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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.8% (compared to the benchmark's drawdown of -59.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.4%, compared to a Buy-and-Hold benchmark return of 9.0%. The strategy executed 31 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
XLB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 15.26% | 20.84% | 1.97% | 5.03% | 6.62% | 10.30% | 5.43% | 8.96% |
| Sharpe Ratio | 0.90 | 1.13 | 0.13 | 0.26 | 0.43 | 0.48 | 0.33 | 0.37 |
| Max Drawdown | -12.38% | -12.38% | -17.56% | -24.72% | -20.54% | -37.27% | -25.77% | -59.82% |
| % Time Invested | 85.7% | 100.0% | 76.7% | 100.0% | 76.5% | 100.0% | 72.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.8 | 0.0 | 1.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-07-22 | Open | Open | 100% | $44.65 | $51.15 | 14.56% | Mark-to-Market |
| 2025-01-08 | 2025-07-22 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.26% | Interest Income |
| 2023-11-24 | 2025-01-08 | Completed | 100% | $38.45 | $40.88 | 6.31% | Signal |
| 2023-10-20 | 2023-11-24 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2023-01-03 | 2023-10-20 | Completed | 100% | $36.52 | $36.27 | -0.70% | Signal |
| 2022-06-16 | 2023-01-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.80% | Interest Income |
| 2020-07-16 | 2022-06-16 | Completed | 100% | $27.03 | $34.88 | 29.02% | Stop |
| 2020-06-12 | 2020-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-06-04 | 2020-06-12 | Completed | 100% | $25.70 | $24.80 | -3.51% | Stop |
| 2020-03-02 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-04-12 | 2020-03-02 | Completed | 100% | $25.08 | $23.47 | -6.44% | Stop |
| 2018-10-05 | 2019-04-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income |
| 2018-10-03 | 2018-10-05 | Completed | 100% | $25.30 | $24.87 | -1.70% | Signal |
| 2018-07-25 | 2018-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2018-07-23 | 2018-07-25 | Completed | 100% | $24.88 | $25.09 | 0.82% | Signal |
| 2018-06-28 | 2018-07-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2018-06-14 | 2018-06-28 | Completed | 100% | $25.75 | $24.63 | -4.38% | Signal |
| 2018-05-22 | 2018-06-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2016-04-19 | 2018-05-22 | Completed | 100% | $18.98 | $25.58 | 34.75% | Signal |
| 2016-01-08 | 2016-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-10-08 | 2016-01-08 | Completed | 100% | $17.55 | $16.65 | -5.10% | Stop |
| 2015-07-31 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-02-26 | 2015-07-31 | Completed | 100% | $20.72 | $18.66 | -9.92% | Signal |
| 2015-02-03 | 2015-02-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-01-05 | 2015-02-03 | Completed | 100% | $19.26 | $19.33 | 0.35% | Signal |
| 2014-12-10 | 2015-01-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-08-28 | 2014-12-10 | Completed | 100% | $13.41 | $19.39 | 44.64% | Signal |
| 2012-07-06 | 2012-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-02-15 | 2012-07-06 | Completed | 100% | $13.78 | $13.24 | -3.86% | Signal |
| 2011-08-05 | 2012-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-09-27 | 2011-08-05 | Completed | 100% | $12.11 | $12.90 | 6.56% | Stop |
| 2010-06-22 | 2010-09-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-06-01 | 2010-06-22 | Completed | 100% | $10.78 | $11.06 | 2.62% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-03-03 | 2010-05-07 | Completed | 100% | $11.46 | $11.16 | -2.66% | Stop |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-31 | 2010-02-08 | Completed | 100% | $10.09 | $10.79 | 6.89% | Stop |
| 2009-07-09 | 2009-07-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-03-19 | 2009-07-09 | Completed | 100% | $7.57 | $8.60 | 13.47% | Stop |
| 2008-08-13 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2008-07-29 | 2008-08-13 | Completed | 100% | $13.28 | $13.21 | -0.46% | Signal |
| 2008-07-07 | 2008-07-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-04-07 | 2008-07-07 | Completed | 100% | $14.62 | $13.65 | -6.63% | Stop |
| 2008-03-07 | 2008-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-02-12 | 2008-03-07 | Completed | 100% | $13.55 | $13.65 | 0.72% | Signal |
| 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 |
| 2006-10-11 | 2007-08-16 | Completed | 100% | $10.51 | $12.04 | 14.59% | Stop |
| 2006-09-13 | 2006-10-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2006-09-07 | 2006-09-13 | Completed | 100% | $10.32 | $10.16 | -1.57% | Signal |
| 2006-08-15 | 2006-09-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2006-07-03 | 2006-08-15 | Completed | 100% | $10.48 | $10.03 | -4.28% | Signal |
| 2006-06-09 | 2006-07-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2005-12-15 | 2006-06-09 | Completed | 100% | $9.69 | $9.94 | 2.62% | Stop |
| 2005-05-16 | 2005-12-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.05% | Interest Income |
| 2003-05-19 | 2005-05-16 | Completed | 100% | $6.15 | $8.44 | 37.08% | Stop |
| 2002-07-16 | 2003-05-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2002-01-02 | 2002-07-16 | Completed | 100% | $6.34 | $6.21 | -2.03% | Stop |
| 2001-09-17 | 2002-01-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income |
| 2001-04-17 | 2001-09-17 | Completed | 100% | $6.20 | $5.63 | -9.07% | Stop |
| 2001-03-23 | 2001-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2001-01-19 | 2001-03-23 | Completed | 100% | $5.72 | $5.70 | -0.46% | Stop |
| 2000-12-12 | 2001-01-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income |