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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -29.9% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.2%, compared to a Buy-and-Hold benchmark return of 12.6%. The strategy executed 20 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
SPYG Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 8.96% | 17.87% | 8.09% | 12.60% | 14.41% | 17.19% | 9.21% | 12.63% |
| Sharpe Ratio | 0.50 | 0.93 | 0.54 | 0.56 | 0.90 | 0.77 | 0.67 | 0.61 |
| Max Drawdown | -13.76% | -13.76% | -21.28% | -32.67% | -21.28% | -32.67% | -29.87% | -51.28% |
| % Time Invested | 93.7% | 100.0% | 70.1% | 100.0% | 80.2% | 100.0% | 77.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.8 | 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 | ||||||||
| 2026-04-10 | 2026-05-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-06-20 | 2026-04-10 | Completed | 100% | $91.08 | $104.35 | 14.51% | Signal | |
| 2025-04-01 | 2025-06-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | 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 | |
| 2023-04-10 | 2024-08-06 | Completed | 100% | $53.84 | $72.95 | 35.43% | Stop | |
| 2022-03-09 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.29% | Interest Income | |
| 2022-02-16 | 2022-03-09 | Completed | 100% | $62.42 | $58.68 | -6.04% | Signal | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-06-03 | 2022-01-25 | Completed | 100% | $41.82 | $60.86 | 45.44% | Stop | |
| 2020-04-08 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-04-08 | Completed | 100% | $31.17 | $35.41 | 13.57% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $34.67 | $38.07 | 9.75% | Stop | |
| 2018-12-13 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2016-04-25 | 2018-12-13 | Completed | 100% | $22.46 | $32.21 | 43.32% | Signal | |
| 2016-02-01 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2015-11-30 | 2016-02-01 | Completed | 100% | $22.90 | $21.07 | -8.04% | Signal | |
| 2015-09-28 | 2015-11-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-09-17 | 2015-09-28 | Completed | 100% | $21.51 | $20.75 | -3.59% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-07 | 2015-08-25 | Completed | 100% | $12.20 | $20.72 | 69.79% | Stop | |
| 2011-09-02 | 2011-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2011-09-02 | Completed | 100% | $11.83 | $11.48 | -3.02% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-10-20 | 2011-08-09 | Completed | 100% | $10.71 | $11.03 | 2.92% | Stop | |
| 2010-07-09 | 2010-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-09 | Completed | 100% | $9.73 | $9.60 | -1.35% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-11 | 2010-05-07 | Completed | 100% | $8.25 | $10.08 | 22.16% | Stop | |
| 2008-07-14 | 2009-06-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2008-06-17 | 2008-07-14 | Completed | 100% | $11.49 | $10.31 | -10.26% | Signal | |
| 2008-01-23 | 2008-06-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2006-09-05 | 2008-01-23 | Completed | 100% | $9.80 | $10.11 | 3.17% | Stop | |
| 2006-07-06 | 2006-09-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2005-07-05 | 2006-07-06 | Completed | 100% | $9.11 | $9.62 | 5.57% | Signal | |
| 2005-05-09 | 2005-07-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2004-09-13 | 2005-05-09 | Completed | 100% | $8.80 | $8.92 | 1.32% | Signal | |
| 2004-08-10 | 2004-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-05-06 | 2004-08-10 | Completed | 100% | $7.61 | $8.36 | 9.74% | Signal | |
| 2002-09-30 | 2003-05-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.74% | Interest Income | |