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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.8% (compared to the benchmark's drawdown of -22.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.5%, compared to a Buy-and-Hold benchmark return of 5.5%. The strategy executed 9 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.
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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% | 5.14% | 3.46% | 3.75% | 4.64% | 4.54% | 5.47% |
| Sharpe Ratio | 1.30 | 1.30 | 1.02 | 0.45 | 0.64 | 0.55 | 0.72 | 0.65 |
| Max Drawdown | -2.51% | -2.51% | -5.02% | -16.67% | -17.76% | -22.89% | -17.76% | -22.89% |
| % Time Invested | 100.0% | 100.0% | 81.1% | 100.0% | 83.2% | 100.0% | 80.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 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 | ||||||||
| 2022-02-08 | 2023-01-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.27% | Interest Income | |
| 2020-06-03 | 2022-02-08 | Completed | 100% | $72.22 | $78.62 | 8.80% | Signal | |
| 2020-03-17 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-02-27 | 2020-03-17 | Completed | 100% | $69.27 | $64.15 | -7.43% | Stop | |
| 2018-12-14 | 2019-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2018-07-24 | 2018-12-14 | Completed | 100% | $67.05 | $66.58 | -0.75% | Signal | |
| 2018-03-26 | 2018-07-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2016-05-09 | 2018-03-26 | Completed | 100% | $57.55 | $65.96 | 14.54% | Signal | |
| 2015-08-07 | 2016-05-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2015-04-09 | 2015-08-07 | Completed | 100% | $60.85 | $58.87 | -3.30% | Signal | |
| 2014-11-11 | 2015-04-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-10-22 | 2014-11-11 | Completed | 100% | $57.49 | $60.61 | 5.38% | Signal | |
| 2013-09-27 | 2013-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-09-20 | 2013-09-27 | Completed | 100% | $56.60 | $56.22 | -0.72% | Signal | |
| 2013-08-20 | 2013-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-07 | 2013-08-20 | Completed | 100% | $47.84 | $55.03 | 14.97% | Signal | |
| 2011-09-13 | 2011-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-11-27 | 2011-09-13 | Completed | 100% | $38.96 | $46.24 | 18.64% | Signal | |
| 2009-11-24 | 2009-11-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |