SPSB SPDR Portfolio Short Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
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 2.3%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 19 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 | 4.64% | 4.59% | 3.59% | 2.72% | 2.51% | 2.67% | 2.27% | 2.39% |
| Sharpe Ratio | 3.55 | 3.40 | 2.64 | 1.36 | 1.26 | 0.86 | 1.24 | 0.88 |
| Max Drawdown | -0.87% | -0.87% | -1.53% | -5.96% | -6.17% | -11.75% | -6.17% | -11.75% |
| % Time Invested | 100.0% | 100.0% | 70.0% | 100.0% | 78.8% | 100.0% | 85.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 1.3 | 0.0 | 1.3 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2024-01-02 | Open | Open | 33.33% | $26.69 | $30.07 | 12.67% | Mark-to-Market |
| 2024-01-02 | Open | Open | 33.33% | $26.69 | $30.07 | 12.67% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 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% | $28.50 | $29.94 | 5.05% | 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% | $27.54 | $28.13 | 2.14% | 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% | $26.69 | $27.01 | 1.22% | 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% | $25.44 | $25.85 | 1.61% | 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% | $25.19 | $25.46 | 1.05% | 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% | $25.19 | $26.13 | 3.74% | Signal |
| 2020-06-22 | 2021-11-05 | Completed | 33.33% | $25.87 | $26.22 | 1.37% | 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% | $24.68 | $24.08 | -2.42% | Stop |
| 2019-02-06 | 2020-03-17 | Completed | 33.33% | $24.19 | $24.08 | -0.46% | Stop |
| 2019-01-30 | 2020-03-17 | Completed | 33.33% | $24.14 | $24.08 | -0.26% | 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% | $23.82 | $23.85 | 0.14% | 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% | $21.31 | $23.56 | 10.56% | Signal |
| 2017-05-23 | 2018-02-15 | Completed | 33.33% | $23.51 | $23.57 | 0.27% | Signal |
| 2017-03-22 | 2017-12-13 | Completed | 33.33% | $23.41 | $23.66 | 1.05% | 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% | $21.31 | $23.44 | 10.00% | 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% | $23.03 | $23.26 | 0.99% | 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% | $22.88 | $22.86 | -0.10% | 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% | $22.32 | $22.74 | 1.87% | 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% | $21.56 | $22.25 | 3.21% | 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 |