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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -32.4% (compared to the benchmark's drawdown of -82.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.4%, compared to a Buy-and-Hold benchmark return of 5.4%. The strategy executed 24 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
XLF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -2.55% | 6.21% | 5.44% | 9.39% | 11.85% | 13.16% | 6.44% | 5.36% |
| Sharpe Ratio | -0.20 | 0.41 | 0.36 | 0.48 | 0.74 | 0.56 | 0.44 | 0.19 |
| Max Drawdown | -13.52% | -14.79% | -17.60% | -25.81% | -17.73% | -42.86% | -32.38% | -82.69% |
| % Time Invested | 76.2% | 100.0% | 72.3% | 100.0% | 75.8% | 100.0% | 67.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 0.0 | 0.9 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-03-19 | Open | Interest (CASH) | 100% | $1.00 | $1.00 | 0.87% | Mark-to-Market |
| 2025-04-30 | 2026-03-19 | Completed | 100% | $47.42 | $48.52 | 2.33% | Signal |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-21 | 2025-04-07 | Completed | 100% | $33.74 | $42.19 | 25.03% | Stop |
| 2023-10-30 | 2023-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-08-08 | 2023-10-30 | Completed | 100% | $33.44 | $30.44 | -8.95% | Signal |
| 2023-04-25 | 2023-08-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.51% | Interest Income |
| 2023-04-05 | 2023-04-25 | Completed | 100% | $30.17 | $31.37 | 3.98% | Signal |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-12-20 | 2023-03-14 | Completed | 100% | $31.79 | $31.13 | -2.06% | Stop |
| 2022-04-21 | 2022-12-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2020-10-15 | 2022-04-21 | Completed | 100% | $22.28 | $35.56 | 59.57% | Signal |
| 2020-03-02 | 2020-10-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $21.41 | $23.69 | 10.65% | Stop |
| 2018-10-24 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2018-09-13 | 2018-10-24 | Completed | 100% | $24.26 | $22.39 | -7.73% | Signal |
| 2018-07-09 | 2018-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2016-05-24 | 2018-07-09 | Completed | 100% | $15.73 | $23.12 | 46.93% | Signal |
| 2016-01-13 | 2016-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2015-12-23 | 2016-01-13 | Completed | 100% | $16.03 | $15.02 | -6.32% | Signal |
| 2015-09-24 | 2015-12-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-09-17 | 2015-09-24 | Completed | 100% | $15.61 | $14.92 | -4.42% | Signal |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-06-26 | 2015-08-25 | Completed | 100% | $8.89 | $15.56 | 75.15% | Stop |
| 2012-06-04 | 2012-06-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-02-17 | 2012-06-04 | Completed | 100% | $9.22 | $8.50 | -7.78% | Stop |
| 2011-06-27 | 2012-02-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2010-12-20 | 2011-06-27 | Completed | 100% | $9.57 | $9.12 | -4.68% | Signal |
| 2010-07-07 | 2010-12-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2010-06-15 | 2010-07-07 | Completed | 100% | $8.87 | $8.37 | -5.65% | Signal |
| 2010-05-21 | 2010-06-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-01 | 2010-05-21 | Completed | 100% | $7.24 | $8.51 | 17.60% | Stop |
| 2007-08-06 | 2009-07-01 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.02% | Interest Income |
| 2005-07-06 | 2007-08-06 | Completed | 100% | $15.94 | $18.10 | 13.54% | Stop |
| 2005-05-02 | 2005-07-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2004-10-07 | 2005-05-02 | Completed | 100% | $15.29 | $15.31 | 0.08% | Signal |
| 2004-08-13 | 2004-10-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2003-05-14 | 2004-08-13 | Completed | 100% | $12.24 | $14.53 | 18.69% | Signal |
| 2003-04-01 | 2003-05-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2003-03-21 | 2003-04-01 | Completed | 100% | $11.20 | $10.69 | -4.57% | Stop |
| 2002-07-11 | 2003-03-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.97% | Interest Income |
| 2002-04-04 | 2002-07-11 | Completed | 100% | $13.43 | $11.58 | -13.80% | Signal |
| 2001-09-05 | 2002-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2001-06-18 | 2001-09-05 | Completed | 100% | $13.69 | $12.81 | -6.40% | Signal |
| 2001-04-10 | 2001-06-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2001-04-04 | 2001-04-10 | Completed | 100% | $12.65 | $12.73 | 0.58% | Signal |
| 2001-03-13 | 2001-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2000-12-14 | 2001-03-13 | Completed | 100% | $13.71 | $13.00 | -5.22% | Stop |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |