-05-20 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |