SPSB

SPDR Portfolio Short Term Corporate Bond ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-10

Executive Summary

The quantitative backtest for SPSB (SPDR Portfolio Short Term Corporate Bond ETF) using the Excess Return MMA* 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 2.1%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 20 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for SPSB:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for SPSB:

🛡️ 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.

🛡️ SPSB Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-6.2% (vs -11.8% B&H)

+5.6% shallower drawdown

Downside Efficiency

0.91 Sortino

+0.08 vs 0.83 B&H

Capital Sheltered from Risk

25.0% 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.

📊 SPSB Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-0.87%	-0.87%	-1.51%	-5.96%	-6.17%	-11.75%	-6.17%	-11.75%
Sharpe Ratio	2.92	2.01	3.29	1.36	1.24	0.84	1.22	0.88
Sortino Ratio	3.57	2.86	3.84	2.04	0.80	0.76	0.91	0.83
CAGR	3.13%	2.66%	3.63%	2.76%	2.34%	2.62%	2.13%	2.37%
% Time Invested	78.8%	100.0%	55.3%	100.0%	65.1%	100.0%	75.0%	100.0%
Trades / Year	0.0	0.0	1.0	0.0	1.4	0.0	1.4	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of SPSB under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 2.1% CAGR with a -6.2% Max Drawdown across 20 trade signals (compared to Buy & Hold's 2.4% CAGR and -11.8% Max Drawdown).

Histogram of monthly return distribution for SPSB under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **SPSB** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for SPSB

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
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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
2024-01-02	2026-06-24	Completed	33.33%	$26.31	$29.66	12.68%	Signal
2025-03-04	2026-04-13	Completed	33.33%	$28.09	$29.51	5.00%	Signal
2025-01-08	2025-03-04	Interest (CASH)	33.33%	$1.00	$1.01	0.61%	Interest Income
2024-08-08	2025-01-08	Completed	33.33%	$27.14	$27.72	2.09%	Signal
2024-05-13	2024-08-08	Interest (CASH)	33.33%	$1.00	$1.01	1.27%	Interest Income
2024-01-02	2024-05-13	Completed	33.33%	$26.31	$26.63	1.17%	Signal
2023-05-12	2024-01-02	Interest (CASH)	33.33%	$1.00	$1.03	3.46%	Interest Income
2022-04-07	2024-01-02	Interest (CASH)	33.33%	$1.00	$1.07	7.33%	Interest Income
2021-12-21	2024-01-02	Interest (CASH)	33.33%	$1.00	$1.07	7.43%	Interest Income
2023-02-17	2023-05-12	Completed	33.33%	$25.07	$25.48	1.56%	Signal
2021-11-05	2023-02-17	Interest (CASH)	33.33%	$1.00	$1.03	2.69%	Interest Income
2020-04-08	2022-04-07	Completed	33.33%	$24.83	$25.09	1.00%	Signal
2020-04-08	2021-12-21	Completed	33.33%	$24.83	$25.76	3.69%	Signal
2020-06-22	2021-11-05	Completed	33.33%	$25.50	$25.85	1.32%	Signal
2020-03-17	2020-06-22	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2020-03-17	2020-04-08	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2020-03-17	2020-04-08	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2019-06-04	2020-03-17	Completed	33.33%	$24.32	$23.73	-2.46%	Stop
2019-02-06	2020-03-17	Completed	33.33%	$23.84	$23.73	-0.51%	Stop
2019-01-30	2020-03-17	Completed	33.33%	$23.79	$23.73	-0.31%	Stop
2018-04-04	2019-06-04	Interest (CASH)	33.33%	$1.00	$1.03	2.59%	Interest Income
2018-11-26	2019-02-06	Interest (CASH)	33.33%	$1.00	$1.00	0.46%	Interest Income
2018-02-15	2019-01-30	Interest (CASH)	33.33%	$1.00	$1.02	1.97%	Interest Income
2018-08-21	2018-11-26	Completed	33.33%	$23.48	$23.51	0.09%	Signal
2017-12-13	2018-08-21	Interest (CASH)	33.33%	$1.00	$1.01	1.20%	Interest Income
2011-12-27	2018-04-04	Completed	33.33%	$21.01	$23.22	10.50%	Signal
2017-05-23	2018-02-15	Completed	33.33%	$23.17	$23.23	0.22%	Signal
2017-03-22	2017-12-13	Completed	33.33%	$23.07	$23.32	1.00%	Signal
2017-04-07	2017-05-23	Interest (CASH)	33.33%	$1.00	$1.00	0.10%	Interest Income
2011-12-27	2017-04-07	Completed	33.33%	$21.01	$23.11	9.95%	Signal
2016-12-09	2017-03-22	Interest (CASH)	33.33%	$1.00	$1.00	0.16%	Interest Income
2016-04-05	2016-12-09	Completed	33.33%	$22.70	$22.92	0.94%	Signal
2016-03-03	2016-04-05	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2015-10-23	2016-03-03	Completed	33.33%	$22.55	$22.53	-0.15%	Signal
2015-08-21	2015-10-23	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2013-10-23	2015-08-21	Completed	33.33%	$22.00	$22.41	1.82%	Signal
2013-08-13	2013-10-23	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2012-01-27	2013-08-13	Completed	33.33%	$21.25	$21.93	3.16%	Signal
2011-12-22	2012-01-27	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-12-22	2011-12-27	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-12-22	2011-12-27	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where SPSB ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with SPSB → ⚖️ Compare SPSB vs Non-Correlated Assets →