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 Moving Average (50/200)* 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 1.3%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 5 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.
Switch to MMA to enable
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% | 3.45% | 3.41% | 2.21% | 2.18% | 1.31% | 1.26% |
| Sharpe Ratio | 19.70 | 19.70 | 13.70 | 12.94 | 8.76 | 8.42 | 5.59 | 4.54 |
| Max Drawdown | -0.01% | -0.01% | -0.03% | -0.10% | -0.09% | -0.21% | -0.10% | -0.44% |
| % Time Invested | 100.0% | 100.0% | 81.1% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2022-05-09 | Open | Open | 100% | $77.52 | $91.66 | 18.24% | Mark-to-Market |
| 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% | $73.86 | $77.55 | 4.99% | Signal |
| 2011-09-12 | 2016-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2010-10-15 | 2011-09-12 | Completed | 100% | $74.10 | $74.09 | -0.02% | Signal |
| 2010-09-13 | 2010-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-06-17 | 2010-09-13 | Completed | 100% | $74.12 | $74.10 | -0.02% | Signal |
| 2010-03-17 | 2010-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-02-10 | 2010-03-17 | Completed | 100% | $74.12 | $74.10 | -0.02% | 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% | $74.11 | $74.12 | 0.01% | Signal |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |