BIL
SPDR Bloomberg 1-3 Month T-bill ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-15
Executive Summary
The quantitative backtest for BIL (SPDR Bloomberg 1-3 Month T-bill ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -0.5% (compared to the benchmark's drawdown of -0.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.3%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 6 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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 | 3.82% | 3.82% | 3.52% | 3.50% | 2.24% | 2.22% | 1.29% | 1.27% |
| Sharpe Ratio | 18.71 | 18.71 | 13.83 | 13.30 | 8.88 | 8.63 | 5.40 | 4.60 |
| Max Drawdown | -0.01% | -0.01% | -0.07% | -0.08% | -0.14% | -0.21% | -0.48% | -0.44% |
| % Time Invested | 100.0% | 100.0% | 83.6% | 100.0% | 85.7% | 100.0% | 61.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 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 14 days) require a Premium subscription. Upgrade to Premium to Unlock | ||||||||
| 2020-12-02 | 2022-05-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2016-04-29 | 2020-12-02 | Completed | 100% | $73.43 | $77.10 | 4.94% | Signal | |
| 2011-09-12 | 2016-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2010-12-03 | 2011-09-12 | Completed | 100% | $73.67 | $73.65 | -0.07% | Signal | |
| 2010-11-10 | 2010-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-15 | 2010-11-10 | Completed | 100% | $73.67 | $73.67 | -0.05% | Signal | |
| 2010-09-13 | 2010-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-16 | 2010-09-13 | Completed | 100% | $73.68 | $73.67 | -0.07% | Signal | |
| 2010-03-17 | 2010-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-02-10 | 2010-03-17 | Completed | 100% | $73.68 | $73.67 | -0.07% | Signal | |
| 2010-01-19 | 2010-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-05-22 | 2010-01-19 | Completed | 100% | $73.67 | $73.68 | -0.04% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |