SPIB
SPDR Portfolio Intermediate Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
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 3.2%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for SPIB:
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 Model
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.
🎯 Trading Horizon
Select risk profile & execution style for SPIB:
🛡️ Long-Term Investing Active Horizon
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 Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-8.4% (vs -14.9% B&H)
+6.5% shallower drawdown
Downside Efficiency
1.23 Sortino
+0.28 vs 0.95 B&H
Capital Sheltered from Risk
19.3% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 SPIB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -2.02% | -2.02% | -8.24% | -14.60% | -8.45% | -14.94% | -8.45% | -14.94% |
| Sharpe Ratio | 0.48 | 0.48 | 0.74 | 0.33 | 0.92 | 0.58 | 1.07 | 0.77 |
| Sortino Ratio | 0.76 | 0.76 | 0.76 | 0.51 | 0.92 | 0.69 | 1.23 | 0.95 |
| CAGR | 1.34% | 1.34% | 1.90% | 1.50% | 2.59% | 2.68% | 3.20% | 3.24% |
| % Time Invested | 100.0% | 100.0% | 54.0% | 100.0% | 70.0% | 100.0% | 80.7% | 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
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Loading Top Diversifiers for SPIB... Top Diversifiers for SPIB
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe 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% | $27.36 | $27.99 | 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% | $26.41 | $27.26 | 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% | $19.92 | $25.43 | 27.62% | Signal | |
| 2011-02-10 | 2011-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |