SPHY SPDR Portfolio High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPHY (SPDR Portfolio High Yield 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 -9.3% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.2%, compared to a Buy-and-Hold benchmark return of 4.8%. The strategy executed 24 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.
SPHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 7.33% | 7.76% | 4.08% | 4.49% | 4.78% | 5.31% | 4.16% | 4.79% |
| Sharpe Ratio | 2.02 | 2.04 | 0.86 | 0.61 | 0.84 | 0.65 | 0.71 | 0.60 |
| Max Drawdown | -2.41% | -2.41% | -8.69% | -15.29% | -9.33% | -21.97% | -9.33% | -21.97% |
| % Time Invested | 100.0% | 100.0% | 88.5% | 100.0% | 90.8% | 100.0% | 91.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 1.6 | 0.0 | 2.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-01-13 | Open | Open | 33.33% | $18.01 | $23.53 | 30.65% | Mark-to-Market |
| 2023-01-13 | Open | Open | 33.33% | $18.01 | $23.53 | 30.65% | Mark-to-Market |
| 2026-05-08 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Mark-to-Market |
| 2025-07-17 | 2026-05-08 | Completed | 33.33% | $22.25 | $23.42 | 5.26% | Signal |
| 2025-06-03 | 2025-07-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-16 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2024-07-22 | 2025-04-16 | Completed | 33.33% | $20.54 | $21.17 | 3.10% | Signal |
| 2024-06-27 | 2024-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2023-12-29 | 2024-06-27 | Completed | 33.33% | $19.67 | $20.17 | 2.55% | Signal |
| 2023-10-24 | 2023-12-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income |
| 2023-06-22 | 2023-10-24 | Completed | 33.33% | $18.17 | $18.09 | -0.44% | Signal |
| 2023-06-02 | 2023-06-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-01-13 | 2023-05-23 | Completed | 33.33% | $18.01 | $18.05 | 0.20% | Signal |
| 2022-12-02 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2022-12-02 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2022-12-02 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | 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 |
| 2022-08-04 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2022-03-15 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-07-08 | 2022-08-04 | Completed | 33.33% | $17.08 | $17.91 | 4.84% | Signal |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $18.40 | $16.85 | -8.43% | Stop |
| 2022-03-15 | 2022-04-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-06-08 | 2022-03-15 | Completed | 33.33% | $16.96 | $18.10 | 6.68% | Stop |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $14.62 | $18.10 | 23.76% | Stop |
| 2022-02-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-06-08 | 2022-02-04 | Completed | 33.33% | $16.96 | $18.89 | 11.34% | Signal |
| 2020-06-02 | 2020-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2020-06-02 | 2020-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2020-04-21 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-10 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2020-04-21 | Completed | 33.33% | $14.62 | $15.67 | 7.19% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-08-01 | 2020-03-10 | Completed | 33.33% | $16.65 | $15.91 | -4.47% | Stop |
| 2019-04-10 | 2020-03-10 | Completed | 33.33% | $16.27 | $15.91 | -2.23% | Stop |
| 2019-03-06 | 2020-03-10 | Completed | 33.33% | $15.91 | $15.91 | 0.02% | Stop |
| 2019-03-04 | 2019-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income |
| 2019-03-04 | 2019-04-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2019-03-04 | 2019-03-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | 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 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-11-19 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | 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 |
| 2018-09-13 | 2018-11-19 | Completed | 33.33% | $15.56 | $15.25 | -2.02% | Signal |
| 2018-10-19 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-04-11 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.31% | Interest Income |
| 2016-03-04 | 2018-10-19 | Completed | 33.33% | $13.38 | $15.37 | 14.88% | Signal |
| 2018-02-15 | 2018-09-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2016-03-04 | 2018-04-11 | Completed | 33.33% | $13.38 | $15.42 | 15.26% | Signal |
| 2017-03-03 | 2018-02-15 | Completed | 33.33% | $15.01 | $15.34 | 2.18% | Signal |
| 2017-01-11 | 2017-03-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2016-03-04 | 2017-01-11 | Completed | 33.33% | $13.38 | $14.88 | 11.20% | Signal |
| 2016-03-02 | 2016-03-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-09 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-09-18 | 2016-02-09 | Completed | 33.33% | $13.54 | $12.80 | -5.44% | Signal |
| 2016-01-19 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-08-05 | 2016-01-19 | Completed | 33.33% | $13.58 | $12.94 | -4.74% | Stop |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2015-08-26 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-26 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-06-17 | 2015-08-26 | Completed | 33.33% | $13.45 | $13.52 | 0.48% | Stop |
| 2014-06-17 | 2015-08-26 | Completed | 33.33% | $13.45 | $13.52 | 0.48% | Stop |
| 2015-08-04 | 2015-08-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-07-08 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2014-06-17 | 2015-07-08 | Completed | 33.33% | $13.45 | $13.60 | 1.08% | Signal |
| 2014-06-13 | 2014-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2014-06-13 | 2014-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2014-06-13 | 2014-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |