SRLN
SPDR Blackstone Senior Loan ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SRLN (SPDR Blackstone Senior Loan ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.4% (compared to the benchmark's drawdown of -22.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 4 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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SRLN Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.25% | 4.25% | 4.16% | 4.72% | 3.13% | 4.50% | 2.73% | 4.05% |
| Sharpe Ratio | 1.42 | 1.42 | 1.11 | 1.18 | 0.66 | 0.72 | 0.59 | 0.69 |
| Max Drawdown | -3.26% | -3.26% | -7.93% | -7.93% | -17.39% | -22.29% | -17.39% | -22.29% |
| % Time Invested | 100.0% | 100.0% | 94.7% | 100.0% | 92.3% | 100.0% | 91.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.4 | 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 | ||||||||
| 2022-10-04 | 2023-01-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.11% | Interest Income | |
| 2021-03-01 | 2022-10-04 | Completed | 100% | $31.56 | $30.42 | -3.64% | Signal | |
| 2021-02-03 | 2021-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-13 | 2021-02-03 | Completed | 100% | $27.91 | $31.40 | 12.45% | Signal | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2016-12-06 | 2020-03-19 | Completed | 100% | $26.55 | $25.85 | -2.72% | Stop | |
| 2016-05-19 | 2016-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2015-03-30 | 2016-05-19 | Completed | 100% | $25.72 | $25.65 | -0.32% | Signal | |
| 2015-03-26 | 2015-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |