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 SMA* 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 1.6%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 5 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.
📊 Mathematical Model
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
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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SPMB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.73% | 4.73% | 2.21% | 0.10% | 1.07% | 1.12% | 1.58% | 1.84% |
| Sharpe Ratio | 1.10 | 1.10 | 0.75 | 0.01 | 0.21 | 0.15 | 0.35 | 0.28 |
| Max Drawdown | -2.87% | -2.87% | -5.83% | -17.49% | -12.60% | -18.03% | -12.60% | -18.03% |
| % Time Invested | 100.0% | 100.0% | 42.3% | 100.0% | 52.0% | 100.0% | 64.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 | 0.3 | 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 | ||||||||
| 2025-01-14 | 2025-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2024-09-12 | 2025-01-14 | Completed | 100% | $21.08 | $20.04 | -4.98% | Stop | |
| 2022-01-03 | 2024-09-12 | Interest (CASH) | 100% | $1.00 | $1.11 | 11.44% | Interest Income | |
| 2020-04-06 | 2022-01-03 | Completed | 100% | $21.65 | $21.65 | -0.03% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-07-31 | 2020-03-13 | Completed | 100% | $20.79 | $19.80 | -4.84% | Stop | |
| 2017-09-21 | 2019-07-31 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.69% | Interest Income | |
| 2014-07-24 | 2017-09-21 | Completed | 100% | $18.35 | $19.68 | 7.21% | Signal | |
| 2013-10-10 | 2014-07-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-01-25 | 2013-10-10 | Completed | 100% | $16.58 | $17.77 | 7.12% | Signal | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |