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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -9.4% (compared to the benchmark's drawdown of -18.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.1%, compared to a Buy-and-Hold benchmark return of 2.6%. The strategy executed 4 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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SPAB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.20% | 3.20% | 2.39% | -0.34% | 2.42% | 1.35% | 3.07% | 2.61% |
| Sharpe Ratio | 0.85 | 0.85 | 0.78 | -0.06 | 0.58 | 0.24 | 0.77 | 0.53 |
| Max Drawdown | -2.74% | -2.74% | -4.87% | -17.96% | -9.41% | -18.56% | -9.41% | -18.56% |
| % Time Invested | 100.0% | 100.0% | 49.3% | 100.0% | 62.6% | 100.0% | 76.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 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 | ||||||||
| 2022-01-21 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.82% | Interest Income | |
| 2019-03-29 | 2022-01-21 | Completed | 100% | $22.74 | $24.92 | 9.54% | Signal | |
| 2018-02-23 | 2019-03-29 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income | |
| 2017-12-18 | 2018-02-23 | Completed | 100% | $22.16 | $21.63 | -2.42% | Signal | |
| 2017-11-03 | 2017-12-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2014-05-08 | 2017-11-03 | Completed | 100% | $20.19 | $22.08 | 9.29% | Signal | |
| 2014-01-06 | 2014-05-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-05-22 | 2014-01-06 | Completed | 100% | $16.12 | $19.63 | 21.74% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |