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 Moving Average (50/200)* 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 2.3%, compared to a Buy-and-Hold benchmark return of 2.6%. The strategy executed 12 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.
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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 | 3.12% | 3.20% | 1.42% | -0.34% | 1.61% | 1.35% | 2.31% | 2.61% |
| Sharpe Ratio | 0.83 | 0.85 | 0.34 | -0.06 | 0.35 | 0.24 | 0.56 | 0.53 |
| Max Drawdown | -2.74% | -2.74% | -5.05% | -17.96% | -9.41% | -18.56% | -9.41% | -18.56% |
| % Time Invested | 99.6% | 100.0% | 69.2% | 100.0% | 69.0% | 100.0% | 74.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $23.07 | $24.05 | 4.19% | Signal | |
| 2023-08-22 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.01% | Interest Income | |
| 2023-02-08 | 2023-08-22 | Completed | 100% | $22.54 | $21.99 | -2.50% | Signal | |
| 2022-01-10 | 2023-02-08 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.54% | Interest Income | |
| 2021-08-03 | 2022-01-10 | Completed | 100% | $25.73 | $24.92 | -3.19% | Signal | |
| 2021-03-01 | 2021-08-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-31 | 2021-03-01 | Completed | 100% | $22.05 | $25.18 | 14.15% | Signal | |
| 2018-11-05 | 2018-12-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2018-09-04 | 2018-11-05 | Completed | 100% | $21.95 | $21.53 | -1.94% | Signal | |
| 2018-02-16 | 2018-09-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2017-05-25 | 2018-02-16 | Completed | 100% | $21.82 | $21.63 | -0.93% | Signal | |
| 2016-12-07 | 2017-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2015-10-21 | 2016-12-07 | Completed | 100% | $21.03 | $21.34 | 1.42% | Signal | |
| 2015-07-02 | 2015-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-01-24 | 2015-07-02 | Completed | 100% | $19.79 | $20.64 | 4.27% | Signal | |
| 2013-06-21 | 2014-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-19 | 2013-06-21 | Completed | 100% | $20.10 | $19.47 | -3.19% | Signal | |
| 2013-03-19 | 2013-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-03 | 2013-03-19 | Completed | 100% | $18.25 | $19.90 | 9.01% | Signal | |
| 2011-02-10 | 2011-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-05-22 | 2011-02-10 | Completed | 100% | $16.12 | $17.73 | 9.93% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |