XLRE The Real Estate Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for XLRE (The Real Estate Select Sector SPDR Fund) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.2% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.0%, compared to a Buy-and-Hold benchmark return of 7.2%. The strategy executed 36 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
XLRE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.23% | 9.19% | -0.30% | 3.36% | 5.16% | 6.85% | 5.98% | 7.20% |
| Sharpe Ratio | 0.34 | 0.66 | -0.02 | 0.17 | 0.41 | 0.32 | 0.44 | 0.32 |
| Max Drawdown | -8.14% | -8.33% | -30.17% | -34.11% | -30.17% | -38.82% | -30.17% | -38.82% |
| % Time Invested | 100.0% | 100.0% | 85.5% | 100.0% | 79.0% | 100.0% | 91.2% | 100.0% |
| Trades / Year | 3.0 | 0.0 | 4.2 | 0.0 | 3.6 | 0.0 | 4.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-30 | Open | Open | 33.33% | $43.54 | $43.99 | 1.03% | Mark-to-Market |
| 2026-01-20 | Open | Open | 33.33% | $41.65 | $43.99 | 5.62% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $40.03 | $43.99 | 9.90% | Mark-to-Market |
| 2026-03-26 | 2026-04-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2026-02-20 | 2026-03-26 | Completed | 33.33% | $42.96 | $40.19 | -6.45% | Signal |
| 2025-12-26 | 2026-02-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income |
| 2025-10-30 | 2026-01-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.01% | Interest Income |
| 2025-11-04 | 2025-12-26 | Completed | 33.33% | $40.22 | $40.08 | -0.34% | Signal |
| 2025-06-03 | 2025-11-04 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.15% | Interest Income |
| 2025-07-23 | 2025-10-30 | Completed | 33.33% | $41.73 | $39.97 | -4.22% | Signal |
| 2025-06-03 | 2025-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2025-05-14 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-01 | 2025-05-14 | Completed | 33.33% | $40.03 | $39.61 | -1.04% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-01-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.01% | Interest Income |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $34.69 | $37.58 | 8.32% | Stop |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $34.69 | $37.58 | 8.32% | Stop |
| 2024-07-16 | 2025-01-17 | Completed | 33.33% | $38.13 | $39.57 | 3.77% | Signal |
| 2024-05-13 | 2024-07-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-12-04 | 2024-05-13 | Completed | 33.33% | $34.69 | $35.46 | 2.21% | Signal |
| 2023-09-28 | 2023-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income |
| 2023-09-22 | 2023-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income |
| 2023-09-22 | 2023-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income |
| 2023-07-06 | 2023-09-28 | Completed | 33.33% | $34.38 | $31.00 | -9.83% | Stop |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $34.38 | $31.94 | -7.08% | Stop |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $34.38 | $31.94 | -7.08% | Stop |
| 2023-06-02 | 2023-07-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2023-06-02 | 2023-07-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2023-06-02 | 2023-07-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2023-05-03 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-17 | 2023-05-03 | Completed | 33.33% | $33.03 | $33.22 | 0.57% | Signal |
| 2023-04-04 | 2023-04-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2023-03-23 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income |
| 2022-12-21 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-02-06 | 2023-03-23 | Completed | 33.33% | $36.16 | $31.51 | -12.86% | Stop |
| 2022-12-02 | 2023-02-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income |
| 2022-10-17 | 2022-12-21 | Completed | 33.33% | $30.44 | $33.04 | 8.51% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-10-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-23 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-06-03 | 2022-09-23 | Completed | 33.33% | $38.30 | $33.24 | -13.21% | Stop |
| 2022-09-01 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-09-01 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-08-01 | 2022-09-01 | Completed | 33.33% | $38.73 | $36.44 | -5.91% | Stop |
| 2022-08-01 | 2022-09-01 | Completed | 33.33% | $38.73 | $36.44 | -5.91% | Stop |
| 2022-06-17 | 2022-08-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-03-31 | 2022-08-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-06-02 | 2022-06-17 | Completed | 33.33% | $37.89 | $33.98 | -10.34% | Signal |
| 2022-05-11 | 2022-06-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-05-10 | 2022-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-21 | 2022-05-11 | Completed | 33.33% | $40.87 | $36.48 | -10.73% | Stop |
| 2022-02-22 | 2022-05-10 | Completed | 33.33% | $38.60 | $37.66 | -2.45% | Stop |
| 2022-02-22 | 2022-03-31 | Completed | 33.33% | $38.60 | $42.74 | 10.72% | Signal |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2021-03-16 | 2022-02-25 | Completed | 33.33% | $33.19 | $38.88 | 17.15% | Stop |
| 2022-01-28 | 2022-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-01-28 | 2022-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-10-30 | 2022-01-28 | Completed | 33.33% | $28.31 | $39.25 | 38.64% | Stop |
| 2020-07-09 | 2022-01-28 | Completed | 33.33% | $28.84 | $39.25 | 36.09% | Stop |
| 2020-12-30 | 2021-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2020-04-03 | 2020-12-30 | Completed | 33.33% | $23.99 | $30.23 | 26.03% | Signal |
| 2020-06-02 | 2020-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-04-20 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-26 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-20 | Completed | 33.33% | $21.77 | $27.74 | 27.41% | Signal |
| 2020-03-12 | 2020-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $21.77 | $23.84 | 9.50% | Signal |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2017-10-03 | 2020-03-12 | Completed | 33.33% | $24.09 | $26.99 | 12.02% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-02-14 | 2020-03-02 | Completed | 33.33% | $33.68 | $30.00 | -10.92% | Stop |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $25.67 | $30.00 | 16.88% | Stop |
| 2020-01-23 | 2020-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2019-02-01 | 2020-01-23 | Completed | 33.33% | $27.04 | $32.21 | 19.09% | Signal |
| 2018-12-06 | 2019-02-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2018-12-27 | 2019-01-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2018-08-30 | 2018-12-27 | Completed | 33.33% | $26.13 | $24.04 | -7.99% | Stop |
| 2018-03-14 | 2018-12-06 | Completed | 33.33% | $23.74 | $26.03 | 9.66% | Signal |
| 2018-04-11 | 2018-08-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2018-03-07 | 2018-04-11 | Completed | 33.33% | $22.93 | $23.32 | 1.69% | Signal |
| 2018-02-12 | 2018-03-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2018-02-12 | 2018-03-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2017-10-03 | 2018-02-12 | Completed | 33.33% | $24.09 | $22.92 | -4.88% | Stop |
| 2017-10-03 | 2018-02-12 | Completed | 33.33% | $24.09 | $22.92 | -4.88% | Stop |
| 2017-09-29 | 2017-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2017-09-29 | 2017-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2017-09-29 | 2017-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |