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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.4% (compared to the benchmark's drawdown of -14.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 3 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.
Switch to MMA to enable
SPIB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.45% | 3.45% | 1.92% | 1.52% | 2.57% | 2.67% | 3.22% | 3.26% |
| Sharpe Ratio | 1.19 | 1.19 | 0.75 | 0.34 | 0.91 | 0.57 | 1.08 | 0.77 |
| Max Drawdown | -2.02% | -2.02% | -8.45% | -14.79% | -8.45% | -14.94% | -8.45% | -14.94% |
| % Time Invested | 100.0% | 100.0% | 54.0% | 100.0% | 70.0% | 100.0% | 80.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.2 | 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 | ||||||||
| 2022-04-18 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.72% | Interest Income | |
| 2020-04-06 | 2022-04-18 | Completed | 100% | $27.58 | $28.21 | 2.24% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-13 | 2020-03-13 | Completed | 100% | $26.62 | $27.47 | 3.16% | Stop | |
| 2018-07-19 | 2019-03-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.47% | Interest Income | |
| 2011-02-14 | 2018-07-19 | Completed | 100% | $20.07 | $25.63 | 27.62% | Signal | |
| 2011-02-10 | 2011-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |