SDY
SPDR S&P Dividend ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SDY (SPDR S&P Dividend ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.0% (compared to the benchmark's drawdown of -50.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.1%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 11 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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SDY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 14.49% | 14.49% | 2.66% | 7.64% | 6.89% | 9.26% | 8.10% | 9.38% |
| Sharpe Ratio | 1.28 | 1.28 | 0.22 | 0.53 | 0.49 | 0.52 | 0.59 | 0.46 |
| Max Drawdown | -7.67% | -7.67% | -16.09% | -15.21% | -18.09% | -36.70% | -22.02% | -50.71% |
| % Time Invested | 100.0% | 100.0% | 76.2% | 100.0% | 84.7% | 100.0% | 82.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-09 | 2025-05-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-10 | 2025-04-09 | Completed | 100% | $123.71 | $116.32 | -6.01% | Stop | |
| 2023-08-23 | 2024-05-10 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.89% | Interest Income | |
| 2023-07-26 | 2023-08-23 | Completed | 100% | $117.02 | $111.26 | -4.97% | Stop | |
| 2023-03-22 | 2023-07-26 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.77% | Interest Income | |
| 2022-10-25 | 2023-03-22 | Completed | 100% | $106.81 | $111.22 | 4.08% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2021-02-10 | 2022-10-03 | Completed | 100% | $96.56 | $102.08 | 5.66% | Stop | |
| 2020-10-27 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-01 | 2020-10-27 | Completed | 100% | $65.24 | $82.82 | 26.88% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2020-03-10 | Completed | 100% | $51.99 | $77.53 | 49.05% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $31.27 | $51.81 | 65.60% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $27.00 | $28.37 | 5.01% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $24.78 | $27.82 | 12.18% | Stop | |
| 2008-04-03 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2008-02-14 | 2008-04-03 | Completed | 100% | $28.34 | $28.49 | 0.50% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-11-12 | 2008-01-23 | Completed | 100% | $29.10 | $26.29 | -9.71% | Stop | |
| 2007-11-08 | 2007-11-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |