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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -0.2% (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 2 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.
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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% | 3.57% | 3.41% | 2.33% | 2.18% | 1.39% | 1.26% |
| Sharpe Ratio | 19.70 | 19.70 | 15.42 | 12.94 | 11.61 | 8.42 | 7.04 | 4.54 |
| Max Drawdown | -0.01% | -0.01% | -0.07% | -0.10% | -0.18% | -0.21% | -0.18% | -0.44% |
| % Time Invested | 100.0% | 100.0% | 74.2% | 100.0% | 57.7% | 100.0% | 40.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.1 | 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 | 100% | $79.11 | $91.66 | 15.87% | Mark-to-Market |
| 2021-11-16 | 2023-03-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.86% | Interest Income |
| 2019-05-08 | 2021-11-16 | Completed | 100% | $76.30 | $77.49 | 1.56% | Signal |
| 2010-07-20 | 2019-05-08 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.49% | Interest Income |
| 2009-05-22 | 2010-07-20 | Completed | 100% | $74.11 | $74.12 | 0.01% | Signal |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |