XLF
The Financial Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
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 -32.6% (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 5.7%. 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 | -3.66% | 10.23% | 6.35% | 11.53% | 11.72% | 13.67% | 6.44% | 5.66% |
| Sharpe Ratio | -0.30 | 0.66 | 0.43 | 0.59 | 0.75 | 0.58 | 0.44 | 0.20 |
| Max Drawdown | -14.07% | -14.79% | -17.64% | -25.81% | -17.81% | -42.86% | -32.58% | -82.69% |
| % Time Invested | 71.0% | 100.0% | 71.2% | 100.0% | 75.2% | 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 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 | ||||||||
| 2025-04-30 | 2026-03-19 | Completed | 100% | $47.25 | $48.35 | 2.27% | 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% | $33.62 | $42.04 | 24.97% | 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% | $33.32 | $30.34 | -9.00% | 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% | $30.07 | $31.26 | 3.93% | 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% | $31.68 | $31.02 | -2.11% | 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% | $22.20 | $35.43 | 59.49% | 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% | $21.34 | $23.61 | 10.60% | 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% | $24.18 | $22.31 | -7.78% | 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% | $15.68 | $23.04 | 46.85% | 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% | $15.98 | $14.97 | -6.36% | 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% | $15.56 | $14.87 | -4.47% | 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% | $8.86 | $15.51 | 75.07% | 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% | $9.18 | $8.47 | -7.83% | 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% | $9.54 | $9.09 | -4.73% | 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% | $8.84 | $8.34 | -5.70% | 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% | $7.21 | $8.48 | 17.55% | 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% | $15.88 | $18.03 | 13.48% | 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% | $15.24 | $15.25 | 0.03% | 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% | $12.20 | $14.48 | 18.63% | 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% | $11.16 | $10.65 | -4.61% | 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% | $13.38 | $11.54 | -13.84% | 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% | $13.64 | $12.77 | -6.45% | 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% | $12.61 | $12.68 | 0.53% | 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% | $13.67 | $12.95 | -5.27% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |