SDY SPDR S&P Dividend ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SDY (SPDR S&P Dividend ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.6% (compared to the benchmark's drawdown of -50.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.7%, compared to a Buy-and-Hold benchmark return of 9.2%. The strategy executed 41 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.
SDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 9.55% | 14.07% | 2.02% | 6.08% | 7.67% | 9.36% | 8.66% | 9.17% |
| Sharpe Ratio | 1.06 | 1.29 | 0.19 | 0.42 | 0.66 | 0.52 | 0.76 | 0.45 |
| Max Drawdown | -7.67% | -7.67% | -14.78% | -15.21% | -14.78% | -36.70% | -19.62% | -50.71% |
| % Time Invested | 100.0% | 100.0% | 90.0% | 100.0% | 94.6% | 100.0% | 89.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.8 | 0.0 | 2.3 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-01-23 | Open | Open | 33.33% | $146.16 | $149.26 | 2.12% | Mark-to-Market |
| 2025-10-06 | Open | Open | 33.33% | $138.91 | $149.26 | 7.45% | Mark-to-Market |
| 2024-05-10 | Open | Open | 33.33% | $124.51 | $149.26 | 19.88% | Mark-to-Market |
| 2025-12-09 | 2026-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2025-07-17 | 2025-12-09 | Completed | 33.33% | $134.99 | $136.96 | 1.45% | Signal |
| 2025-06-03 | 2025-10-06 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.92% | Interest Income |
| 2025-06-03 | 2025-07-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2025-01-22 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.99% | Interest Income |
| 2024-04-09 | 2025-04-08 | Completed | 33.33% | $122.92 | $123.29 | 0.30% | Stop |
| 2024-01-23 | 2025-01-22 | Completed | 33.33% | $116.73 | $130.32 | 11.64% | Signal |
| 2023-08-23 | 2024-05-10 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 4.95% | Interest Income |
| 2023-08-23 | 2024-04-09 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.31% | Interest Income |
| 2023-09-19 | 2024-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.16% | Interest Income |
| 2023-09-15 | 2023-09-19 | Completed | 33.33% | $112.69 | $111.96 | -0.65% | Signal |
| 2023-08-23 | 2023-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.50% | Interest Income |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.78 | $111.98 | -4.92% | Stop |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.78 | $111.98 | -4.92% | Stop |
| 2023-07-26 | 2023-08-23 | Completed | 33.33% | $117.78 | $111.98 | -4.92% | Stop |
| 2023-06-21 | 2023-07-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2023-06-02 | 2023-07-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2023-06-02 | 2023-07-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2023-03-22 | 2023-06-21 | Completed | 33.33% | $111.94 | $112.90 | 0.86% | Signal |
| 2023-06-01 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2023-04-19 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2023-04-04 | 2023-06-01 | Completed | 33.33% | $114.47 | $108.76 | -4.99% | Stop |
| 2022-12-30 | 2023-04-19 | Completed | 33.33% | $115.23 | $114.42 | -0.70% | Signal |
| 2023-02-08 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2022-12-02 | 2023-03-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income |
| 2021-02-10 | 2023-02-08 | Completed | 33.33% | $97.19 | $118.97 | 22.41% | Signal |
| 2022-12-02 | 2022-12-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2022-10-28 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-18 | 2022-10-28 | Completed | 33.33% | $107.09 | $110.44 | 3.13% | Signal |
| 2022-10-04 | 2022-10-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-26 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2022-09-21 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.24% | Interest Income |
| 2022-07-28 | 2022-09-26 | Completed | 33.33% | $112.36 | $105.02 | -6.54% | Stop |
| 2022-07-13 | 2022-09-21 | Completed | 33.33% | $106.96 | $109.84 | 2.69% | Signal |
| 2022-06-17 | 2022-07-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-06-17 | 2022-07-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-12-08 | 2022-06-17 | Completed | 33.33% | $111.90 | $103.67 | -7.35% | Stop |
| 2020-10-28 | 2022-06-17 | Completed | 33.33% | $80.65 | $103.67 | 28.54% | Stop |
| 2021-11-02 | 2021-12-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-09-22 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-07-13 | 2021-09-22 | Completed | 33.33% | $78.15 | $104.68 | 33.95% | Signal |
