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 Moving Average (50/200)* 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 4.3%, compared to a Buy-and-Hold benchmark return of 4.2%. The strategy executed 5 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.
Switch to MMA to enable
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% | 5.61% | 4.70% | 5.00% | 5.25% | 4.27% | 4.25% |
| Sharpe Ratio | 1.34 | 1.34 | 1.31 | 0.79 | 1.07 | 0.80 | 0.98 | 0.68 |
| Max Drawdown | -1.73% | -1.73% | -4.77% | -10.18% | -11.02% | -19.74% | -11.02% | -19.74% |
| % Time Invested | 100.0% | 100.0% | 83.1% | 100.0% | 87.9% | 100.0% | 81.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 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 | ||||||||
| 2022-02-24 | 2022-12-28 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.00% | Interest Income | |
| 2020-05-27 | 2022-02-24 | Completed | 100% | $16.93 | $19.25 | 13.66% | Signal | |
| 2020-03-13 | 2020-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-02-27 | 2020-03-13 | Completed | 100% | $17.15 | $16.68 | -2.75% | Stop | |
| 2018-12-27 | 2019-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2016-04-19 | 2018-12-27 | Completed | 100% | $14.08 | $16.24 | 15.23% | Signal | |
| 2015-08-14 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-02-11 | 2015-08-14 | Completed | 100% | $14.65 | $14.37 | -1.99% | Signal | |
| 2014-10-09 | 2015-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-04-04 | 2014-10-09 | Completed | 100% | $14.85 | $14.77 | -0.62% | Signal | |
| 2014-04-02 | 2014-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |