JNK
SPDR Bloomberg High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for JNK (SPDR Bloomberg High Yield Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.3% (compared to the benchmark's drawdown of -22.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.1%, compared to a Buy-and-Hold benchmark return of 5.5%. The strategy executed 44 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 4.84% | 5.07% | 2.72% | 3.46% | 3.85% | 4.64% | 3.15% | 5.47% |
| Sharpe Ratio | 1.29 | 1.30 | 0.72 | 0.45 | 0.79 | 0.55 | 0.60 | 0.65 |
| Max Drawdown | -2.51% | -2.51% | -8.01% | -16.67% | -8.36% | -22.89% | -15.34% | -22.89% |
| % Time Invested | 100.0% | 100.0% | 83.3% | 100.0% | 88.8% | 100.0% | 87.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 1.8 | 0.0 | 2.6 | 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 | ||||||||
| 2025-07-16 | 2026-05-12 | Completed | 33.33% | $90.21 | $95.09 | 5.36% | Signal | |
| 2025-03-20 | 2025-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2024-07-22 | 2025-03-20 | Completed | 33.33% | $83.63 | $87.75 | 4.87% | Signal | |
| 2024-06-20 | 2024-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2024-01-02 | 2024-06-20 | Completed | 33.33% | $79.99 | $82.37 | 2.92% | Signal | |
| 2022-07-13 | 2024-03-05 | Interest (CASH) | 33.33% | $1.00 | $1.08 | 7.97% | Interest Income | |
| 2023-10-18 | 2024-01-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2023-10-20 | 2023-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2023-04-27 | 2023-10-20 | Completed | 33.33% | $74.26 | $73.38 | -1.24% | Signal | |
| 2023-06-27 | 2023-10-18 | Completed | 33.33% | $74.30 | $73.84 | -0.66% | Signal | |
| 2023-05-17 | 2023-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2023-01-30 | 2023-05-17 | Completed | 33.33% | $73.89 | $73.59 | -0.47% | Signal | |
| 2022-03-10 | 2023-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.56% | Interest Income | |
| 2022-01-07 | 2023-01-30 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.41% | Interest Income | |
| 2022-07-08 | 2022-07-13 | Completed | 33.33% | $70.55 | $70.09 | -0.70% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $76.51 | $69.36 | -9.38% | Stop | |
| 2022-03-15 | 2022-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $63.92 | $75.24 | 17.66% | Stop | |
| 2020-06-03 | 2022-03-10 | Completed | 33.33% | $72.22 | $76.86 | 6.38% | Signal | |
| 2020-06-03 | 2022-01-07 | Completed | 33.33% | $72.22 | $80.49 | 11.39% | Signal | |
| 2020-04-14 | 2020-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-10 | 2020-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-01 | 2020-04-14 | Completed | 33.33% | $63.92 | $69.80 | 9.14% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-04-04 | 2020-03-10 | Completed | 33.33% | $70.27 | $70.12 | -0.27% | Stop | |
| 2019-04-04 | 2020-03-10 | Completed | 33.33% | $70.27 | $70.12 | -0.27% | Stop | |
| 2019-03-20 | 2020-03-10 | Completed | 33.33% | $69.65 | $70.12 | 0.63% | Stop | |
| 2018-12-26 | 2019-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2018-12-07 | 2019-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2018-12-03 | 2019-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income | |
| 2018-08-08 | 2018-12-26 | Completed | 33.33% | $67.71 | $63.79 | -5.84% | Stop | |
| 2016-12-27 | 2018-12-07 | Completed | 33.33% | $62.98 | $66.43 | 5.41% | Signal | |
| 2018-08-03 | 2018-12-03 | Completed | 33.33% | $67.54 | $66.77 | -1.19% | Signal | |
| 2018-04-17 | 2018-08-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2018-02-14 | 2018-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2016-07-14 | 2018-04-17 | Completed | 33.33% | $60.71 | $67.10 | 10.47% | Signal | |
| 2016-05-05 | 2018-02-14 | Completed | 33.33% | $57.77 | $65.49 | 13.32% | Signal | |
| 2015-09-24 | 2016-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2015-09-29 | 2016-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-08-05 | 2016-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2015-06-17 | 2015-09-29 | Completed | 33.33% | $60.21 | $56.18 | -6.75% | Stop | |
| 2015-09-17 | 2015-09-24 | Completed | 33.33% | $58.26 | $57.43 | -1.49% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-01-08 | 2015-08-25 | Completed | 33.33% | $58.80 | $57.78 | -1.77% | Stop | |
| 2015-04-01 | 2015-08-05 | Completed | 33.33% | $60.32 | $59.39 | -1.60% | Signal | |
| 2014-12-15 | 2015-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-10-14 | 2015-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-12-15 | 2015-01-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-07-18 | 2014-12-15 | Completed | 33.33% | $56.49 | $57.14 | 1.09% | Stop | |
| 2013-07-18 | 2014-12-15 | Completed | 33.33% | $56.49 | $57.14 | 1.09% | Stop | |
| 2013-11-01 | 2014-10-14 | Completed | 33.33% | $57.62 | $59.14 | 2.58% | Signal | |
| 2013-08-13 | 2013-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-07-18 | 2013-08-13 | Completed | 33.33% | $56.49 | $55.79 | -1.29% | Signal | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-06-25 | 2013-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-19 | 2013-06-25 | Completed | 33.33% | $47.73 | $54.02 | 13.13% | Stop | |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $47.84 | $54.02 | 12.86% | Stop | |
| 2011-12-07 | 2013-06-25 | Completed | 33.33% | $47.84 | $54.02 | 12.86% | Stop | |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-04 | 2011-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-10-27 | 2011-11-25 | Completed | 33.33% | $48.82 | $45.33 | -7.21% | Stop | |
| 2011-10-27 | 2011-11-04 | Completed | 33.33% | $48.82 | $48.05 | -1.62% | Signal | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $46.74 | $43.65 | -6.65% | Stop | |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $46.74 | $43.65 | -6.65% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $40.77 | $45.21 | 10.83% | Stop | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $40.77 | $45.21 | 10.83% | Stop | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $40.77 | $45.21 | 10.83% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.12 | $40.64 | -3.55% | Stop | |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.12 | $40.64 | -3.55% | Stop | |
| 2010-03-16 | 2010-05-07 | Completed | 33.33% | $42.12 | $40.64 | -3.55% | Stop | |
| 2010-02-22 | 2010-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-22 | 2010-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-22 | 2010-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-14 | 2010-02-22 | Completed | 33.33% | $40.18 | $41.04 | 2.08% | Stop | |
| 2009-11-27 | 2010-02-22 | Completed | 33.33% | $38.96 | $41.04 | 5.29% | Stop | |
| 2009-11-27 | 2010-02-22 | Completed | 33.33% | $38.96 | $41.04 | 5.29% | Stop | |
| 2009-11-24 | 2009-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-11-24 | 2009-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-11-24 | 2009-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |