SPYV
SPDR Portfolio S&P 500 Value ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPYV (SPDR Portfolio S&P 500 Value ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.2% (compared to the benchmark's drawdown of -58.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.8%, compared to a Buy-and-Hold benchmark return of 9.8%. The strategy executed 12 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.
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SPYV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 17.71% | 17.71% | 9.10% | 11.53% | 12.89% | 11.77% | 10.80% | 9.80% |
| Sharpe Ratio | 1.65 | 1.65 | 0.67 | 0.77 | 0.87 | 0.66 | 0.76 | 0.51 |
| Max Drawdown | -6.22% | -6.22% | -19.24% | -17.89% | -19.24% | -36.89% | -24.20% | -58.45% |
| % Time Invested | 100.0% | 100.0% | 92.8% | 100.0% | 92.7% | 100.0% | 87.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.6 | 0.0 | 0.5 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-04 | 2025-04-07 | Completed | 100% | $38.23 | $44.04 | 15.16% | Stop | |
| 2023-01-10 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2022-07-13 | 2023-01-10 | Completed | 100% | $33.59 | $37.32 | 11.02% | Signal | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-02-10 | 2022-06-17 | Completed | 100% | $32.02 | $33.04 | 3.14% | Stop | |
| 2021-01-12 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2021-01-12 | Completed | 100% | $20.37 | $31.50 | 54.59% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $23.94 | $26.83 | 12.01% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-09-21 | 2018-12-21 | Completed | 100% | $20.23 | $22.65 | 11.90% | Stop | |
| 2016-04-25 | 2016-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-09-17 | 2016-04-25 | Completed | 100% | $18.25 | $19.56 | 7.12% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2015-08-25 | Completed | 100% | $10.49 | $17.79 | 69.43% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $9.67 | $10.20 | 5.38% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $9.24 | $9.94 | 7.55% | Stop | |
| 2008-06-23 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2008-02-12 | 2008-06-23 | Completed | 100% | $12.23 | $11.44 | -6.53% | Signal | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-03-24 | 2008-01-18 | Completed | 100% | $6.83 | $12.04 | 76.08% | Stop | |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |