SJNK
SPDR Bloomberg Short Term High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 4.2%. The strategy executed 20 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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.
SJNK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.27% | 4.36% | 4.46% | 4.70% | 5.35% | 5.25% | 4.42% | 4.25% |
| Sharpe Ratio | 1.38 | 1.34 | 1.09 | 0.79 | 1.24 | 0.80 | 1.09 | 0.68 |
| Max Drawdown | -1.73% | -1.73% | -4.77% | -10.18% | -6.93% | -19.74% | -6.93% | -19.74% |
| % Time Invested | 100.0% | 100.0% | 91.0% | 100.0% | 94.9% | 100.0% | 91.3% | 100.0% |
| Trades / Year | 0.0 | 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 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 | ||||||||
| 2025-07-18 | 2026-04-29 | Completed | 33.33% | $23.68 | $24.75 | 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% | $21.85 | $22.64 | 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% | $21.07 | $21.51 | 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% | $19.56 | $20.16 | 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% | $19.24 | $19.38 | 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% | $18.18 | $18.78 | 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% | $15.52 | $18.47 | 18.97% | Stop | |
| 2020-05-27 | 2022-03-24 | Completed | 33.33% | $16.93 | $19.26 | 13.72% | Signal | |
| 2020-05-27 | 2022-02-11 | Completed | 33.33% | $16.93 | $19.48 | 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% | $17.31 | $17.05 | -1.59% | Stop | |
| 2019-03-28 | 2020-03-10 | Completed | 33.33% | $17.24 | $17.05 | -1.17% | Stop | |
| 2016-04-19 | 2020-03-10 | Completed | 33.33% | $14.08 | $17.05 | 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% | $14.08 | $16.99 | 20.58% | Signal | |
| 2018-05-30 | 2018-12-10 | Completed | 33.33% | $16.53 | $16.59 | 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% | $14.08 | $16.53 | 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% | $14.65 | $13.97 | -4.74% | Signal | |
| 2015-02-11 | 2015-08-14 | Completed | 33.33% | $14.65 | $14.37 | -1.99% | Signal | |
| 2014-04-04 | 2015-08-07 | Completed | 33.33% | $14.85 | $14.46 | -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% | $14.85 | $14.57 | -1.97% | Signal | |
| 2014-04-04 | 2014-09-29 | Completed | 33.33% | $14.85 | $14.69 | -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 | |