SJNK SPDR Bloomberg Short Term High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SJNK (SPDR Bloomberg Short Term High Yield Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -6.9% (compared to the benchmark's drawdown of -19.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.6%, compared to a Buy-and-Hold benchmark return of 4.3%. The strategy executed 20 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.
SJNK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.53% | 6.89% | 4.72% | 4.91% | 5.75% | 5.58% | 4.58% | 4.33% |
| Sharpe Ratio | 2.09 | 2.09 | 1.15 | 0.82 | 1.31 | 0.84 | 1.12 | 0.69 |
| Max Drawdown | -1.73% | -1.73% | -4.80% | -10.18% | -6.93% | -19.74% | -6.93% | -19.74% |
| % Time Invested | 100.0% | 100.0% | 91.0% | 100.0% | 94.9% | 100.0% | 91.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.2 | 0.0 | 1.2 | 0.0 | 1.6 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2023-01-10 | Open | Open | 33.33% | $19.47 | $25.14 | 29.15% | Mark-to-Market |
| 2023-01-10 | Open | Open | 33.33% | $19.47 | $25.14 | 29.15% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-29 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2025-07-18 | 2026-04-29 | Completed | 33.33% | $23.96 | $25.04 | 4.51% | Signal |
| 2025-06-03 | 2025-07-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2024-07-24 | 2025-04-17 | Completed | 33.33% | $22.10 | $22.90 | 3.63% | Signal |
| 2024-06-18 | 2024-07-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2023-12-22 | 2024-06-18 | Completed | 33.33% | $21.31 | $21.76 | 2.10% | Signal |
| 2023-11-03 | 2023-12-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income |
| 2023-06-23 | 2023-11-03 | Completed | 33.33% | $19.79 | $20.39 | 3.04% | Signal |
| 2023-06-02 | 2023-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2023-05-25 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-01-10 | 2023-05-25 | Completed | 33.33% | $19.47 | $19.60 | 0.70% | Signal |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-22 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-03-24 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-06-13 | 2022-08-22 | Completed | 33.33% | $18.39 | $18.99 | 3.26% | Signal |
| 2022-05-19 | 2022-06-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-01 | 2022-05-19 | Completed | 33.33% | $15.70 | $18.69 | 19.03% | Stop |
| 2020-05-27 | 2022-03-24 | Completed | 33.33% | $17.13 | $19.49 | 13.78% | Signal |
| 2022-02-11 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2020-05-27 | 2022-02-11 | Completed | 33.33% | $17.13 | $19.71 | 15.06% | Signal |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-05-16 | 2020-03-10 | Completed | 33.33% | $17.52 | $17.25 | -1.54% | Stop |
| 2019-03-28 | 2020-03-10 | Completed | 33.33% | $17.44 | $17.25 | -1.12% | Stop |
| 2016-04-19 | 2020-03-10 | Completed | 33.33% | $14.25 | $17.25 | 21.05% | Stop |
| 2019-03-04 | 2019-05-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2019-03-04 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-02-11 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2018-12-10 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2016-04-19 | 2019-02-11 | Completed | 33.33% | $14.25 | $17.19 | 20.64% | Signal |
| 2018-05-30 | 2018-12-10 | Completed | 33.33% | $16.72 | $16.78 | 0.38% | Signal |
| 2018-05-07 | 2018-05-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2016-04-19 | 2018-05-07 | Completed | 33.33% | $14.25 | $16.72 | 17.35% | Signal |
| 2016-04-04 | 2016-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-04-04 | 2016-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-04-04 | 2016-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | 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 |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | 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 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-30 | 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 |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-02-11 | 2015-09-30 | Completed | 33.33% | $14.82 | $14.13 | -4.69% | Signal |
| 2015-08-14 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-07 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-02-11 | 2015-08-14 | Completed | 33.33% | $14.82 | $14.54 | -1.94% | Signal |
| 2014-04-04 | 2015-08-07 | Completed | 33.33% | $15.02 | $14.63 | -2.62% | Signal |
| 2015-02-03 | 2015-02-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-02-03 | 2015-02-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-01-05 | 2015-02-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-12-08 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-12-02 | 2015-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2014-04-04 | 2014-12-08 | Completed | 33.33% | $15.02 | $14.74 | -1.92% | Signal |
| 2014-11-04 | 2014-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-10-02 | 2014-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.14% | Interest Income |
| 2014-09-29 | 2014-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2014-04-04 | 2014-09-29 | Completed | 33.33% | $15.02 | $14.86 | -1.08% | Signal |
| 2014-04-02 | 2014-04-04 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-04-02 | 2014-04-04 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-04-02 | 2014-04-04 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |