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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.2% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.4%, compared to a Buy-and-Hold benchmark return of 4.7%. 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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SPHY Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.02% | 5.02% | 4.03% | 4.13% | 4.44% | 4.84% | 3.43% | 4.70% |
| Sharpe Ratio | 1.34 | 1.34 | 0.63 | 0.57 | 0.65 | 0.60 | 0.50 | 0.59 |
| Max Drawdown | -2.41% | -2.41% | -14.20% | -15.29% | -14.20% | -21.97% | -14.20% | -21.97% |
| % Time Invested | 100.0% | 100.0% | 92.3% | 100.0% | 87.4% | 100.0% | 86.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.3 | 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 | ||||||||
| 2022-08-25 | 2023-01-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.50% | Interest Income | |
| 2020-04-06 | 2022-08-25 | Completed | 100% | $14.77 | $17.47 | 18.22% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-08-08 | 2020-03-13 | Completed | 100% | $16.31 | $15.32 | -6.08% | Stop | |
| 2018-11-09 | 2019-08-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2016-08-19 | 2018-11-09 | Completed | 100% | $14.62 | $15.14 | 3.54% | Signal | |
| 2016-02-22 | 2016-08-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2014-06-17 | 2016-02-22 | Completed | 100% | $13.29 | $12.95 | -2.63% | Signal | |
| 2014-06-13 | 2014-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |