SPYV SPDR Portfolio S&P 500 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SPYV (SPDR Portfolio S&P 500 Value ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.0% (compared to the benchmark's drawdown of -58.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.9%, compared to a Buy-and-Hold benchmark return of 9.8%. The strategy executed 51 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.
SPYV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.33% | 22.70% | 7.63% | 10.91% | 11.17% | 11.95% | 9.88% | 9.78% |
| Sharpe Ratio | 1.80 | 2.09 | 0.68 | 0.72 | 0.91 | 0.67 | 0.84 | 0.51 |
| Max Drawdown | -6.22% | -6.22% | -12.67% | -17.89% | -14.85% | -36.89% | -16.97% | -58.45% |
| % Time Invested | 100.0% | 100.0% | 97.4% | 100.0% | 97.7% | 100.0% | 92.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-08 | Open | Open | 33.33% | $55.26 | $61.05 | 10.48% | Mark-to-Market |
| 2025-07-23 | Open | Open | 33.33% | $52.76 | $61.05 | 15.71% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $48.50 | $61.05 | 25.88% | Mark-to-Market |
| 2025-06-03 | 2025-10-08 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.94% | Interest Income |
| 2025-06-03 | 2025-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2025-05-14 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-05-14 | Completed | 33.33% | $47.96 | $49.87 | 3.99% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-02-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-04-04 | 2025-04-08 | Completed | 33.33% | $38.40 | $46.30 | 20.58% | Stop |
| 2023-03-16 | 2025-04-07 | Completed | 33.33% | $36.33 | $44.24 | 21.77% | Stop |
| 2024-01-04 | 2025-02-19 | Completed | 33.33% | $44.53 | $51.72 | 16.13% | Signal |
| 2023-10-30 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income |
| 2023-06-14 | 2023-10-30 | Completed | 33.33% | $40.25 | $37.90 | -5.83% | Signal |
| 2023-06-02 | 2023-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-12-28 | 2023-05-17 | Completed | 33.33% | $36.39 | $38.18 | 4.91% | Signal |
| 2022-12-23 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.54% | Interest Income |
| 2022-12-02 | 2023-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2022-12-02 | 2022-12-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2022-07-14 | 2022-12-23 | Completed | 33.33% | $33.44 | $36.06 | 7.83% | Signal |
| 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 |
| 2022-09-02 | 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 |
| 2022-06-14 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2022-05-09 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-06-21 | 2022-07-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-02-10 | 2022-06-21 | Completed | 33.33% | $32.16 | $33.54 | 4.29% | Stop |
| 2020-10-30 | 2022-06-14 | Completed | 33.33% | $26.29 | $34.31 | 30.49% | Stop |
| 2020-07-13 | 2022-05-09 | Completed | 33.33% | $25.96 | $36.29 | 39.78% | Signal |
| 2021-01-15 | 2021-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-04-01 | 2021-01-15 | Completed | 33.33% | $21.90 | $31.58 | 44.24% | Signal |
| 2020-06-02 | 2020-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-06-12 | 2020-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $27.85 | $26.17 | -6.03% | Stop |
| 2020-06-02 | 2020-06-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2020-05-21 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-31 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-05-21 | Completed | 33.33% | $20.46 | $24.95 | 21.96% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2020-03-31 | Completed | 33.33% | $20.46 | $23.00 | 12.46% | Signal |
| 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% | $24.05 | $25.68 | 6.81% | 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 |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $26.28 | $26.95 | 2.54% | Stop |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $25.65 | $26.95 | 5.07% | Stop |
| 2019-03-04 | 2019-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2019-03-04 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-01-25 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2018-12-10 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2019-01-15 | 2019-01-25 | Completed | 33.33% | $23.83 | $24.62 | 3.28% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-20 | 2019-01-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2016-09-22 | 2018-12-21 | Completed | 33.33% | $20.55 | $22.75 | 10.73% | Stop |
| 2018-09-25 | 2018-12-20 | Completed | 33.33% | $26.55 | $22.90 | -13.74% | Stop |
| 2018-07-31 | 2018-12-10 | Completed | 33.33% | $25.79 | $24.35 | -5.57% | Signal |
| 2018-08-31 | 2018-09-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2016-06-13 | 2018-08-31 | Completed | 33.33% | $19.71 | $26.11 | 32.46% | Signal |
| 2018-04-27 | 2018-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2016-04-26 | 2018-04-27 | Completed | 33.33% | $19.72 | $24.71 | 25.33% | Signal |
| 2016-04-20 | 2016-09-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2016-04-04 | 2016-06-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2016-04-04 | 2016-04-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2015-09-17 | 2016-04-20 | Completed | 33.33% | $18.33 | $19.74 | 7.68% | Signal |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | 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 |
| 2016-02-12 | 2016-02-17 | Completed | 33.33% | $17.12 | $17.76 | 3.76% | Signal |
| 2016-02-02 | 2016-02-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-01-21 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-09 | 2016-01-21 | Completed | 33.33% | $18.71 | $17.03 | -8.97% | Stop |
| 2015-10-05 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2015-09-02 | 2015-10-09 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-09-17 | 2015-10-05 | Completed | 33.33% | $18.33 | $18.08 | -1.33% | Signal |
| 2015-09-02 | 2015-09-17 | 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 |
| 2015-08-21 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-03-15 | 2015-08-25 | Completed | 33.33% | $12.55 | $17.87 | 42.35% | Stop |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $10.54 | $17.87 | 69.52% | Stop |
| 2012-09-04 | 2015-08-21 | Completed | 33.33% | $12.53 | $18.63 | 48.66% | Signal |
| 2012-07-03 | 2012-09-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income |
| 2011-12-23 | 2012-07-03 | Completed | 33.33% | $11.22 | $12.19 | 8.71% | Signal |
| 2012-01-04 | 2012-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | 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 |
| 2011-10-04 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-02 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $10.52 | $9.48 | -9.89% | Signal |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $9.71 | $10.24 | 5.43% | Stop |
| 2010-11-17 | 2011-08-05 | Completed | 33.33% | $10.54 | $10.73 | 1.75% | Stop |
| 2011-07-18 | 2011-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2010-10-07 | 2011-07-18 | Completed | 33.33% | $10.48 | $11.61 | 10.79% | Signal |
| 2010-11-02 | 2010-11-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-10-19 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-06-01 | 2010-10-19 | Completed | 33.33% | $9.71 | $10.48 | 7.89% | Signal |
| 2010-09-02 | 2010-10-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-07-20 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2010-07-20 | Completed | 33.33% | $9.71 | $9.50 | -2.26% | 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 |
| 2009-09-15 | 2010-05-07 | Completed | 33.33% | $9.28 | $9.98 | 7.60% | Stop |
| 2009-08-25 | 2010-05-07 | Completed | 33.33% | $9.16 | $9.98 | 8.96% | Stop |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $8.33 | $9.98 | 19.84% | Stop |
| 2009-07-02 | 2009-09-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | 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 | 2009-06-02 | 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 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | 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 |
| 2008-07-02 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-02-13 | 2008-07-02 | Completed | 33.33% | $12.26 | $11.26 | -8.17% | Signal |
| 2007-12-13 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2007-09-12 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.03 | 2.78% | Interest Income |
| 2008-01-22 | 2008-02-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2003-03-24 | 2008-01-22 | Completed | 33.33% | $6.86 | $11.49 | 67.49% | Stop |
| 2003-03-24 | 2007-12-13 | Completed | 33.33% | $6.86 | $13.22 | 92.64% | Signal |
| 2006-09-12 | 2007-09-12 | Completed | 33.33% | $11.72 | $13.32 | 13.67% | Signal |
| 2006-07-24 | 2006-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2006-01-05 | 2006-07-24 | Completed | 33.33% | $10.80 | $11.16 | 3.30% | Signal |
| 2005-12-12 | 2006-01-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2005-12-01 | 2005-12-12 | Completed | 33.33% | $10.66 | $10.66 | 0.00% | Signal |
| 2005-11-07 | 2005-12-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2005-07-19 | 2005-11-07 | Completed | 33.33% | $10.28 | $10.32 | 0.35% | Signal |
| 2005-05-31 | 2005-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2004-08-26 | 2005-05-31 | Completed | 33.33% | $9.15 | $10.05 | 9.79% | Signal |
| 2004-06-07 | 2004-08-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2003-05-28 | 2004-06-07 | Completed | 33.33% | $7.70 | $9.02 | 17.11% | Signal |
| 2003-03-28 | 2003-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2003-03-11 | 2003-03-28 | Completed | 33.33% | $6.46 | $6.83 | 5.80% | Signal |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2003-02-14 | 2003-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2002-12-27 | 2003-02-14 | Completed | 33.33% | $7.10 | $6.63 | -6.63% | Stop |
| 2002-09-30 | 2002-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |