SRLN SPDR Blackstone Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SRLN (SPDR Blackstone Senior Loan ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.7% (compared to the benchmark's drawdown of -22.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.9%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 20 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.
SRLN Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.31% | 5.58% | 4.62% | 4.62% | 4.56% | 4.52% | 3.93% | 4.05% |
| Sharpe Ratio | 1.91 | 1.89 | 1.56 | 1.16 | 1.41 | 0.73 | 1.25 | 0.68 |
| Max Drawdown | -3.26% | -3.26% | -4.51% | -7.93% | -7.71% | -22.29% | -7.71% | -22.29% |
| % Time Invested | 100.0% | 100.0% | 91.9% | 100.0% | 95.3% | 100.0% | 95.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.4 | 0.0 | 1.8 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-09 | Open | Open | 33.33% | $40.04 | $40.55 | 1.28% | Mark-to-Market |
| 2023-01-10 | Open | Open | 33.33% | $31.92 | $40.55 | 27.04% | Mark-to-Market |
| 2026-05-28 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Mark-to-Market |
| 2023-01-10 | 2026-05-28 | Completed | 33.33% | $31.92 | $40.58 | 27.13% | Signal |
| 2026-03-13 | 2026-04-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-05-16 | 2026-03-13 | Completed | 33.33% | $38.33 | $39.59 | 3.29% | Signal |
| 2025-05-02 | 2025-05-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2025-04-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2023-06-30 | 2025-04-11 | Completed | 33.33% | $32.99 | $36.95 | 11.99% | Signal |
| 2023-06-02 | 2023-06-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2023-05-26 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2023-01-10 | 2023-05-26 | Completed | 33.33% | $31.92 | $32.07 | 0.47% | Signal |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | 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 |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-07 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.15% | 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 |
| 2022-07-08 | 2022-09-07 | Completed | 33.33% | $30.68 | $31.57 | 2.89% | Signal |
| 2022-05-17 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2022-03-28 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2021-03-01 | 2022-06-14 | Completed | 33.33% | $31.92 | $30.98 | -2.95% | Stop |
| 2020-05-28 | 2022-05-17 | Completed | 33.33% | $28.77 | $31.53 | 9.58% | Signal |
| 2020-05-28 | 2022-03-28 | Completed | 33.33% | $28.77 | $32.51 | 12.97% | Signal |
| 2020-12-31 | 2021-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2020-04-01 | 2020-12-31 | Completed | 33.33% | $26.43 | $31.51 | 19.24% | Signal |
| 2020-04-03 | 2020-05-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-10 | 2020-05-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-04-01 | 2020-04-03 | Completed | 33.33% | $26.43 | $26.42 | -0.03% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2019-02-26 | 2020-03-10 | Completed | 33.33% | $29.03 | $28.83 | -0.70% | Stop |
| 2019-02-26 | 2020-03-10 | Completed | 33.33% | $29.03 | $28.83 | -0.70% | Stop |
| 2016-12-05 | 2020-03-10 | Completed | 33.33% | $26.82 | $28.83 | 7.47% | Stop |
| 2019-01-10 | 2019-02-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2018-12-21 | 2019-02-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2016-07-13 | 2019-01-10 | Completed | 33.33% | $26.21 | $28.62 | 9.16% | Signal |
| 2016-05-04 | 2018-12-21 | Completed | 33.33% | $25.88 | $27.80 | 7.39% | Signal |
| 2016-11-02 | 2016-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-10-04 | 2016-11-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-04-27 | 2016-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.93% | Interest Income |
| 2016-04-04 | 2016-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2016-04-04 | 2016-05-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2015-09-17 | 2016-04-27 | Completed | 33.33% | $25.99 | $25.80 | -0.72% | 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 |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-17 | 2015-12-03 | Completed | 33.33% | $25.99 | $25.43 | -2.16% | 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 |
| 2015-09-02 | 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 |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $26.02 | $25.74 | -1.05% | Stop |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $26.02 | $25.74 | -1.05% | Stop |
| 2015-03-30 | 2015-08-25 | Completed | 33.33% | $26.02 | $25.74 | -1.05% | Stop |
| 2015-03-26 | 2015-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2015-03-26 | 2015-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2015-03-26 | 2015-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |