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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.0% (compared to the benchmark's drawdown of -50.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.5%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 12 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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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% | 1.23% | 7.64% | 4.57% | 9.26% | 7.52% | 9.38% |
| Sharpe Ratio | 1.28 | 1.28 | 0.11 | 0.53 | 0.36 | 0.52 | 0.63 | 0.46 |
| Max Drawdown | -7.67% | -7.67% | -24.01% | -15.21% | -24.01% | -36.70% | -24.01% | -50.71% |
| % Time Invested | 100.0% | 100.0% | 75.4% | 100.0% | 81.0% | 100.0% | 76.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.7 | 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 | ||||||||
| 2025-04-08 | 2025-07-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.11% | Interest Income | |
| 2025-03-25 | 2025-04-08 | Completed | 100% | $130.10 | $122.50 | -5.89% | Signal | |
| 2025-02-24 | 2025-03-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2024-01-10 | 2025-02-24 | Completed | 100% | $116.42 | $131.42 | 12.83% | Signal | |
| 2023-08-23 | 2024-01-10 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2023-07-26 | 2023-08-23 | Completed | 100% | $117.02 | $111.26 | -4.97% | Stop | |
| 2023-05-03 | 2023-07-26 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2022-12-14 | 2023-05-03 | Completed | 100% | $117.69 | $113.22 | -3.85% | Signal | |
| 2022-10-03 | 2022-12-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2022-07-28 | 2022-10-03 | Completed | 100% | $111.64 | $102.08 | -8.61% | Stop | |
| 2022-06-30 | 2022-07-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2020-09-09 | 2022-06-30 | Completed | 100% | $81.43 | $106.25 | 30.41% | Signal | |
| 2020-03-10 | 2020-09-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-03-07 | 2020-03-10 | Completed | 100% | $80.40 | $77.53 | -3.62% | Stop | |
| 2019-01-07 | 2019-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2016-03-15 | 2019-01-07 | Completed | 100% | $57.14 | $73.83 | 29.13% | Signal | |
| 2016-01-21 | 2016-03-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-12-08 | 2016-01-21 | Completed | 100% | $54.26 | $50.46 | -7.04% | Signal | |
| 2015-08-10 | 2015-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-12 | 2015-08-10 | Completed | 100% | $32.48 | $54.29 | 67.08% | Signal | |
| 2011-08-09 | 2011-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | 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 | |
| 2009-06-23 | 2010-05-07 | Completed | 100% | $20.90 | $27.82 | 33.02% | Stop | |
| 2007-11-08 | 2009-06-23 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.92% | Interest Income | |