SJNK

SPDR Bloomberg Short Term High Yield Bond ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-09

Executive Summary

The quantitative backtest for SJNK (SPDR Bloomberg Short Term High Yield Bond ETF) using the Excess Return MMA* 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 4.4%, compared to a Buy-and-Hold benchmark return of 4.3%. The strategy executed 21 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for SJNK:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for SJNK:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ SJNK Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-6.9% (vs -19.7% B&H)

+12.8% shallower drawdown

Downside Efficiency

1.24 Sortino

+0.46 vs 0.78 B&H

Capital Sheltered from Risk

17.6% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 SJNK Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-1.73%	-1.73%	-4.77%	-10.18%	-6.93%	-19.74%	-6.93%	-19.74%
Sharpe Ratio	1.19	1.16	1.10	0.80	1.24	0.79	1.10	0.68
Sortino Ratio	1.80	1.82	1.45	1.06	1.42	0.88	1.24	0.78
CAGR	3.57%	3.72%	4.49%	4.74%	5.30%	5.21%	4.43%	4.26%
% Time Invested	91.1%	100.0%	80.2%	100.0%	86.4%	100.0%	82.4%	100.0%
Trades / Year	0.0	0.0	1.4	0.0	1.3	0.0	1.7	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of SJNK under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 4.4% CAGR with a -6.9% Max Drawdown across 21 trade signals (compared to Buy & Hold's 4.3% CAGR and -19.7% Max Drawdown).

Histogram of monthly return distribution for SJNK under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **SJNK** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for SJNK

Explore Correlation Across Horizons →

Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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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. Subscribe to Unlock
2026-04-29	2026-07-06	Interest (CASH)	33.33%	$1.00	$1.01	0.66%	Interest Income
2025-07-18	2026-04-29	Completed	33.33%	$23.41	$24.47	4.46%	Signal
2025-04-17	2025-07-18	Interest (CASH)	33.33%	$1.00	$1.01	1.06%	Interest Income
2024-07-24	2025-04-17	Completed	33.33%	$21.60	$22.38	3.58%	Signal
2024-06-18	2024-07-24	Interest (CASH)	33.33%	$1.00	$1.01	0.51%	Interest Income
2023-12-22	2024-06-18	Completed	33.33%	$20.83	$21.27	2.05%	Signal
2023-11-03	2023-12-22	Interest (CASH)	33.33%	$1.00	$1.01	0.72%	Interest Income
2023-06-23	2023-11-03	Completed	33.33%	$19.34	$19.93	2.99%	Signal
2023-05-25	2023-06-23	Interest (CASH)	33.33%	$1.00	$1.00	0.40%	Interest Income
2023-01-10	2023-05-25	Completed	33.33%	$19.02	$19.15	0.65%	Signal
2022-08-22	2023-01-10	Interest (CASH)	33.33%	$1.00	$1.01	1.48%	Interest Income
2022-03-24	2023-01-10	Interest (CASH)	33.33%	$1.00	$1.02	2.11%	Interest Income
2022-02-11	2023-01-10	Interest (CASH)	33.33%	$1.00	$1.02	2.15%	Interest Income
2022-06-13	2022-08-22	Completed	33.33%	$17.98	$18.56	3.21%	Signal
2022-05-19	2022-06-13	Interest (CASH)	33.33%	$1.00	$1.00	0.07%	Interest Income
2020-04-01	2022-05-19	Completed	33.33%	$15.34	$18.26	18.97%	Stop
2020-05-27	2022-03-24	Completed	33.33%	$16.74	$19.04	13.72%	Signal
2020-05-27	2022-02-11	Completed	33.33%	$16.74	$19.26	15.00%	Signal
2020-03-10	2020-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-10	2020-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-10	2020-04-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2019-05-16	2020-03-10	Completed	33.33%	$17.12	$16.85	-1.59%	Stop
2019-03-28	2020-03-10	Completed	33.33%	$17.04	$16.85	-1.17%	Stop
2016-04-19	2020-03-10	Completed	33.33%	$13.92	$16.85	20.99%	Stop
2019-02-11	2019-05-16	Interest (CASH)	33.33%	$1.00	$1.01	0.63%	Interest Income
2018-12-10	2019-03-28	Interest (CASH)	33.33%	$1.00	$1.01	0.71%	Interest Income
2016-04-19	2019-02-11	Completed	33.33%	$13.92	$16.80	20.58%	Signal
2018-05-30	2018-12-10	Completed	33.33%	$16.34	$16.40	0.33%	Signal
2018-05-07	2018-05-30	Interest (CASH)	33.33%	$1.00	$1.00	0.12%	Interest Income
2016-04-19	2018-05-07	Completed	33.33%	$13.92	$16.34	17.29%	Signal
2015-09-30	2016-04-19	Interest (CASH)	33.33%	$1.00	$1.00	0.11%	Interest Income
2015-08-14	2016-04-19	Interest (CASH)	33.33%	$1.00	$1.00	0.12%	Interest Income
2015-08-07	2016-04-19	Interest (CASH)	33.33%	$1.00	$1.00	0.12%	Interest Income
2015-02-11	2015-09-30	Completed	33.33%	$14.49	$13.81	-4.74%	Signal
2015-02-11	2015-08-14	Completed	33.33%	$14.49	$14.21	-1.99%	Signal
2014-04-04	2015-08-07	Completed	33.33%	$14.68	$14.30	-2.67%	Signal
2014-12-08	2015-02-11	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2014-09-29	2015-02-11	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2014-04-04	2014-12-08	Completed	33.33%	$14.68	$14.40	-1.97%	Signal
2014-04-04	2014-09-29	Completed	33.33%	$14.68	$14.52	-1.13%	Signal
2014-04-02	2014-04-04	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2014-04-02	2014-04-04	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2014-04-02	2014-04-04	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where SJNK ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with SJNK → ⚖️ Compare SJNK vs Non-Correlated Assets →