CWB
SPDR Bloomberg Convertible Securities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for CWB (SPDR Bloomberg Convertible Securities ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.5% (compared to the benchmark's drawdown of -32.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 9.9%. The strategy executed 8 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.
Switch to MMA to enable
CWB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.90% | 20.90% | 4.78% | 5.44% | 11.66% | 11.60% | 8.54% | 9.93% |
| Sharpe Ratio | 1.18 | 1.18 | 0.38 | 0.40 | 0.85 | 0.75 | 0.69 | 0.71 |
| Max Drawdown | -8.28% | -8.28% | -32.09% | -28.41% | -33.46% | -32.06% | -33.46% | -32.06% |
| % Time Invested | 100.0% | 100.0% | 88.4% | 100.0% | 93.6% | 100.0% | 90.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.3 | 0.0 | 0.5 | 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 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2022-08-04 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.70% | Interest Income | |
| 2022-06-02 | 2022-08-04 | Completed | 100% | $63.13 | $64.02 | 1.36% | Signal | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-02-15 | 2022-05-10 | Completed | 100% | $70.67 | $61.74 | -12.69% | Stop | |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-03 | 2022-01-24 | Completed | 100% | $39.92 | $68.63 | 71.85% | Stop | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2016-07-15 | 2020-03-12 | Completed | 100% | $33.65 | $41.44 | 23.09% | Stop | |
| 2016-03-30 | 2016-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-09-17 | 2016-03-30 | Completed | 100% | $32.07 | $31.83 | -0.79% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-11-08 | 2015-08-25 | Completed | 100% | $23.83 | $31.18 | 30.80% | Stop | |
| 2012-06-01 | 2012-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-08-30 | 2012-06-01 | Completed | 100% | $21.46 | $21.73 | 1.22% | Signal | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-08 | 2011-08-08 | Completed | 100% | $23.88 | $21.04 | -11.94% | Stop | |
| 2011-04-06 | 2011-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |