SPAB SPDR Portfolio Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPAB (SPDR Portfolio Aggregate 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 -8.7% (compared to the benchmark's drawdown of -18.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 30 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.
SPAB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.98% | 5.32% | 3.07% | 0.17% | 2.26% | 1.64% | 2.79% | 2.70% |
| Sharpe Ratio | 1.71 | 1.37 | 1.15 | 0.03 | 0.68 | 0.29 | 0.83 | 0.55 |
| Max Drawdown | -2.01% | -2.74% | -4.31% | -17.96% | -8.66% | -18.56% | -8.66% | -18.56% |
| % Time Invested | 100.0% | 100.0% | 66.6% | 100.0% | 74.8% | 100.0% | 85.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 1.9 | 0.0 | 1.8 | 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 |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-11-10 | Open | Open | 33.33% | $25.33 | $25.54 | 0.83% | Mark-to-Market |
| 2025-09-08 | Open | Open | 33.33% | $25.20 | $25.54 | 1.34% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-11 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2025-08-21 | 2026-03-11 | Completed | 33.33% | $24.77 | $25.60 | 3.34% | Signal |
| 2025-10-17 | 2025-11-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-05 | 2025-10-17 | Completed | 33.33% | $24.27 | $25.46 | 4.89% | Signal |
| 2025-06-03 | 2025-09-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2025-07-28 | 2025-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2025-04-28 | 2025-07-28 | Completed | 33.33% | $24.34 | $24.55 | 0.84% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-20 | 2025-04-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.45% | Interest Income |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $22.73 | $24.26 | 6.76% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $24.27 | $23.76 | -2.10% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-07 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-22 | 2024-05-07 | Completed | 33.33% | $23.19 | $23.03 | -0.70% | Signal |
| 2023-06-02 | 2024-04-19 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-05-18 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-14 | 2023-05-18 | Completed | 33.33% | $22.60 | $22.76 | 0.71% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.69% | 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 |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-02-15 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2022-01-05 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-13 | 2022-02-15 | Completed | 33.33% | $25.46 | $24.47 | -3.89% | Signal |
| 2020-04-06 | 2022-01-05 | Completed | 33.33% | $24.96 | $25.37 | 1.62% | Signal |
| 2021-11-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-07-21 | 2021-11-30 | Completed | 33.33% | $25.74 | $25.62 | -0.49% | Signal |
| 2021-09-02 | 2021-10-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-29 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2021-02-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.11% | Interest Income |
| 2020-04-06 | 2021-03-29 | Completed | 33.33% | $24.96 | $25.12 | 0.63% | Signal |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $25.73 | $25.23 | -1.94% | Signal |
| 2020-12-17 | 2021-02-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2020-04-06 | 2020-12-17 | Completed | 33.33% | $24.96 | $25.93 | 3.85% | Signal |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-03-29 | 2020-03-13 | Completed | 33.33% | $22.90 | $23.35 | 1.97% | Stop |
| 2019-03-20 | 2020-03-13 | Completed | 33.33% | $22.66 | $23.35 | 3.05% | Stop |
| 2019-02-04 | 2020-03-13 | Completed | 33.33% | $22.41 | $23.35 | 4.17% | Stop |
| 2019-03-04 | 2019-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2019-03-04 | 2019-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-02-04 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-16 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2018-03-05 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2017-09-28 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.35% | Interest Income |
| 2018-08-29 | 2018-10-16 | Completed | 33.33% | $22.00 | $21.74 | -1.18% | Signal |
| 2018-01-11 | 2018-08-29 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.61% | Interest Income |
| 2017-08-03 | 2018-03-05 | Completed | 33.33% | $22.16 | $21.82 | -1.55% | Signal |
| 2017-05-03 | 2018-01-11 | Completed | 33.33% | $21.83 | $22.17 | 1.55% | Signal |
| 2014-05-08 | 2017-09-28 | Completed | 33.33% | $20.33 | $22.17 | 9.04% | Signal |
| 2017-05-02 | 2017-08-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2017-05-02 | 2017-05-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-31 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2016-11-23 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2016-01-11 | 2017-01-31 | Completed | 33.33% | $21.08 | $21.53 | 2.14% | Signal |
| 2015-10-15 | 2016-11-23 | Completed | 33.33% | $21.26 | $21.43 | 0.81% | Signal |
| 2015-11-03 | 2016-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2015-09-23 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2015-09-02 | 2015-10-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-03-04 | 2015-09-23 | Completed | 33.33% | $20.12 | $21.05 | 4.61% | Signal |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-07-02 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-06-25 | 2015-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-11-26 | 2015-06-25 | Completed | 33.33% | $19.81 | $20.78 | 4.91% | Signal |
| 2014-05-02 | 2014-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-04-02 | 2014-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-04 | 2014-03-04 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-19 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-05-22 | 2013-12-19 | Completed | 33.33% | $16.23 | $19.76 | 21.77% | Signal |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-11-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-06-26 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-06-12 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2013-05-09 | 2013-06-26 | Completed | 33.33% | $20.24 | $19.46 | -3.86% | Signal |
| 2011-06-09 | 2013-06-12 | Completed | 33.33% | $18.65 | $19.82 | 6.31% | Signal |
| 2013-02-26 | 2013-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2011-05-06 | 2013-02-26 | Completed | 33.33% | $18.40 | $20.08 | 9.15% | Signal |
| 2011-05-04 | 2011-06-09 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-04-04 | 2011-05-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-05-22 | 2011-05-04 | Completed | 33.33% | $16.23 | $18.35 | 13.05% | Signal |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-01-20 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-01 | 2011-01-20 | Completed | 33.33% | $16.35 | $17.96 | 9.91% | Signal |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2009-05-20 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2009-05-20 | 2009-05-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |