SPMB
SPDR Portfolio Mortgage Backed Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for SPMB (SPDR Portfolio Mortgage Backed Bond ETF) using the Excess Return MMA* 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 1.8%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 29 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for SPMB:
Excess Return MMA Active Model
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for SPMB:
🛡️ 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.
🛡️ SPMB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-12.6% (vs -18.0% B&H)
+5.4% shallower drawdown
Downside Efficiency
0.32 Sortino
+0.01 vs 0.31 B&H
Capital Sheltered from Risk
37.8% 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.
📊 SPMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -2.91% | -2.87% | -4.91% | -17.28% | -12.60% | -18.03% | -12.60% | -18.03% |
| Sharpe Ratio | 0.51 | 0.30 | 1.03 | 0.01 | 0.27 | 0.14 | 0.42 | 0.28 |
| Sortino Ratio | 0.71 | 0.48 | 1.18 | 0.01 | 0.18 | 0.16 | 0.32 | 0.31 |
| CAGR | 1.83% | 1.25% | 2.97% | 0.04% | 1.30% | 1.09% | 1.81% | 1.81% |
| % Time Invested | 84.9% | 100.0% | 42.6% | 100.0% | 51.0% | 100.0% | 62.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 2.0 | 0.0 | 1.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for SPMB... Top Diversifiers for SPMB
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 | ||||||||
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $21.25 | $21.66 | 1.87% | Signal | |
| 2025-07-25 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2025-04-23 | 2025-07-25 | Completed | 33.33% | $20.56 | $20.85 | 1.34% | Signal | |
| 2025-03-19 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2024-12-19 | 2025-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-04-23 | 2025-03-19 | Completed | 33.33% | $19.17 | $20.64 | 7.65% | Signal | |
| 2025-01-14 | 2025-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-09-12 | 2025-01-14 | Completed | 33.33% | $20.94 | $19.91 | -4.98% | Stop | |
| 2024-08-07 | 2024-12-19 | Completed | 33.33% | $20.40 | $20.10 | -1.54% | Signal | |
| 2021-12-16 | 2024-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 11.44% | Interest Income | |
| 2024-05-08 | 2024-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.32% | Interest Income | |
| 2024-01-24 | 2024-05-08 | Completed | 33.33% | $19.65 | $19.45 | -1.06% | Signal | |
| 2021-03-25 | 2024-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.22% | Interest Income | |
| 2023-05-16 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.74% | Interest Income | |
| 2023-02-10 | 2023-05-16 | Completed | 33.33% | $19.41 | $19.44 | 0.07% | Signal | |
| 2021-11-10 | 2023-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.59% | Interest Income | |
| 2020-04-06 | 2021-12-16 | Completed | 33.33% | $21.51 | $21.51 | -0.05% | Signal | |
| 2021-08-24 | 2021-11-10 | Completed | 33.33% | $21.71 | $21.64 | -0.36% | Signal | |
| 2021-03-16 | 2021-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-06 | 2021-03-25 | Completed | 33.33% | $21.51 | $21.60 | 0.39% | Signal | |
| 2021-02-05 | 2021-03-16 | Completed | 33.33% | $21.96 | $21.62 | -1.60% | Signal | |
| 2021-01-13 | 2021-02-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-12-31 | 2021-01-13 | Completed | 33.33% | $21.87 | $21.83 | -0.24% | Signal | |
| 2020-12-02 | 2020-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2020-12-02 | Completed | 33.33% | $21.51 | $21.84 | 1.48% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-07-23 | 2020-03-13 | Completed | 33.33% | $20.69 | $19.67 | -4.98% | Stop | |
| 2019-02-26 | 2020-03-13 | Completed | 33.33% | $19.96 | $19.67 | -1.52% | Stop | |
| 2019-01-22 | 2020-03-13 | Completed | 33.33% | $19.77 | $19.67 | -0.54% | Stop | |
| 2017-08-16 | 2019-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.74% | Interest Income | |
| 2018-02-20 | 2019-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.13% | Interest Income | |
| 2018-10-16 | 2019-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2018-08-24 | 2018-10-16 | Completed | 33.33% | $19.48 | $19.26 | -1.17% | Signal | |
| 2018-01-03 | 2018-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2017-08-24 | 2018-02-20 | Completed | 33.33% | $19.55 | $19.16 | -2.02% | Signal | |
| 2017-05-09 | 2018-01-03 | Completed | 33.33% | $19.34 | $19.59 | 1.25% | Signal | |
| 2017-01-30 | 2017-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2014-07-16 | 2017-08-16 | Completed | 33.33% | $18.20 | $19.49 | 7.09% | Signal | |
| 2016-12-05 | 2017-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2014-02-13 | 2017-01-30 | Completed | 33.33% | $17.89 | $19.18 | 7.16% | Signal | |
| 2015-09-29 | 2016-12-05 | Completed | 33.33% | $18.94 | $19.03 | 0.42% | Signal | |
| 2015-07-13 | 2015-09-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-11-13 | 2015-07-13 | Completed | 33.33% | $17.66 | $18.67 | 5.68% | Signal | |
| 2013-09-26 | 2014-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-03-21 | 2014-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-05-29 | 2013-11-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-01-25 | 2013-09-26 | Completed | 33.33% | $16.47 | $17.64 | 7.08% | Signal | |
| 2013-05-24 | 2013-05-29 | Completed | 33.33% | $17.71 | $17.59 | -0.75% | Signal | |
| 2012-12-31 | 2013-05-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2011-01-25 | 2013-03-21 | Completed | 33.33% | $16.47 | $17.85 | 8.32% | Signal | |
| 2011-04-21 | 2012-12-31 | Completed | 33.33% | $16.69 | $17.89 | 7.14% | Signal | |
| 2011-01-31 | 2011-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-01-25 | 2011-01-31 | Completed | 33.33% | $16.47 | $16.49 | 0.06% | Signal | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |