SPSB
SPDR Portfolio Short Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPSB (SPDR Portfolio Short Term Corporate 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 -6.2% (compared to the benchmark's drawdown of -11.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.2%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 20 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.
SPSB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.03% | 3.68% | 3.64% | 2.75% | 2.41% | 2.60% | 2.22% | 2.37% |
| Sharpe Ratio | 3.20 | 2.64 | 2.67 | 1.36 | 1.22 | 0.84 | 1.23 | 0.88 |
| Max Drawdown | -0.87% | -0.87% | -1.56% | -5.96% | -6.17% | -11.75% | -6.17% | -11.75% |
| % Time Invested | 100.0% | 100.0% | 70.0% | 100.0% | 78.8% | 100.0% | 85.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.4 | 0.0 | 1.4 | 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 | ||||||||
| 2026-04-13 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2025-03-04 | 2026-04-13 | Completed | 33.33% | $28.30 | $29.73 | 5.00% | Signal | |
| 2025-01-08 | 2025-03-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2024-08-08 | 2025-01-08 | Completed | 33.33% | $27.34 | $27.93 | 2.09% | Signal | |
| 2024-08-02 | 2024-08-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2024-05-13 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income | |
| 2024-01-02 | 2024-05-13 | Completed | 33.33% | $26.50 | $26.82 | 1.17% | Signal | |
| 2023-06-02 | 2024-01-02 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.72% | Interest Income | |
| 2023-06-02 | 2024-01-02 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.72% | Interest Income | |
| 2023-06-02 | 2024-01-02 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.72% | Interest Income | |
| 2023-05-12 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | 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 | |
| 2023-02-17 | 2023-05-12 | Completed | 33.33% | $25.26 | $25.67 | 1.56% | 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 | 2023-02-17 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | 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 | |
| 2022-04-07 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | 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 | |
| 2020-04-08 | 2022-04-07 | Completed | 33.33% | $25.01 | $25.27 | 1.00% | Signal | |
| 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 | |
| 2021-12-21 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-11-05 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2020-04-08 | 2021-12-21 | Completed | 33.33% | $25.01 | $25.95 | 3.69% | Signal | |
| 2020-06-22 | 2021-11-05 | Completed | 33.33% | $25.68 | $26.04 | 1.32% | Signal | |
| 2020-06-02 | 2020-06-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2020-03-17 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-03-17 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2020-03-17 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2019-06-04 | 2020-03-17 | Completed | 33.33% | $24.50 | $23.91 | -2.46% | Stop | |
| 2019-02-06 | 2020-03-17 | Completed | 33.33% | $24.02 | $23.91 | -0.51% | Stop | |
| 2019-01-30 | 2020-03-17 | Completed | 33.33% | $23.97 | $23.91 | -0.31% | Stop | |
| 2019-03-04 | 2019-06-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2018-12-04 | 2019-02-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income | |
| 2018-12-04 | 2019-01-30 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2018-11-26 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | 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 | |
| 2018-08-21 | 2018-11-26 | Completed | 33.33% | $23.65 | $23.68 | 0.09% | Signal | |
| 2018-04-04 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2018-02-15 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income | |
| 2017-12-13 | 2018-08-21 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income | |
| 2011-12-27 | 2018-04-04 | Completed | 33.33% | $21.16 | $23.39 | 10.50% | Signal | |
| 2017-05-23 | 2018-02-15 | Completed | 33.33% | $23.34 | $23.41 | 0.22% | Signal | |
| 2017-03-22 | 2017-12-13 | Completed | 33.33% | $23.24 | $23.49 | 1.00% | Signal | |
| 2017-05-02 | 2017-05-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2017-04-07 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2011-12-27 | 2017-04-07 | Completed | 33.33% | $21.16 | $23.28 | 9.95% | Signal | |
| 2016-12-09 | 2017-03-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2016-04-05 | 2016-12-09 | Completed | 33.33% | $22.86 | $23.09 | 0.94% | Signal | |
| 2016-04-04 | 2016-04-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-03-03 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-10-23 | 2016-03-03 | Completed | 33.33% | $22.72 | $22.69 | -0.15% | Signal | |
| 2015-09-02 | 2015-10-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-08-21 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-10-23 | 2015-08-21 | Completed | 33.33% | $22.16 | $22.58 | 1.82% | Signal | |
| 2013-08-13 | 2013-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2012-01-27 | 2013-08-13 | Completed | 33.33% | $21.40 | $22.09 | 3.16% | Signal | |
| 2012-01-04 | 2012-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2011-12-22 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2011-12-22 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2011-12-22 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |