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 Moving Average (50/200)* 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 3.0%, compared to a Buy-and-Hold benchmark return of 3.2%. The strategy executed 11 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
-6.5% (vs -14.9% B&H)
+8.4% shallower drawdown
Downside Efficiency
1.15 Sortino
+0.20 vs 0.95 B&H
Capital Sheltered from Risk
21.5% 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% | -3.24% | -14.60% | -6.53% | -14.94% | -6.53% | -14.94% |
| Sharpe Ratio | 0.48 | 0.48 | 0.84 | 0.33 | 0.90 | 0.58 | 1.00 | 0.77 |
| Sortino Ratio | 0.76 | 0.76 | 1.13 | 0.51 | 0.97 | 0.69 | 1.15 | 0.95 |
| CAGR | 1.34% | 1.34% | 2.70% | 1.50% | 2.71% | 2.68% | 2.99% | 3.24% |
| % Time Invested | 100.0% | 100.0% | 73.2% | 100.0% | 73.9% | 100.0% | 78.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.6 | 0.0 | 0.7 | 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 | ||||||||
| 2023-10-05 | 2023-12-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2023-01-24 | 2023-10-05 | Completed | 100% | $27.86 | $27.43 | -1.60% | Signal | |
| 2021-11-29 | 2023-01-24 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income | |
| 2021-06-29 | 2021-11-29 | Completed | 100% | $30.18 | $29.89 | -0.99% | Signal | |
| 2021-04-07 | 2021-06-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-21 | 2021-04-07 | Completed | 100% | $28.86 | $29.89 | 3.50% | Signal | |
| 2020-04-09 | 2020-05-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-06 | 2020-04-09 | Completed | 100% | $27.36 | $28.30 | 3.37% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-08-30 | 2020-03-13 | Completed | 100% | $25.59 | $27.26 | 6.47% | Stop | |
| 2018-02-20 | 2018-08-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.00% | Interest Income | |
| 2017-04-26 | 2018-02-20 | Completed | 100% | $25.27 | $25.38 | 0.40% | Signal | |
| 2016-12-27 | 2017-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2016-03-09 | 2016-12-27 | Completed | 100% | $24.14 | $24.71 | 2.29% | Signal | |
| 2016-02-16 | 2016-03-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-02-11 | 2016-02-16 | Completed | 100% | $24.00 | $23.90 | -0.47% | Signal | |
| 2016-01-07 | 2016-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-10-29 | 2016-01-07 | Completed | 100% | $24.07 | $23.97 | -0.46% | Signal | |
| 2015-07-27 | 2015-10-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-10-25 | 2015-07-27 | Completed | 100% | $22.78 | $23.84 | 4.61% | Signal | |
| 2013-07-03 | 2013-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-02-14 | 2013-07-03 | Completed | 100% | $19.92 | $22.37 | 12.24% | Signal | |
| 2011-02-10 | 2011-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |