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 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 11 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 2.10% | 0.10% | 0.86% | 1.12% | 1.47% | 1.84% |
| Sharpe Ratio | 1.10 | 1.10 | 0.44 | 0.01 | 0.15 | 0.15 | 0.30 | 0.28 |
| Max Drawdown | -2.87% | -2.87% | -6.19% | -17.49% | -12.60% | -18.03% | -12.60% | -18.03% |
| % Time Invested | 100.0% | 100.0% | 61.1% | 100.0% | 65.3% | 100.0% | 70.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-09 | 2025-02-25 | Completed | 100% | $19.90 | $20.69 | 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% | $19.55 | $18.92 | -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% | $21.84 | $21.76 | -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% | $21.65 | $21.76 | 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% | $19.74 | $19.80 | 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% | $19.61 | $19.49 | -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% | $19.60 | $19.45 | -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% | $19.06 | $19.19 | 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% | $17.81 | $18.85 | 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% | $16.73 | $17.94 | 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% | $16.58 | $16.35 | -1.40% | Signal | |
| 2011-01-21 | 2011-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |