SPYM SPDR Portfolio S&P 500 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPYM (SPDR Portfolio S&P 500 ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.1% (compared to the benchmark's drawdown of -53.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.0%, compared to a Buy-and-Hold benchmark return of 11.3%. The strategy executed 41 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.
SPYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.38% | 29.81% | 10.55% | 14.15% | 14.91% | 15.69% | 11.96% | 11.34% |
| Sharpe Ratio | 1.91 | 2.22 | 0.86 | 0.79 | 1.10 | 0.81 | 0.93 | 0.57 |
| Max Drawdown | -8.90% | -8.90% | -17.60% | -24.48% | -17.60% | -33.87% | -20.06% | -53.40% |
| % Time Invested | 100.0% | 100.0% | 92.5% | 100.0% | 95.3% | 100.0% | 92.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 1.9 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-13 | Open | Open | 33.33% | $86.93 | $89.05 | 2.44% | Mark-to-Market |
| 2025-09-10 | Open | Open | 33.33% | $76.26 | $89.05 | 16.77% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $63.67 | $89.05 | 39.87% | Mark-to-Market |
| 2026-05-04 | 2026-05-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2026-04-07 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $65.16 | $77.27 | 18.58% | Signal |
| 2025-07-17 | 2025-09-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2025-04-30 | 2025-07-17 | Completed | 33.33% | $63.67 | $72.83 | 14.39% | Signal |
| 2025-03-28 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $49.81 | $56.86 | 14.14% | Stop |
| 2023-04-19 | 2025-04-07 | Completed | 33.33% | $46.58 | $56.86 | 22.07% | Stop |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $53.56 | $65.74 | 22.74% | Signal |
| 2023-11-03 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-01-27 | 2023-11-03 | Completed | 33.33% | $45.42 | $49.31 | 8.55% | Signal |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 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 | 2023-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2022-11-18 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.12% | 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 |
| 2022-10-25 | 2022-11-18 | Completed | 33.33% | $42.44 | $44.54 | 4.96% | Signal |
| 2022-10-04 | 2022-10-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-10-03 | 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 |
| 2022-06-02 | 2022-10-03 | Completed | 33.33% | $45.47 | $40.44 | -11.04% | Stop |
| 2022-05-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-10 | 2022-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $49.33 | $44.94 | -8.90% | Stop |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $26.72 | $44.94 | 68.21% | Stop |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $36.46 | $47.57 | 30.46% | Stop |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $32.83 | $47.57 | 44.92% | Stop |
| 2020-06-29 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-24 | 2020-06-29 | Completed | 33.33% | $25.22 | $32.60 | 29.24% | Signal |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-04-09 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-04-09 | Completed | 33.33% | $25.22 | $29.88 | 18.47% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $27.33 | $30.48 | 11.54% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-17 | 2020-03-02 | Completed | 33.33% | $30.59 | $31.92 | 4.35% | Stop |
| 2019-03-27 | 2020-03-02 | Completed | 33.33% | $29.65 | $31.92 | 7.66% | Stop |
| 2019-03-04 | 2019-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.04% | Interest Income |
| 2019-03-04 | 2019-03-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2019-02-11 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-11 | 2019-02-11 | Completed | 33.33% | $27.01 | $28.52 | 5.59% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2011-08-31 | 2018-12-21 | Completed | 33.33% | $11.08 | $25.73 | 132.25% | Stop |
| 2016-03-07 | 2018-12-18 | Completed | 33.33% | $19.66 | $26.69 | 35.75% | Stop |
| 2018-12-03 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2018-07-09 | 2018-12-03 | Completed | 33.33% | $28.75 | $29.08 | 1.14% | Signal |
| 2018-05-21 | 2018-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2016-04-29 | 2018-05-21 | Completed | 33.33% | $20.49 | $28.21 | 37.69% | Signal |
| 2016-04-04 | 2016-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-17 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-21 | 2016-02-17 | Completed | 33.33% | $19.84 | $18.70 | -5.74% | Signal |
| 2015-11-06 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2015-11-03 | 2015-12-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-09-17 | 2015-11-06 | Completed | 33.33% | $19.69 | $20.63 | 4.81% | Signal |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $13.00 | $19.21 | 47.80% | Stop |
| 2012-03-09 | 2015-08-25 | Completed | 33.33% | $12.54 | $19.21 | 53.22% | Stop |
| 2012-07-11 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2011-12-23 | 2012-07-11 | Completed | 33.33% | $11.47 | $12.32 | 7.47% | Signal |
| 2012-01-04 | 2012-03-09 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2011-10-17 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-05 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-30 | 2011-10-17 | Completed | 33.33% | $10.94 | $11.04 | 0.92% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $9.55 | $10.31 | 7.97% | Stop |
| 2010-11-19 | 2011-08-08 | Completed | 33.33% | $10.66 | $10.53 | -1.25% | Stop |
| 2010-10-08 | 2011-08-05 | Completed | 33.33% | $10.32 | $10.97 | 6.36% | Signal |
| 2010-11-02 | 2010-11-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-10-14 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2010-06-01 | 2010-10-14 | Completed | 33.33% | $9.55 | $10.46 | 9.63% | Signal |
| 2010-09-02 | 2010-10-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-16 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-06-01 | 2010-07-16 | Completed | 33.33% | $9.55 | $9.57 | 0.23% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-08-28 | 2010-05-07 | Completed | 33.33% | $8.99 | $9.88 | 9.84% | Stop |
| 2009-08-17 | 2010-05-07 | Completed | 33.33% | $8.51 | $9.88 | 16.02% | Stop |
| 2009-05-28 | 2010-05-07 | Completed | 33.33% | $7.76 | $9.88 | 27.21% | Stop |
| 2009-07-02 | 2009-08-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-07-02 | 2009-08-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-05-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-08-01 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2008-08-01 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-07-30 | 2008-08-01 | Completed | 33.33% | $10.70 | $10.58 | -1.08% | Signal |
| 2008-06-12 | 2008-08-01 | Completed | 33.33% | $11.32 | $10.58 | -6.52% | Signal |
| 2008-07-08 | 2008-07-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2007-11-12 | 2008-07-08 | Completed | 33.33% | $11.96 | $10.54 | -11.84% | Stop |
| 2008-06-03 | 2008-06-12 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2008-01-11 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2008-01-08 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2007-11-12 | 2008-01-11 | Completed | 33.33% | $11.96 | $11.62 | -2.85% | Signal |
| 2007-11-30 | 2008-01-08 | Completed | 33.33% | $12.31 | $11.68 | -5.08% | Signal |
| 2007-11-08 | 2007-11-30 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2007-11-08 | 2007-11-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2007-11-08 | 2007-11-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |