SPYG
SPDR Portfolio S&P 500 Growth ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPYG (SPDR Portfolio S&P 500 Growth ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -27.7% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.8%, compared to a Buy-and-Hold benchmark return of 12.6%. The strategy executed 14 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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
SPYG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.87% | 17.87% | 8.91% | 12.60% | 17.17% | 17.19% | 11.82% | 12.63% |
| Sharpe Ratio | 0.93 | 0.93 | 0.49 | 0.56 | 0.94 | 0.77 | 0.75 | 0.61 |
| Max Drawdown | -13.76% | -13.76% | -27.71% | -32.67% | -27.71% | -32.67% | -27.71% | -51.28% |
| % Time Invested | 100.0% | 100.0% | 77.6% | 100.0% | 87.5% | 100.0% | 86.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 0.8 | 0.0 | 0.6 | 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 | ||||||||
| 2025-04-01 | 2025-04-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-28 | 2025-04-01 | Completed | 100% | $79.88 | $79.46 | -0.58% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-11-08 | 2024-08-06 | Completed | 100% | $59.64 | $72.95 | 22.27% | Stop | |
| 2023-09-27 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2023-07-20 | 2023-09-27 | Completed | 100% | $61.00 | $58.13 | -4.75% | Stop | |
| 2022-11-10 | 2023-07-20 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.31% | Interest Income | |
| 2022-10-17 | 2022-11-10 | Completed | 100% | $48.72 | $50.22 | 3.04% | Signal | |
| 2022-09-23 | 2022-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-24 | 2022-09-23 | Completed | 100% | $51.66 | $50.42 | -2.45% | Stop | |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-16 | 2022-05-02 | Completed | 100% | $62.42 | $55.73 | -10.76% | Stop | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2022-01-25 | Completed | 100% | $31.17 | $60.86 | 95.18% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $31.21 | $38.07 | 21.92% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-20 | Completed | 100% | $21.51 | $30.12 | 39.93% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $11.83 | $20.72 | 75.01% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $9.73 | $11.03 | 13.39% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $8.39 | $10.08 | 20.13% | Stop | |
| 2008-09-16 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2008-02-14 | 2008-09-16 | Completed | 100% | $10.86 | $9.77 | -10.09% | Stop | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-08-19 | 2008-01-23 | Completed | 100% | $8.17 | $10.11 | 23.75% | Stop | |
| 2002-09-30 | 2003-08-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.02% | Interest Income | |