SPMB SPDR Portfolio Mortgage Backed Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
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 2.0%, compared to a Buy-and-Hold benchmark return of 1.9%. The strategy executed 28 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 | 5.91% | 7.02% | 3.21% | 0.38% | 1.61% | 1.30% | 2.02% | 1.93% |
| Sharpe Ratio | 1.41 | 1.59 | 1.08 | 0.06 | 0.33 | 0.17 | 0.46 | 0.29 |
| Max Drawdown | -2.90% | -2.87% | -4.82% | -17.49% | -12.60% | -18.03% | -12.60% | -18.03% |
| % Time Invested | 100.0% | 100.0% | 63.2% | 100.0% | 73.2% | 100.0% | 81.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 1.9 | 0.0 | 1.8 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 33.33% | $21.14 | $22.33 | 5.60% | Mark-to-Market |
| 2025-02-06 | Open | Open | 33.33% | $20.67 | $22.33 | 8.05% | Mark-to-Market |
| 2026-05-19 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $21.53 | $21.94 | 1.92% | 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% | $20.83 | $21.12 | 1.39% | 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% | $19.41 | $20.91 | 7.70% | 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% | $21.21 | $20.17 | -4.93% | Stop |
| 2024-08-07 | 2024-12-19 | Completed | 33.33% | $20.66 | $20.36 | -1.49% | 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% | $19.90 | $19.70 | -1.01% | 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% | $19.66 | $19.69 | 0.12% | 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% | $21.79 | $21.79 | 0.00% | Signal |
| 2021-08-24 | 2021-11-10 | Completed | 33.33% | $21.99 | $21.92 | -0.31% | 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% | $21.79 | $21.88 | 0.44% | Signal |
| 2021-02-05 | 2021-03-16 | Completed | 33.33% | $22.24 | $21.90 | -1.55% | 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% | $22.15 | $22.11 | -0.19% | 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% | $21.79 | $22.12 | 1.53% | 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% | $20.96 | $19.92 | -4.94% | Stop |
| 2019-02-26 | 2020-03-13 | Completed | 33.33% | $20.22 | $19.92 | -1.47% | Stop |
| 2019-01-22 | 2020-03-13 | Completed | 33.33% | $20.02 | $19.92 | -0.49% | 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% | $19.73 | $19.51 | -1.12% | 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% | $19.80 | $19.41 | -1.97% | Signal |
| 2017-05-09 | 2018-01-03 | Completed | 33.33% | $19.59 | $19.84 | 1.30% | 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% | $18.43 | $19.75 | 7.14% | 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% | $18.12 | $19.43 | 7.21% | Signal |
| 2015-09-29 | 2016-12-05 | Completed | 33.33% | $19.19 | $19.28 | 0.47% | 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% | $17.89 | $18.91 | 5.73% | 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% | $16.68 | $17.87 | 7.13% | 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% | $17.94 | $17.82 | -0.70% | 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% | $16.68 | $18.08 | 8.37% | 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% | $16.91 | $18.12 | 7.19% | 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% | $16.68 | $16.70 | 0.11% | 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 |