XLF
The Financial Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for XLF (The Financial 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 -51.4% (compared to the benchmark's drawdown of -82.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.1%, compared to a Buy-and-Hold benchmark return of 5.4%. The strategy executed 27 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
XLF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -2.17% | 6.21% | 3.32% | 9.39% | 3.87% | 13.16% | 2.07% | 5.36% |
| Sharpe Ratio | -0.16 | 0.41 | 0.21 | 0.48 | 0.23 | 0.56 | 0.13 | 0.19 |
| Max Drawdown | -16.49% | -14.79% | -24.21% | -25.81% | -34.69% | -42.86% | -51.38% | -82.69% |
| % Time Invested | 93.7% | 100.0% | 72.4% | 100.0% | 68.3% | 100.0% | 66.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 1.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-22 | Open | Open | 100% | $52.48 | $53.34 | 1.64% | Mark-to-Market |
| 2026-03-30 | 2026-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-04-30 | 2026-03-30 | Completed | 100% | $47.42 | $48.23 | 1.71% | Stop |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-01-29 | 2025-04-07 | Completed | 100% | $37.22 | $42.19 | 13.34% | Stop |
| 2022-12-09 | 2024-01-29 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.91% | Interest Income |
| 2022-10-20 | 2022-12-09 | Completed | 100% | $29.89 | $32.49 | 8.70% | Signal |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2022-05-24 | 2022-09-28 | Completed | 100% | $31.50 | $28.75 | -8.72% | Stop |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2021-02-10 | 2022-05-02 | Completed | 100% | $28.71 | $32.32 | 12.58% | Stop |
| 2020-09-21 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-07-22 | 2020-09-21 | Completed | 100% | $21.84 | $21.81 | -0.12% | Signal |
| 2020-06-29 | 2020-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-06-29 | Completed | 100% | $16.78 | $20.60 | 22.74% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-12-30 | 2020-03-02 | Completed | 100% | $27.49 | $23.69 | -13.81% | Stop |
| 2019-05-31 | 2019-12-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.09% | Interest Income |
| 2019-01-17 | 2019-05-31 | Completed | 100% | $22.07 | $22.84 | 3.49% | Signal |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-16 | 2018-12-24 | Completed | 100% | $23.06 | $19.60 | -14.99% | Stop |
| 2018-10-25 | 2018-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2017-01-04 | 2018-10-25 | Completed | 100% | $19.85 | $21.96 | 10.66% | Stop |
| 2016-06-13 | 2017-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2016-02-12 | 2016-06-13 | Completed | 100% | $13.50 | $15.52 | 14.91% | Signal |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $15.61 | $14.09 | -9.71% | Stop |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-11-01 | 2015-08-25 | Completed | 100% | $10.07 | $15.56 | 54.49% | Stop |
| 2011-12-21 | 2012-11-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2011-12-19 | 2011-12-21 | Completed | 100% | $7.86 | $7.95 | 1.19% | Signal |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-26 | 2011-11-25 | Completed | 100% | $8.22 | $7.30 | -11.19% | Stop |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-10 | 2011-10-04 | Completed | 100% | $7.91 | $6.91 | -12.64% | Stop |
| 2011-07-19 | 2011-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-15 | 2011-07-19 | Completed | 100% | $8.87 | $9.10 | 2.54% | Stop |
| 2010-05-21 | 2010-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-19 | 2010-05-21 | Completed | 100% | $8.70 | $8.51 | -2.16% | Stop |
| 2009-10-29 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-10-13 | 2009-10-29 | Completed | 100% | $9.26 | $8.73 | -5.64% | Stop |
| 2008-01-09 | 2009-10-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.47% | Interest Income |
| 2007-12-03 | 2008-01-09 | Completed | 100% | $17.47 | $15.20 | -12.96% | Stop |
| 2007-11-08 | 2007-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2007-08-28 | 2007-11-08 | Completed | 100% | $19.00 | $17.27 | -9.10% | Stop |
| 2007-08-06 | 2007-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2003-11-25 | 2007-08-06 | Completed | 100% | $13.84 | $18.10 | 30.75% | Stop |
| 2003-04-01 | 2003-11-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.65% | Interest Income |
| 2003-03-21 | 2003-04-01 | Completed | 100% | $11.20 | $10.69 | -4.57% | Stop |
| 2002-03-01 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.61% | Interest Income |
| 2001-10-08 | 2002-03-01 | Completed | 100% | $12.02 | $12.86 | 6.96% | Signal |
| 2001-09-10 | 2001-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2001-04-06 | 2001-09-10 | Completed | 100% | $12.64 | $12.16 | -3.78% | Stop |
| 2001-03-15 | 2001-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2001-01-05 | 2001-03-15 | Completed | 100% | $14.25 | $12.90 | -9.43% | Stop |
| 2000-12-12 | 2001-01-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income |