SPHY
SPDR Portfolio High Yield Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPHY (SPDR Portfolio High Yield Bond ETF) using the Excess Return MMA* 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 4.0%, compared to a Buy-and-Hold benchmark return of 4.7%. The strategy executed 24 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.
SPHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.85% | 5.02% | 3.68% | 4.13% | 4.19% | 4.84% | 3.96% | 4.70% |
| Sharpe Ratio | 1.35 | 1.34 | 0.78 | 0.57 | 0.76 | 0.60 | 0.68 | 0.59 |
| Max Drawdown | -2.41% | -2.41% | -8.61% | -15.29% | -9.33% | -21.97% | -9.33% | -21.97% |
| % Time Invested | 100.0% | 100.0% | 88.5% | 100.0% | 90.8% | 100.0% | 91.8% | 100.0% |
| Trades / Year | 0.0 | 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 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 | ||||||||
| 2025-07-17 | 2026-05-08 | Completed | 33.33% | $21.99 | $23.15 | 5.21% | Signal | |
| 2025-04-16 | 2025-07-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.06% | Interest Income | |
| 2024-07-22 | 2025-04-16 | Completed | 33.33% | $20.30 | $20.92 | 3.04% | Signal | |
| 2024-06-27 | 2024-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-12-29 | 2024-06-27 | Completed | 33.33% | $19.44 | $19.93 | 2.50% | Signal | |
| 2023-10-24 | 2023-12-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2023-06-22 | 2023-10-24 | Completed | 33.33% | $17.96 | $17.88 | -0.49% | Signal | |
| 2023-05-23 | 2023-06-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2023-01-13 | 2023-05-23 | Completed | 33.33% | $17.80 | $17.83 | 0.15% | Signal | |
| 2022-08-04 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2022-03-15 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.18% | Interest Income | |
| 2022-02-04 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.21% | Interest Income | |
| 2022-07-08 | 2022-08-04 | Completed | 33.33% | $16.88 | $17.70 | 4.79% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-04-06 | 2022-06-14 | Completed | 33.33% | $18.19 | $16.65 | -8.47% | Stop | |
| 2022-03-15 | 2022-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-06-08 | 2022-03-15 | Completed | 33.33% | $16.76 | $17.88 | 6.63% | Stop | |
| 2020-04-01 | 2022-03-15 | Completed | 33.33% | $14.45 | $17.88 | 23.70% | Stop | |
| 2020-06-08 | 2022-02-04 | Completed | 33.33% | $16.76 | $18.66 | 11.28% | Signal | |
| 2020-04-21 | 2020-06-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-10 | 2020-06-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-01 | 2020-04-21 | Completed | 33.33% | $14.45 | $15.49 | 7.13% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-08-01 | 2020-03-10 | Completed | 33.33% | $16.46 | $15.72 | -4.52% | Stop | |
| 2019-04-10 | 2020-03-10 | Completed | 33.33% | $16.08 | $15.72 | -2.28% | Stop | |
| 2019-03-06 | 2020-03-10 | Completed | 33.33% | $15.72 | $15.72 | -0.03% | Stop | |
| 2018-10-19 | 2019-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.82% | Interest Income | |
| 2018-04-11 | 2019-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.19% | Interest Income | |
| 2018-11-19 | 2019-03-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2018-09-13 | 2018-11-19 | Completed | 33.33% | $15.38 | $15.07 | -2.07% | Signal | |
| 2016-03-04 | 2018-10-19 | Completed | 33.33% | $13.23 | $15.19 | 14.83% | Signal | |
| 2018-02-15 | 2018-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2016-03-04 | 2018-04-11 | Completed | 33.33% | $13.23 | $15.24 | 15.20% | Signal | |
| 2017-03-03 | 2018-02-15 | Completed | 33.33% | $14.83 | $15.16 | 2.13% | Signal | |
| 2017-01-11 | 2017-03-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2016-03-04 | 2017-01-11 | Completed | 33.33% | $13.23 | $14.71 | 11.14% | Signal | |
| 2016-02-09 | 2016-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-01-19 | 2016-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-08-26 | 2016-03-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-09-18 | 2016-02-09 | Completed | 33.33% | $13.38 | $12.65 | -5.49% | Signal | |
| 2015-08-05 | 2016-01-19 | Completed | 33.33% | $13.43 | $12.79 | -4.79% | Stop | |
| 2015-08-26 | 2015-09-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-17 | 2015-08-26 | Completed | 33.33% | $13.29 | $13.36 | 0.43% | Stop | |
| 2014-06-17 | 2015-08-26 | Completed | 33.33% | $13.29 | $13.36 | 0.43% | Stop | |
| 2015-07-08 | 2015-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-17 | 2015-07-08 | Completed | 33.33% | $13.29 | $13.44 | 1.03% | Signal | |
| 2014-06-13 | 2014-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-13 | 2014-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-13 | 2014-06-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |