SPAB
SPDR Portfolio Aggregate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPAB (SPDR Portfolio Aggregate Bond ETF) using the Excess Return MMA* 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 2.6%, compared to a Buy-and-Hold benchmark return of 2.6%. The strategy executed 31 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.
SPAB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.23% | 3.20% | 2.61% | -0.34% | 1.78% | 1.35% | 2.58% | 2.61% |
| Sharpe Ratio | 1.13 | 0.85 | 1.03 | -0.06 | 0.55 | 0.24 | 0.78 | 0.53 |
| Max Drawdown | -2.03% | -2.74% | -4.39% | -17.96% | -8.67% | -18.56% | -8.67% | -18.56% |
| % Time Invested | 100.0% | 100.0% | 66.6% | 100.0% | 74.8% | 100.0% | 85.3% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.8 | 0.0 | 2.0 | 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 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 | ||||||||
| 2025-08-21 | 2026-03-11 | Completed | 33.33% | $24.60 | $25.42 | 3.29% | Signal | |
| 2025-10-17 | 2025-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2024-08-05 | 2025-10-17 | Completed | 33.33% | $24.11 | $25.29 | 4.84% | Signal | |
| 2025-03-17 | 2025-09-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.05% | Interest Income | |
| 2025-07-28 | 2025-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2025-04-28 | 2025-07-28 | Completed | 33.33% | $24.18 | $24.38 | 0.79% | Signal | |
| 2024-12-20 | 2025-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.44% | Interest Income | |
| 2024-04-19 | 2025-03-17 | Completed | 33.33% | $22.57 | $24.10 | 6.71% | Signal | |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $24.11 | $23.60 | -2.15% | Signal | |
| 2024-05-07 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income | |
| 2022-01-05 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.83% | Interest Income | |
| 2024-01-22 | 2024-05-07 | Completed | 33.33% | $23.04 | $22.87 | -0.75% | Signal | |
| 2022-02-15 | 2024-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.11% | Interest Income | |
| 2023-05-18 | 2024-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.66% | Interest Income | |
| 2023-02-14 | 2023-05-18 | Completed | 33.33% | $22.44 | $22.60 | 0.66% | Signal | |
| 2021-11-30 | 2023-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2021-10-13 | 2022-02-15 | Completed | 33.33% | $25.29 | $24.30 | -3.94% | Signal | |
| 2020-04-06 | 2022-01-05 | Completed | 33.33% | $24.79 | $25.19 | 1.57% | Signal | |
| 2021-07-21 | 2021-11-30 | Completed | 33.33% | $25.57 | $25.44 | -0.54% | Signal | |
| 2021-03-29 | 2021-10-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-02-26 | 2021-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2021-03-29 | Completed | 33.33% | $24.79 | $24.95 | 0.57% | Signal | |
| 2021-02-11 | 2021-02-26 | Completed | 33.33% | $25.55 | $25.05 | -1.99% | Signal | |
| 2020-12-17 | 2021-02-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2020-12-17 | Completed | 33.33% | $24.79 | $25.75 | 3.80% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-29 | 2020-03-13 | Completed | 33.33% | $22.74 | $23.19 | 1.92% | Stop | |
| 2019-03-20 | 2020-03-13 | Completed | 33.33% | $22.50 | $23.19 | 3.00% | Stop | |
| 2019-02-04 | 2020-03-13 | Completed | 33.33% | $22.26 | $23.19 | 4.11% | Stop | |
| 2017-09-28 | 2019-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.87% | Interest Income | |
| 2018-03-05 | 2019-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2018-10-16 | 2019-02-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2018-08-29 | 2018-10-16 | Completed | 33.33% | $21.85 | $21.59 | -1.23% | Signal | |
| 2018-01-11 | 2018-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2017-08-03 | 2018-03-05 | Completed | 33.33% | $22.01 | $21.67 | -1.60% | Signal | |
| 2017-05-03 | 2018-01-11 | Completed | 33.33% | $21.68 | $22.02 | 1.50% | Signal | |
| 2014-05-08 | 2017-09-28 | Completed | 33.33% | $20.19 | $22.02 | 8.99% | Signal | |
| 2017-01-31 | 2017-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2016-11-23 | 2017-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-01-11 | 2017-01-31 | Completed | 33.33% | $20.93 | $21.38 | 2.08% | Signal | |
| 2015-10-15 | 2016-11-23 | Completed | 33.33% | $21.11 | $21.29 | 0.76% | Signal | |
| 2015-09-23 | 2016-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-06-25 | 2015-10-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-04 | 2015-09-23 | Completed | 33.33% | $19.99 | $20.91 | 4.56% | Signal | |
| 2013-11-26 | 2015-06-25 | Completed | 33.33% | $19.68 | $20.64 | 4.85% | Signal | |
| 2013-12-19 | 2014-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-06-12 | 2014-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-05-22 | 2013-12-19 | Completed | 33.33% | $16.12 | $19.63 | 21.71% | Signal | |
| 2013-06-26 | 2013-11-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-05-09 | 2013-06-26 | Completed | 33.33% | $20.10 | $19.32 | -3.91% | Signal | |
| 2011-06-09 | 2013-06-12 | Completed | 33.33% | $18.52 | $19.69 | 6.25% | Signal | |
| 2013-02-26 | 2013-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-06 | 2013-02-26 | Completed | 33.33% | $18.27 | $19.95 | 9.09% | Signal | |
| 2011-05-04 | 2011-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-20 | 2011-05-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-05-22 | 2011-05-04 | Completed | 33.33% | $16.12 | $18.22 | 12.99% | Signal | |
| 2009-07-01 | 2011-01-20 | Completed | 33.33% | $16.23 | $17.84 | 9.85% | Signal | |
| 2009-05-20 | 2009-07-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |