SPTL
SPDR Portfolio Long Term Treasury ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPTL (SPDR Portfolio Long Term Treasury ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -27.9% (compared to the benchmark's drawdown of -46.2%). 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 15 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.
Switch to MMA to enable
SPTL Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.75% | 1.88% | -1.07% | -6.72% | -0.13% | -1.71% | 2.13% | 2.43% |
| Sharpe Ratio | 0.38 | 0.22 | -0.13 | -0.48 | -0.01 | -0.12 | 0.21 | 0.18 |
| Max Drawdown | -5.10% | -7.04% | -15.65% | -41.02% | -27.91% | -46.20% | -27.91% | -46.20% |
| % Time Invested | 69.8% | 100.0% | 45.6% | 100.0% | 52.9% | 100.0% | 57.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 0.9 | 0.0 | 0.9 | 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 | ||||||||
| 2025-08-28 | 2026-05-12 | Completed | 100% | $25.29 | $25.71 | 1.61% | Signal | |
| 2024-12-20 | 2025-08-28 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.92% | Interest Income | |
| 2024-06-27 | 2024-12-20 | Completed | 100% | $25.42 | $24.86 | -2.26% | Signal | |
| 2024-06-04 | 2024-06-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-29 | 2024-06-04 | Completed | 100% | $25.21 | $25.10 | -0.46% | Signal | |
| 2023-07-28 | 2024-01-29 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.73% | Interest Income | |
| 2023-05-03 | 2023-07-28 | Completed | 100% | $27.29 | $25.78 | -5.56% | Signal | |
| 2022-02-15 | 2023-05-03 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.66% | Interest Income | |
| 2021-08-17 | 2022-02-15 | Completed | 100% | $36.13 | $33.20 | -8.17% | Signal | |
| 2020-11-16 | 2021-08-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-04-13 | 2020-11-16 | Completed | 100% | $39.05 | $37.85 | -3.14% | Signal | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-19 | Completed | 100% | $27.59 | $34.94 | 26.57% | Stop | |
| 2018-09-28 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2018-08-21 | 2018-09-28 | Completed | 100% | $27.81 | $27.09 | -2.63% | Signal | |
| 2018-02-16 | 2018-08-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2017-06-05 | 2018-02-16 | Completed | 100% | $27.85 | $26.94 | -3.32% | Signal | |
| 2016-11-17 | 2017-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2015-11-30 | 2016-11-17 | Completed | 100% | $26.03 | $26.77 | 2.82% | Signal | |
| 2015-06-18 | 2015-11-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-03-06 | 2015-06-18 | Completed | 100% | $22.21 | $25.03 | 12.67% | Signal | |
| 2013-01-28 | 2014-03-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2011-06-15 | 2013-01-28 | Completed | 100% | $18.88 | $23.38 | 23.72% | Signal | |
| 2011-01-04 | 2011-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-05-20 | 2011-01-04 | Completed | 100% | $18.08 | $17.91 | -0.98% | Signal | |
| 2010-01-11 | 2010-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-09-30 | 2010-01-11 | Completed | 100% | $17.52 | $16.52 | -5.73% | Signal | |
| 2009-06-09 | 2009-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-05-22 | 2009-06-09 | Completed | 100% | $16.65 | $16.11 | -3.29% | Signal | |
| 2009-05-20 | 2009-05-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |