SPMB
SPDR Portfolio Mortgage Backed Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPMB (SPDR Portfolio Mortgage Backed 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 -12.6% (compared to the benchmark's drawdown of -18.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 29 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.
SPMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.32% | 4.73% | 3.06% | 0.10% | 1.43% | 1.12% | 1.91% | 1.84% |
| Sharpe Ratio | 1.11 | 1.10 | 1.02 | 0.01 | 0.29 | 0.15 | 0.44 | 0.28 |
| Max Drawdown | -2.92% | -2.87% | -4.84% | -17.49% | -12.60% | -18.03% | -12.60% | -18.03% |
| % Time Invested | 100.0% | 100.0% | 63.2% | 100.0% | 73.2% | 100.0% | 81.8% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 1.9 | 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 | ||||||||
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $21.39 | $21.80 | 1.87% | Signal | |
| 2025-07-25 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2025-04-23 | 2025-07-25 | Completed | 33.33% | $20.70 | $20.99 | 1.34% | Signal | |
| 2025-03-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-12-19 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income | |
| 2024-04-23 | 2025-03-19 | Completed | 33.33% | $19.29 | $20.78 | 7.65% | Signal | |
| 2025-01-14 | 2025-02-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2024-09-12 | 2025-01-14 | Completed | 33.33% | $21.08 | $20.04 | -4.98% | Stop | |
| 2024-08-07 | 2024-12-19 | Completed | 33.33% | $20.53 | $20.23 | -1.54% | Signal | |
| 2024-08-02 | 2024-09-12 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2024-08-02 | 2024-08-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2024-05-08 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income | |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income | |
| 2024-01-24 | 2024-05-08 | Completed | 33.33% | $19.78 | $19.58 | -1.06% | Signal | |
| 2023-06-02 | 2024-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income | |
| 2023-06-02 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income | |
| 2023-05-16 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | 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 | |
| 2023-02-10 | 2023-05-16 | Completed | 33.33% | $19.54 | $19.56 | 0.07% | 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 | 2023-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.59% | 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 | |
| 2022-03-02 | 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 | |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-16 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2021-11-10 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income | |
| 2020-04-06 | 2021-12-16 | Completed | 33.33% | $21.65 | $21.65 | -0.05% | Signal | |
| 2021-08-24 | 2021-11-10 | Completed | 33.33% | $21.85 | $21.78 | -0.36% | Signal | |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2021-08-03 | 2021-08-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-03-25 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income | |
| 2021-03-16 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income | |
| 2020-04-06 | 2021-03-25 | Completed | 33.33% | $21.65 | $21.74 | 0.39% | Signal | |
| 2021-02-05 | 2021-03-16 | Completed | 33.33% | $22.10 | $21.76 | -1.60% | Signal | |
| 2021-01-13 | 2021-02-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2020-12-31 | 2021-01-13 | Completed | 33.33% | $22.01 | $21.97 | -0.24% | Signal | |
| 2020-12-02 | 2020-12-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-06 | 2020-12-02 | Completed | 33.33% | $21.65 | $21.98 | 1.48% | Signal | |
| 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 | |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-07-23 | 2020-03-13 | Completed | 33.33% | $20.82 | $19.80 | -4.98% | Stop | |
| 2019-02-26 | 2020-03-13 | Completed | 33.33% | $20.09 | $19.80 | -1.52% | Stop | |
| 2019-01-22 | 2020-03-13 | Completed | 33.33% | $19.89 | $19.80 | -0.54% | Stop | |
| 2019-03-04 | 2019-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2018-12-04 | 2019-02-26 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2018-12-04 | 2019-01-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.35% | 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 | |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2018-10-16 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-02-20 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2017-08-16 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.50% | Interest Income | |
| 2018-08-24 | 2018-10-16 | Completed | 33.33% | $19.61 | $19.39 | -1.17% | Signal | |
| 2018-01-03 | 2018-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.53% | Interest Income | |
| 2017-08-24 | 2018-02-20 | Completed | 33.33% | $19.67 | $19.29 | -2.02% | Signal | |
| 2017-05-09 | 2018-01-03 | Completed | 33.33% | $19.47 | $19.72 | 1.25% | Signal | |
| 2017-05-02 | 2017-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2014-07-16 | 2017-08-16 | Completed | 33.33% | $18.32 | $19.62 | 7.09% | Signal | |
| 2017-05-02 | 2017-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income | |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2017-01-30 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2016-12-05 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2014-02-13 | 2017-01-30 | Completed | 33.33% | $18.01 | $19.31 | 7.16% | Signal | |
| 2015-09-29 | 2016-12-05 | Completed | 33.33% | $19.07 | $19.16 | 0.42% | Signal | |
| 2015-09-02 | 2015-09-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-07-13 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2013-11-13 | 2015-07-13 | Completed | 33.33% | $17.77 | $18.79 | 5.68% | Signal | |
| 2014-05-02 | 2014-07-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2014-04-02 | 2014-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income | |
| 2014-02-04 | 2014-02-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income | |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income | |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income | |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2013-09-26 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2013-08-02 | 2013-11-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2011-01-25 | 2013-09-26 | Completed | 33.33% | $16.58 | $17.76 | 7.08% | Signal | |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-05-29 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.16% | Interest Income | |
| 2013-03-21 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-05-24 | 2013-05-29 | Completed | 33.33% | $17.83 | $17.70 | -0.75% | Signal | |
| 2013-01-03 | 2013-05-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2011-01-25 | 2013-03-21 | Completed | 33.33% | $16.58 | $17.96 | 8.32% | Signal | |
| 2012-12-31 | 2013-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-04-21 | 2012-12-31 | Completed | 33.33% | $16.80 | $18.01 | 7.14% | Signal | |
| 2011-04-04 | 2011-04-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-03-02 | 2011-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-31 | 2011-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income | |
| 2011-01-25 | 2011-01-31 | Completed | 33.33% | $16.58 | $16.59 | 0.06% | Signal | |
| 2011-01-21 | 2011-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-01-21 | 2011-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-01-21 | 2011-01-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |