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 Moving Average (50/200)* 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 1.5%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 12 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 SPMB:
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 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.
Switch to MMA to enable
🛡️ SPMB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-12.6% (vs -18.0% B&H)
+5.4% shallower drawdown
Drawdown Shield
5.4% Cut
Protected capital vs -18.0% B&H
Capital Sheltered from Risk
29.1% 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 | -2.87% | -2.87% | -6.19% | -17.28% | -12.60% | -18.03% | -12.60% | -18.03% |
| Sharpe Ratio | 0.38 | 0.30 | 0.44 | 0.01 | 0.15 | 0.14 | 0.30 | 0.28 |
| Sortino Ratio | 0.60 | 0.48 | 0.54 | 0.01 | 0.11 | 0.16 | 0.23 | 0.31 |
| CAGR | 1.57% | 1.25% | 2.12% | 0.04% | 0.86% | 1.09% | 1.47% | 1.81% |
| % Time Invested | 97.6% | 100.0% | 63.2% | 100.0% | 65.1% | 100.0% | 70.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 | 0.8 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-09 | 2025-02-25 | Completed | 100% | $19.77 | $20.55 | 3.92% | Signal | |
| 2023-08-21 | 2024-01-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.09% | Interest Income | |
| 2023-02-07 | 2023-08-21 | Completed | 100% | $19.42 | $18.80 | -3.25% | Signal | |
| 2021-10-08 | 2023-02-07 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.54% | Interest Income | |
| 2021-09-22 | 2021-10-08 | Completed | 100% | $21.69 | $21.62 | -0.38% | Signal | |
| 2021-03-15 | 2021-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-06 | 2021-03-15 | Completed | 100% | $21.51 | $21.62 | 0.47% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-17 | 2020-03-13 | Completed | 100% | $19.62 | $19.67 | 0.21% | Stop | |
| 2018-11-12 | 2018-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2018-08-23 | 2018-11-12 | Completed | 100% | $19.48 | $19.37 | -0.65% | Signal | |
| 2018-02-07 | 2018-08-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.01% | Interest Income | |
| 2017-05-30 | 2018-02-07 | Completed | 100% | $19.47 | $19.33 | -0.80% | Signal | |
| 2016-12-12 | 2017-05-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2015-08-25 | 2016-12-12 | Completed | 100% | $18.93 | $19.07 | 0.66% | Signal | |
| 2015-07-17 | 2015-08-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-11-21 | 2015-07-17 | Completed | 100% | $17.70 | $18.73 | 5.79% | Signal | |
| 2013-01-22 | 2013-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2011-03-22 | 2013-01-22 | Completed | 100% | $16.62 | $17.82 | 7.16% | Signal | |
| 2011-02-11 | 2011-03-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-01-25 | 2011-02-11 | Completed | 100% | $16.47 | $16.25 | -1.40% | Signal | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |