XLB The Materials Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for XLB (The Materials Select Sector SPDR Fund) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -49.3% (compared to the benchmark's drawdown of -59.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.3%, compared to a Buy-and-Hold benchmark return of 9.0%. The strategy executed 28 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.
Switch to MMA to enable
XLB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.07% | 20.84% | -1.81% | 5.03% | 7.82% | 10.30% | 5.30% | 8.96% |
| Sharpe Ratio | 0.55 | 1.13 | -0.12 | 0.26 | 0.46 | 0.48 | 0.29 | 0.37 |
| Max Drawdown | -6.43% | -12.38% | -22.77% | -24.72% | -26.43% | -37.27% | -49.30% | -59.82% |
| % Time Invested | 49.2% | 100.0% | 70.0% | 100.0% | 74.7% | 100.0% | 75.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.0 | 0.0 | 1.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-13 | Open | Open | 100% | $51.69 | $51.15 | -1.04% | Mark-to-Market |
| 2025-10-07 | 2026-04-13 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.90% | Interest Income |
| 2025-04-30 | 2025-10-07 | Completed | 100% | $40.45 | $44.53 | 10.10% | Signal |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-24 | 2025-04-07 | Completed | 100% | $38.45 | $37.34 | -2.89% | Stop |
| 2023-05-25 | 2023-11-24 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.73% | Interest Income |
| 2023-04-04 | 2023-05-25 | Completed | 100% | $38.17 | $35.93 | -5.87% | Stop |
| 2023-03-13 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-03-03 | 2023-03-13 | Completed | 100% | $39.41 | $36.33 | -7.81% | Stop |
| 2022-12-07 | 2023-03-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income |
| 2022-10-18 | 2022-12-07 | Completed | 100% | $33.37 | $37.89 | 13.53% | Signal |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-07-12 | 2022-09-26 | Completed | 100% | $33.63 | $31.69 | -5.77% | Stop |
| 2022-06-16 | 2022-07-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2020-03-24 | 2022-06-16 | Completed | 100% | $18.10 | $34.88 | 92.73% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-01-14 | 2020-03-02 | Completed | 100% | $26.58 | $23.47 | -11.73% | Stop |
| 2019-03-13 | 2020-01-14 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income |
| 2019-01-22 | 2019-03-13 | Completed | 100% | $23.00 | $24.20 | 5.20% | Signal |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-05 | 2018-12-27 | Completed | 100% | $23.17 | $21.10 | -8.95% | Stop |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-04-19 | 2018-10-12 | Completed | 100% | $18.98 | $23.37 | 23.11% | Stop |
| 2015-12-30 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-09-16 | 2015-12-30 | Completed | 100% | $17.16 | $17.96 | 4.68% | Signal |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-13 | 2015-08-24 | Completed | 100% | $13.81 | $16.35 | 18.39% | Stop |
| 2012-06-28 | 2012-12-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2011-10-17 | 2012-06-28 | Completed | 100% | $12.36 | $12.78 | 3.46% | Signal |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-29 | 2011-09-23 | Completed | 100% | $12.66 | $11.17 | -11.77% | Stop |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $10.78 | $12.90 | 19.72% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $7.57 | $11.16 | 47.30% | Stop |
| 2008-11-21 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2008-11-18 | 2008-11-21 | Completed | 100% | $7.65 | $6.63 | -13.39% | Stop |
| 2008-10-27 | 2008-11-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2008-10-22 | 2008-10-27 | Completed | 100% | $8.71 | $7.65 | -12.13% | Stop |
| 2008-09-30 | 2008-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2008-07-29 | 2008-09-30 | Completed | 100% | $13.28 | $11.11 | -16.35% | Stop |
| 2008-07-07 | 2008-07-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-12 | 2008-07-07 | Completed | 100% | $13.55 | $13.65 | 0.72% | Stop |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2007-09-10 | 2008-01-18 | Completed | 100% | $12.95 | $12.50 | -3.48% | Stop |
| 2007-08-16 | 2007-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2006-07-03 | 2007-08-16 | Completed | 100% | $10.48 | $12.04 | 14.90% | Stop |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2005-06-08 | 2006-06-09 | Completed | 100% | $8.94 | $9.94 | 11.18% | Stop |
| 2005-05-16 | 2005-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2003-11-28 | 2005-05-16 | Completed | 100% | $7.48 | $8.44 | 12.70% | Stop |
| 2003-01-06 | 2003-11-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.93% | Interest Income |
| 2002-10-23 | 2003-01-06 | Completed | 100% | $5.76 | $6.16 | 7.00% | Signal |
| 2002-10-01 | 2002-10-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2002-08-07 | 2002-10-01 | Completed | 100% | $5.99 | $5.36 | -10.51% | Stop |
| 2002-07-16 | 2002-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2001-11-30 | 2002-07-16 | Completed | 100% | $6.46 | $6.21 | -3.88% | Stop |
| 2000-12-12 | 2001-11-30 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.54% | Interest Income |