BIL
SPDR Bloomberg 1-3 Month T-bill ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-29
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 11 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for BIL:
Excess Return MMA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for BIL:
🛡️ 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.
🛡️ BIL Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-0.1% (vs -0.4% B&H)
+0.3% shallower drawdown
Downside Efficiency
10.03 Sortino
+1.72 vs 8.31 B&H
Capital Sheltered from Risk
68.1% 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.
📊 BIL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -0.01% | -0.01% | -0.04% | -0.08% | -0.12% | -0.21% | -0.12% | -0.44% |
| Sharpe Ratio | 20.76 | 18.70 | 16.86 | 13.75 | 12.25 | 8.82 | 8.20 | 4.66 |
| Sortino Ratio | 50.69 | 22819.62 | 29.06 | 47.53 | 21.14 | 20.06 | 10.03 | 8.31 |
| CAGR | 3.71% | 3.72% | 3.73% | 3.59% | 2.39% | 2.27% | 1.41% | 1.29% |
| % Time Invested | 86.4% | 100.0% | 67.0% | 100.0% | 50.6% | 100.0% | 31.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 | 0.6 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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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 | ||||||||
| 2025-07-07 | 2026-04-21 | Completed | 33.33% | $87.82 | $90.50 | 3.00% | 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% | $83.61 | $87.48 | 4.57% | 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% | $78.41 | $83.23 | 6.09% | 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% | $75.63 | $76.81 | 1.51% | Signal | |
| 2019-05-08 | 2020-12-29 | Completed | 33.33% | $75.63 | $76.88 | 1.60% | Signal | |
| 2020-03-10 | 2020-08-20 | Completed | 33.33% | $76.86 | $76.88 | -0.02% | 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% | $75.63 | $76.64 | 1.28% | 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% | $73.46 | $73.47 | -0.04% | Signal | |
| 2009-05-22 | 2009-08-18 | Completed | 33.33% | $73.46 | $73.47 | -0.03% | Signal | |
| 2009-06-02 | 2009-06-12 | Completed | 33.33% | $73.43 | $73.43 | -0.05% | 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 | |