SPIB SPDR Portfolio Intermediate Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPIB (SPDR Portfolio Intermediate Term Corporate 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 -6.5% (compared to the benchmark's drawdown of -14.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.3%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 25 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.
SPIB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.41% | 5.65% | 3.12% | 1.87% | 3.09% | 2.95% | 3.27% | 3.34% |
| Sharpe Ratio | 2.07 | 1.95 | 1.37 | 0.42 | 1.21 | 0.63 | 1.21 | 0.79 |
| Max Drawdown | -2.02% | -2.02% | -3.83% | -14.79% | -6.53% | -14.94% | -6.53% | -14.94% |
| % Time Invested | 100.0% | 100.0% | 73.9% | 100.0% | 81.9% | 100.0% | 88.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 1.7 | 0.0 | 1.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-07-24 | Open | Open | 33.33% | $32.22 | $33.55 | 4.14% | Mark-to-Market |
| 2024-08-05 | Open | Open | 33.33% | $30.83 | $33.55 | 8.84% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-31 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-24 | 2026-03-31 | Completed | 33.33% | $31.47 | $33.26 | 5.71% | Signal |
| 2025-06-03 | 2025-07-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.90% | 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 |
| 2025-01-02 | 2025-04-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income |
| 2024-03-22 | 2025-04-16 | Completed | 33.33% | $29.71 | $31.36 | 5.57% | Signal |
| 2024-08-02 | 2025-01-02 | Completed | 33.33% | $30.69 | $30.93 | 0.81% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-16 | 2024-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-11 | 2024-05-16 | Completed | 33.33% | $29.50 | $29.81 | 1.05% | Signal |
| 2023-09-13 | 2024-03-22 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.58% | Interest Income |
| 2023-06-02 | 2024-01-11 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.94% | Interest Income |
| 2023-06-21 | 2023-09-13 | Completed | 33.33% | $28.23 | $28.20 | -0.12% | Signal |
| 2023-06-02 | 2023-06-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-22 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-07 | 2023-05-22 | Completed | 33.33% | $28.22 | $28.35 | 0.44% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.49% | 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 |
| 2022-03-17 | 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 |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2020-04-06 | 2022-03-17 | Completed | 33.33% | $27.78 | $28.99 | 4.36% | Stop |
| 2022-02-02 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-09-02 | 2022-02-02 | Completed | 33.33% | $30.91 | $30.02 | -2.89% | Signal |
| 2021-11-19 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-07-13 | 2021-11-19 | Completed | 33.33% | $30.84 | $30.51 | -1.06% | Signal |
| 2021-08-03 | 2021-09-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-28 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-05-04 | 2021-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2020-04-06 | 2021-06-28 | Completed | 33.33% | $27.78 | $30.67 | 10.38% | Signal |
| 2021-04-08 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-05-21 | 2021-04-08 | Completed | 33.33% | $29.30 | $30.36 | 3.61% | Signal |
| 2020-03-13 | 2020-05-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2019-03-13 | 2020-03-13 | Completed | 33.33% | $26.82 | $27.68 | 3.21% | Stop |
| 2019-03-07 | 2020-03-13 | Completed | 33.33% | $26.71 | $27.68 | 3.64% | Stop |
| 2019-02-14 | 2020-03-13 | Completed | 33.33% | $26.59 | $27.68 | 4.09% | Stop |
| 2019-03-04 | 2019-03-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-03-04 | 2019-03-07 | 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 | 2019-02-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.49% | 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 |
| 2018-08-29 | 2018-11-19 | Completed | 33.33% | $25.98 | $25.77 | -0.82% | Signal |
| 2018-06-14 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2018-03-08 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income |
| 2018-01-09 | 2018-08-29 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income |
| 2011-02-14 | 2018-06-14 | Completed | 33.33% | $20.22 | $25.66 | 26.85% | Signal |
| 2017-06-29 | 2018-03-08 | Completed | 33.33% | $25.90 | $25.73 | -0.65% | Signal |
| 2017-04-18 | 2018-01-09 | Completed | 33.33% | $25.72 | $26.16 | 1.69% | Signal |
| 2017-05-02 | 2017-06-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-04-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2017-03-06 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-12-07 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2016-02-23 | 2017-03-06 | Completed | 33.33% | $24.41 | $25.43 | 4.21% | Signal |
| 2016-03-22 | 2016-12-07 | Completed | 33.33% | $24.79 | $25.20 | 1.65% | Signal |
| 2016-03-02 | 2016-03-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2016-02-08 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2016-02-02 | 2016-02-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-10-29 | 2016-02-08 | Completed | 33.33% | $24.44 | $24.31 | -0.51% | Signal |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-16 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-09-02 | 2015-10-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-10-25 | 2015-10-16 | Completed | 33.33% | $23.13 | $24.43 | 5.60% | Signal |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-16 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-10-25 | 2015-07-16 | Completed | 33.33% | $23.13 | $24.16 | 4.44% | Signal |
| 2013-08-14 | 2013-10-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2013-08-02 | 2013-10-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2011-02-14 | 2013-08-14 | Completed | 33.33% | $20.22 | $22.67 | 12.08% | Signal |
| 2013-07-12 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-04-14 | 2013-07-12 | Completed | 33.33% | $20.59 | $22.70 | 10.25% | Signal |
| 2011-04-04 | 2011-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-02-10 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-02-10 | 2011-02-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2011-02-10 | 2011-02-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |