JNK SPDR Bloomberg High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JNK (SPDR Bloomberg High Yield Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.2% (compared to the benchmark's drawdown of -22.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.4%, compared to a Buy-and-Hold benchmark return of 5.5%. The strategy executed 44 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
JNK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 7.43% | 7.89% | 3.16% | 3.78% | 4.19% | 5.06% | 3.38% | 5.54% |
| Sharpe Ratio | 1.96 | 2.00 | 0.79 | 0.49 | 0.84 | 0.60 | 0.63 | 0.65 |
| Max Drawdown | -2.51% | -2.51% | -8.06% | -16.67% | -8.23% | -22.89% | -15.20% | -22.89% |
| % Time Invested | 100.0% | 100.0% | 83.3% | 100.0% | 88.8% | 100.0% | 87.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 1.9 | 0.0 | 2.7 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2024-03-05 | Open | Open | 33.33% | $81.82 | $96.77 | 18.27% | Mark-to-Market |
| 2023-12-15 | Open | Open | 33.33% | $80.75 | $96.77 | 19.83% | Mark-to-Market |
| 2026-05-12 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Mark-to-Market |
| 2025-07-16 | 2026-05-12 | Completed | 33.33% | $91.20 | $96.14 | 5.42% | Signal |
| 2025-06-03 | 2025-07-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-20 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2024-07-22 | 2025-03-20 | Completed | 33.33% | $84.55 | $88.71 | 4.92% | Signal |
| 2024-06-20 | 2024-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2024-01-02 | 2024-06-20 | Completed | 33.33% | $80.87 | $83.28 | 2.97% | Signal |
| 2023-06-02 | 2024-03-05 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 5.16% | Interest Income |
| 2023-10-18 | 2024-01-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2023-10-20 | 2023-12-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.01% | Interest Income |
| 2023-04-27 | 2023-10-20 | Completed | 33.33% | $75.08 | $74.18 | -1.19% | Signal |
| 2023-06-27 | 2023-10-18 | Completed | 33.33% | $75.12 | $74.65 | -0.61% | Signal |
| 2023-06-02 | 2023-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-01-30 | 2023-05-17 | Completed | 33.33% | $74.71 | $74.40 | -0.42% | Signal |
| 2023-04-04 | 2023-04-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-07-13 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2022-03-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-07-08 | 2022-07-13 | Completed | 33.33% | $71.32 | $70.86 | -0.65% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $77.35 | $70.12 | -9.34% | Stop |
| 2022-03-15 | 2022-04-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $64.62 | $76.07 | 17.71% | Stop |
| 2020-06-03 | 2022-03-10 | Completed | 33.33% | $73.02 | $77.71 | 6.43% | Signal |
| 2022-01-07 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-06-03 | 2022-01-07 | Completed | 33.33% | $73.02 | $81.38 | 11.45% | Signal |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-06-02 | 2020-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-14 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-03-10 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2020-04-14 | Completed | 33.33% | $64.62 | $70.56 | 9.19% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-04-04 | 2020-03-10 | Completed | 33.33% | $71.04 | $70.89 | -0.22% | Stop |
| 2019-04-04 | 2020-03-10 | Completed | 33.33% | $71.04 | $70.89 | -0.22% | Stop |
| 2019-03-20 | 2020-03-10 | Completed | 33.33% | $70.41 | $70.89 | 0.68% | Stop |
| 2019-03-04 | 2019-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2019-03-04 | 2019-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2019-03-04 | 2019-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2018-12-26 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2018-12-07 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.59% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-08-08 | 2018-12-26 | Completed | 33.33% | $68.46 | $64.49 | -5.79% | Stop |
| 2016-12-27 | 2018-12-07 | Completed | 33.33% | $63.68 | $67.16 | 5.47% | Signal |
| 2018-12-03 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2018-08-03 | 2018-12-03 | Completed | 33.33% | $68.28 | $67.51 | -1.14% | Signal |
| 2018-04-17 | 2018-08-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income |
| 2018-02-14 | 2018-08-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.01% | Interest Income |
| 2016-07-14 | 2018-04-17 | Completed | 33.33% | $61.38 | $67.84 | 10.53% | Signal |
| 2016-05-05 | 2018-02-14 | Completed | 33.33% | $58.40 | $66.21 | 13.37% | Signal |
| 2016-11-02 | 2016-12-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2016-10-04 | 2016-11-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-04-04 | 2016-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income |
| 2016-04-04 | 2016-07-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2016-04-04 | 2016-05-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-29 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-09-24 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-06-17 | 2015-09-29 | Completed | 33.33% | $60.88 | $56.80 | -6.70% | Stop |
| 2015-09-17 | 2015-09-24 | Completed | 33.33% | $58.91 | $58.06 | -1.44% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-05 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-01-08 | 2015-08-25 | Completed | 33.33% | $59.44 | $58.42 | -1.73% | Stop |
| 2015-04-01 | 2015-08-05 | Completed | 33.33% | $60.99 | $60.04 | -1.55% | Signal |
| 2015-03-03 | 2015-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2015-03-03 | 2015-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-02-03 | 2015-03-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-05 | 2015-01-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2014-12-15 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2014-12-15 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-07-18 | 2014-12-15 | Completed | 33.33% | $57.12 | $57.77 | 1.14% | Stop |
| 2013-07-18 | 2014-12-15 | Completed | 33.33% | $57.12 | $57.77 | 1.14% | Stop |
| 2014-11-04 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-14 | 2014-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2013-11-01 | 2014-10-14 | Completed | 33.33% | $58.26 | $59.79 | 2.63% | Signal |
| 2013-08-13 | 2013-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2013-07-18 | 2013-08-13 | Completed | 33.33% | $57.12 | $56.40 | -1.25% | Signal |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-07-02 | 2013-07-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2013-06-25 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2011-12-19 | 2013-06-25 | Completed | 33.33% | $48.25 | $54.62 | 13.19% | Stop |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $48.37 | $54.62 | 12.92% | Stop |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $48.37 | $54.62 | 12.92% | Stop |
| 2011-12-02 | 2011-12-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-12-02 | 2011-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-25 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-11-04 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-08 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-10-27 | 2011-11-25 | Completed | 33.33% | $49.36 | $45.83 | -7.16% | Stop |
| 2011-10-27 | 2011-11-04 | Completed | 33.33% | $49.36 | $48.58 | -1.57% | Signal |
| 2011-10-05 | 2011-10-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-05 | 2011-10-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $47.25 | $44.13 | -6.61% | Stop |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $47.25 | $44.13 | -6.61% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $41.22 | $45.71 | 10.88% | Stop |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $41.22 | $45.71 | 10.88% | Stop |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $41.22 | $45.71 | 10.88% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.58 | $41.09 | -3.50% | Stop |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.58 | $41.09 | -3.50% | Stop |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.58 | $41.09 | -3.50% | Stop |
| 2010-03-02 | 2010-03-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-03-02 | 2010-03-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-03-02 | 2010-03-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-02-22 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-02-22 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-02-22 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-12-14 | 2010-02-22 | Completed | 33.33% | $40.63 | $41.49 | 2.13% | Stop |
| 2009-11-27 | 2010-02-22 | Completed | 33.33% | $39.39 | $41.49 | 5.34% | Stop |
| 2009-11-27 | 2010-02-22 | Completed | 33.33% | $39.39 | $41.49 | 5.34% | Stop |
| 2009-11-24 | 2009-12-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2009-11-24 | 2009-11-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-11-24 | 2009-11-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |