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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.0% (compared to the benchmark's drawdown of -19.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.8%, compared to a Buy-and-Hold benchmark return of 4.2%. The strategy executed 3 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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SJNK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.36% | 4.36% | 4.20% | 4.70% | 5.77% | 5.25% | 4.77% | 4.25% |
| Sharpe Ratio | 1.34 | 1.34 | 0.79 | 0.79 | 1.00 | 0.80 | 0.89 | 0.68 |
| Max Drawdown | -1.73% | -1.73% | -10.18% | -10.18% | -11.02% | -19.74% | -11.02% | -19.74% |
| % Time Invested | 100.0% | 100.0% | 93.5% | 100.0% | 96.1% | 100.0% | 91.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.2 | 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 | ||||||||
| 2022-09-14 | 2023-01-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.29% | Interest Income | |
| 2020-04-06 | 2022-09-14 | Completed | 100% | $15.49 | $18.57 | 19.80% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2016-04-19 | 2020-03-13 | Completed | 100% | $14.08 | $16.68 | 18.42% | Stop | |
| 2015-08-21 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2014-04-04 | 2015-08-21 | Completed | 100% | $14.85 | $14.26 | -4.06% | Signal | |
| 2014-04-02 | 2014-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |