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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.0% (compared to the benchmark's drawdown of -58.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.6%, compared to a Buy-and-Hold benchmark return of 9.8%. The strategy executed 12 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
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% | 8.08% | 11.53% | 9.41% | 11.77% | 9.63% | 9.80% |
| Sharpe Ratio | 1.65 | 1.65 | 0.66 | 0.77 | 0.75 | 0.66 | 0.79 | 0.51 |
| Max Drawdown | -6.22% | -6.22% | -18.01% | -17.89% | -18.01% | -36.89% | -20.04% | -58.45% |
| % Time Invested | 100.0% | 100.0% | 83.6% | 100.0% | 83.8% | 100.0% | 79.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | 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 | 2025-07-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2022-12-22 | 2025-04-07 | Completed | 100% | $36.10 | $44.04 | 21.93% | Stop | |
| 2022-06-10 | 2022-12-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2020-09-15 | 2022-06-10 | Completed | 100% | $27.41 | $35.48 | 29.35% | Signal | |
| 2020-06-12 | 2020-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-06-09 | 2020-06-12 | Completed | 100% | $27.73 | $26.05 | -6.08% | Stop | |
| 2020-03-26 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 100% | $20.37 | $21.91 | 7.55% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-25 | 2020-03-02 | Completed | 100% | $25.47 | $26.83 | 5.30% | Stop | |
| 2018-12-13 | 2019-03-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income | |
| 2016-04-20 | 2018-12-13 | Completed | 100% | $19.65 | $24.23 | 23.25% | Signal | |
| 2016-01-11 | 2016-04-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-10-09 | 2016-01-11 | Completed | 100% | $18.63 | $17.70 | -5.01% | Stop | |
| 2015-08-25 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-01-31 | 2015-08-25 | Completed | 100% | $11.71 | $17.79 | 51.88% | Stop | |
| 2011-08-08 | 2012-01-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-01 | 2011-08-08 | Completed | 100% | $10.24 | $10.20 | -0.49% | Stop | |
| 2010-07-12 | 2010-10-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-12 | Completed | 100% | $9.67 | $9.62 | -0.61% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-01 | 2010-05-07 | Completed | 100% | $8.12 | $9.94 | 22.33% | Stop | |
| 2007-12-07 | 2009-07-01 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2003-03-24 | 2007-12-07 | Completed | 100% | $6.83 | $13.46 | 96.93% | Signal | |
| 2002-09-30 | 2003-03-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |