SPIB
SPDR Portfolio Intermediate Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPIB (SPDR Portfolio Intermediate Term Corporate Bond ETF) using the Excess Return MMA* 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 3.1%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 26 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.
SPIB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.09% | 3.45% | 2.83% | 1.52% | 2.70% | 2.67% | 3.10% | 3.26% |
| Sharpe Ratio | 1.60 | 1.19 | 1.36 | 0.34 | 1.11 | 0.57 | 1.17 | 0.77 |
| Max Drawdown | -2.02% | -2.02% | -3.84% | -14.79% | -6.53% | -14.94% | -6.53% | -14.94% |
| % Time Invested | 100.0% | 100.0% | 73.9% | 100.0% | 81.9% | 100.0% | 88.3% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 1.8 | 0.0 | 1.7 | 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 | ||||||||
| 2025-04-24 | 2026-03-31 | Completed | 33.33% | $31.23 | $33.01 | 5.65% | Signal | |
| 2025-04-16 | 2025-07-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2025-01-02 | 2025-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income | |
| 2024-03-22 | 2025-04-16 | Completed | 33.33% | $29.49 | $31.13 | 5.52% | Signal | |
| 2024-08-02 | 2025-01-02 | Completed | 33.33% | $30.46 | $30.70 | 0.76% | Signal | |
| 2022-03-17 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.77% | Interest Income | |
| 2024-05-16 | 2024-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2024-01-11 | 2024-05-16 | Completed | 33.33% | $29.28 | $29.59 | 1.00% | Signal | |
| 2023-09-13 | 2024-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.84% | Interest Income | |
| 2023-05-22 | 2024-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.48% | Interest Income | |
| 2023-06-21 | 2023-09-13 | Completed | 33.33% | $28.02 | $27.99 | -0.17% | Signal | |
| 2022-02-02 | 2023-06-21 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 4.39% | Interest Income | |
| 2023-02-07 | 2023-05-22 | Completed | 33.33% | $28.01 | $28.13 | 0.39% | Signal | |
| 2021-11-19 | 2023-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.53% | Interest Income | |
| 2020-04-06 | 2022-03-17 | Completed | 33.33% | $27.58 | $28.78 | 4.31% | Stop | |
| 2021-09-02 | 2022-02-02 | Completed | 33.33% | $30.68 | $29.79 | -2.94% | Signal | |
| 2021-07-13 | 2021-11-19 | Completed | 33.33% | $30.61 | $30.28 | -1.11% | Signal | |
| 2021-06-28 | 2021-09-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-04-08 | 2021-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2021-06-28 | Completed | 33.33% | $27.58 | $30.44 | 10.33% | Signal | |
| 2020-05-21 | 2021-04-08 | Completed | 33.33% | $29.09 | $30.13 | 3.56% | Signal | |
| 2020-03-13 | 2020-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-13 | 2020-03-13 | Completed | 33.33% | $26.62 | $27.47 | 3.16% | Stop | |
| 2019-03-07 | 2020-03-13 | Completed | 33.33% | $26.51 | $27.47 | 3.59% | Stop | |
| 2019-02-14 | 2020-03-13 | Completed | 33.33% | $26.39 | $27.47 | 4.04% | Stop | |
| 2018-06-14 | 2019-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2018-03-08 | 2019-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.12% | Interest Income | |
| 2018-11-19 | 2019-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2018-08-29 | 2018-11-19 | Completed | 33.33% | $25.79 | $25.58 | -0.87% | Signal | |
| 2018-01-09 | 2018-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income | |
| 2011-02-14 | 2018-06-14 | Completed | 33.33% | $20.07 | $25.46 | 26.79% | Signal | |
| 2017-06-29 | 2018-03-08 | Completed | 33.33% | $25.71 | $25.54 | -0.70% | Signal | |
| 2017-04-18 | 2018-01-09 | Completed | 33.33% | $25.53 | $25.96 | 1.64% | Signal | |
| 2017-03-06 | 2017-06-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2016-12-07 | 2017-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2016-02-23 | 2017-03-06 | Completed | 33.33% | $24.22 | $25.24 | 4.16% | Signal | |
| 2016-03-22 | 2016-12-07 | Completed | 33.33% | $24.60 | $25.01 | 1.60% | Signal | |
| 2016-02-08 | 2016-03-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-10-16 | 2016-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-10-29 | 2016-02-08 | Completed | 33.33% | $24.25 | $24.13 | -0.56% | Signal | |
| 2015-07-16 | 2015-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-10-25 | 2015-10-16 | Completed | 33.33% | $22.96 | $24.25 | 5.55% | Signal | |
| 2013-10-25 | 2015-07-16 | Completed | 33.33% | $22.96 | $23.98 | 4.39% | Signal | |
| 2013-08-14 | 2013-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-07-12 | 2013-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-02-14 | 2013-08-14 | Completed | 33.33% | $20.07 | $22.50 | 12.02% | Signal | |
| 2011-04-14 | 2013-07-12 | Completed | 33.33% | $20.43 | $22.53 | 10.19% | Signal | |
| 2011-02-10 | 2011-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-02-10 | 2011-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-02-10 | 2011-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |