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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.9% (compared to the benchmark's drawdown of -32.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.9%, compared to a Buy-and-Hold benchmark return of 9.9%. The strategy executed 11 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
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% | 7.01% | 5.44% | 10.18% | 11.60% | 7.94% | 9.93% |
| Sharpe Ratio | 1.18 | 1.18 | 0.64 | 0.40 | 0.83 | 0.75 | 0.73 | 0.71 |
| Max Drawdown | -8.28% | -8.28% | -12.51% | -28.41% | -21.95% | -32.06% | -21.95% | -32.06% |
| % Time Invested | 100.0% | 100.0% | 75.8% | 100.0% | 82.2% | 100.0% | 79.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 0.0 | 0.7 | 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 | ||||||||
| 2025-05-08 | 2025-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-21 | 2025-05-08 | Completed | 100% | $68.35 | $77.00 | 12.59% | Signal | |
| 2023-11-06 | 2023-12-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2023-01-18 | 2023-11-06 | Completed | 100% | $63.65 | $63.42 | -0.40% | Signal | |
| 2022-01-10 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2020-06-11 | 2022-01-10 | Completed | 100% | $51.80 | $72.71 | 40.29% | Signal | |
| 2020-04-07 | 2020-06-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-03 | 2020-04-07 | Completed | 100% | $39.92 | $43.04 | 7.77% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-14 | 2020-03-12 | Completed | 100% | $44.38 | $41.44 | -6.66% | Stop | |
| 2018-11-09 | 2019-03-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2016-05-03 | 2018-11-09 | Completed | 100% | $32.03 | $41.81 | 30.45% | Signal | |
| 2015-08-25 | 2016-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-03-06 | 2015-08-25 | Completed | 100% | $32.41 | $31.18 | -3.84% | Stop | |
| 2015-02-11 | 2015-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-01-06 | 2015-02-11 | Completed | 100% | $31.47 | $32.05 | 1.82% | Signal | |
| 2014-12-11 | 2015-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-16 | 2014-12-11 | Completed | 100% | $23.08 | $31.72 | 37.38% | Signal | |
| 2012-07-16 | 2012-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-01-26 | 2012-07-16 | Completed | 100% | $22.75 | $22.22 | -2.35% | Signal | |
| 2011-08-08 | 2012-01-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | 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 | |