| 2020-12-02 | 2021-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2020-11-04 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-04-01 | 2020-11-04 | Completed | 33.33% | $65.67 | $83.59 | 27.30% | Signal |
| 2020-06-02 | 2020-10-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-06-02 | 2020-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2020-04-29 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-03 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2020-03-24 | 2020-04-29 | Completed | 33.33% | $61.76 | $77.14 | 24.91% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2015-09-17 | 2020-03-10 | Completed | 33.33% | $52.33 | $78.03 | 49.12% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-03-25 | 2020-03-02 | Completed | 33.33% | $80.70 | $81.04 | 0.42% | Stop |
| 2019-01-18 | 2020-03-02 | Completed | 33.33% | $77.54 | $81.04 | 4.51% | Stop |
| 2019-03-04 | 2019-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2018-12-18 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2018-12-26 | 2019-01-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2016-03-17 | 2018-12-26 | Completed | 33.33% | $58.30 | $70.33 | 20.63% | Stop |
| 2018-06-12 | 2018-12-18 | Completed | 33.33% | $76.27 | $75.31 | -1.26% | Signal |
| 2018-04-25 | 2018-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2017-01-11 | 2018-04-25 | Completed | 33.33% | $65.73 | $73.38 | 11.64% | Signal |
| 2016-11-21 | 2017-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2015-12-09 | 2016-11-21 | Completed | 33.33% | $54.34 | $63.72 | 17.27% | Signal |
| 2016-03-02 | 2016-03-17 | 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 |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2015-12-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2015-09-29 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-09-29 | Completed | 33.33% | $52.33 | $50.46 | -3.57% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 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 |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-02-10 | 2015-08-25 | Completed | 33.33% | $34.41 | $52.14 | 51.54% | Stop |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $31.47 | $52.14 | 65.68% | Stop |
| 2015-07-23 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2012-08-21 | 2015-07-23 | Completed | 33.33% | $36.17 | $54.58 | 50.89% | Signal |
| 2012-07-05 | 2012-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2011-11-29 | 2012-07-05 | Completed | 33.33% | $31.72 | $35.06 | 10.53% | Signal |
| 2012-01-04 | 2012-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-10-31 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-09 | 2011-11-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-31 | 2011-10-31 | Completed | 33.33% | $31.47 | $32.85 | 4.37% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-09-29 | 2011-08-09 | Completed | 33.33% | $29.63 | $28.55 | -3.66% | Stop |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $27.17 | $28.55 | 5.07% | Stop |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $27.17 | $28.55 | 5.07% | Stop |
| 2010-09-02 | 2010-09-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2010-07-28 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-06-01 | 2010-07-28 | Completed | 33.33% | $27.17 | $28.93 | 6.45% | Signal |
| 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 |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $24.94 | $28.00 | 12.24% | Stop |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $24.63 | $28.00 | 13.68% | Stop |
| 2009-05-29 | 2010-05-07 | Completed | 33.33% | $21.26 | $28.00 | 31.70% | Stop |
| 2009-07-02 | 2009-09-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-05-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-04-17 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2007-11-08 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 1.89% | Interest Income |
| 2007-11-08 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 1.89% | Interest Income |
| 2008-02-14 | 2008-04-17 | Completed | 33.33% | $28.52 | $28.02 | -1.75% | Signal |
| 2008-01-23 | 2008-02-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2007-11-12 | 2008-01-23 | Completed | 33.33% | $29.29 | $26.46 | -9.67% | Stop |
| 2007-11-08 | 2007-11-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |