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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.3% (compared to the benchmark's drawdown of -22.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.7%, compared to a Buy-and-Hold benchmark return of 4.7%. The strategy executed 6 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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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% | 5.25% | 4.13% | 4.04% | 4.84% | 3.74% | 4.70% |
| Sharpe Ratio | 1.34 | 1.34 | 1.08 | 0.57 | 0.70 | 0.60 | 0.62 | 0.59 |
| Max Drawdown | -2.41% | -2.41% | -5.03% | -15.29% | -14.28% | -21.97% | -14.28% | -21.97% |
| % Time Invested | 100.0% | 100.0% | 82.0% | 100.0% | 81.7% | 100.0% | 83.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.5 | 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 | ||||||||
| 2022-02-18 | 2023-01-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.20% | Interest Income | |
| 2020-06-08 | 2022-02-18 | Completed | 100% | $16.76 | $18.39 | 9.64% | Signal | |
| 2020-03-13 | 2020-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-02-07 | 2020-03-13 | Completed | 100% | $15.70 | $15.32 | -2.47% | Stop | |
| 2018-11-26 | 2019-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2018-09-12 | 2018-11-26 | Completed | 100% | $15.34 | $15.09 | -1.65% | Signal | |
| 2018-03-15 | 2018-09-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2016-03-04 | 2018-03-15 | Completed | 100% | $13.23 | $15.16 | 14.56% | Signal | |
| 2016-01-19 | 2016-03-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-08-05 | 2016-01-19 | Completed | 100% | $13.43 | $12.79 | -4.79% | Stop | |
| 2015-07-09 | 2015-08-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-17 | 2015-07-09 | Completed | 100% | $13.29 | $13.43 | 0.99% | Signal | |
| 2014-06-13 | 2014-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |