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 SMA* 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 3.8%, compared to a Buy-and-Hold benchmark return of 5.5%. The strategy executed 5 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.
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JNK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.07% | 5.07% | 2.43% | 3.46% | 2.86% | 4.64% | 3.84% | 5.47% |
| Sharpe Ratio | 1.30 | 1.30 | 0.47 | 0.45 | 0.45 | 0.55 | 0.55 | 0.65 |
| Max Drawdown | -2.51% | -2.51% | -15.34% | -16.67% | -15.34% | -22.89% | -15.34% | -22.89% |
| % Time Invested | 100.0% | 100.0% | 65.9% | 100.0% | 75.4% | 100.0% | 80.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 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 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 | ||||||||
| 2022-07-27 | 2024-03-18 | Interest (CASH) | 100% | $1.00 | $1.08 | 8.07% | Interest Income | |
| 2022-07-08 | 2022-07-27 | Completed | 100% | $70.55 | $72.65 | 2.93% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-04-08 | 2022-06-14 | Completed | 100% | $64.57 | $69.36 | 7.36% | Stop | |
| 2020-03-17 | 2020-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2019-04-04 | 2020-03-17 | Completed | 100% | $70.27 | $64.15 | -8.75% | Stop | |
| 2018-12-28 | 2019-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2016-12-27 | 2018-12-28 | Completed | 100% | $62.98 | $64.72 | 2.70% | Signal | |
| 2015-10-06 | 2016-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2009-12-14 | 2015-10-06 | Completed | 100% | $40.18 | $56.78 | 41.22% | Signal | |
| 2009-11-24 | 2009-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |