XLRE
The Real Estate Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLRE (The Real Estate Select Sector SPDR Fund) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.7% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 7.7%. The strategy executed 36 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 6.55% | 11.10% | -0.76% | 3.26% | 5.36% | 6.47% | 6.11% | 7.71% |
| Sharpe Ratio | 0.55 | 0.73 | -0.06 | 0.17 | 0.42 | 0.31 | 0.44 | 0.35 |
| Max Drawdown | -8.16% | -8.33% | -30.66% | -34.11% | -30.66% | -38.82% | -30.66% | -38.82% |
| % Time Invested | 100.0% | 100.0% | 85.5% | 100.0% | 80.5% | 100.0% | 91.4% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 4.2 | 0.0 | 3.6 | 0.0 | 4.1 | 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 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 | ||||||||
| 2026-03-26 | 2026-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2026-02-20 | 2026-03-26 | Completed | 33.33% | $42.59 | $39.84 | -6.50% | Signal | |
| 2025-12-26 | 2026-02-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2025-10-30 | 2026-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2025-11-04 | 2025-12-26 | Completed | 33.33% | $39.87 | $39.73 | -0.39% | Signal | |
| 2025-05-14 | 2025-11-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.00% | Interest Income | |
| 2025-07-23 | 2025-10-30 | Completed | 33.33% | $41.36 | $39.62 | -4.27% | Signal | |
| 2025-01-17 | 2025-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 2025-05-01 | 2025-05-14 | Completed | 33.33% | $39.68 | $39.27 | -1.09% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $34.39 | $37.26 | 8.27% | Stop | |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $34.39 | $37.26 | 8.27% | Stop | |
| 2024-07-16 | 2025-01-17 | Completed | 33.33% | $37.80 | $39.23 | 3.72% | Signal | |
| 2024-05-13 | 2024-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2023-12-04 | 2024-05-13 | Completed | 33.33% | $34.39 | $35.15 | 2.16% | Signal | |
| 2023-09-28 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2023-07-06 | 2023-09-28 | Completed | 33.33% | $34.08 | $30.73 | -9.87% | Stop | |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $34.08 | $31.66 | -7.13% | Stop | |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $34.08 | $31.66 | -7.13% | Stop | |
| 2023-05-03 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2022-12-21 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2022-09-01 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.81% | Interest Income | |
| 2023-04-17 | 2023-05-03 | Completed | 33.33% | $32.74 | $32.93 | 0.52% | Signal | |
| 2023-03-23 | 2023-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2023-02-06 | 2023-03-23 | Completed | 33.33% | $35.85 | $31.24 | -12.90% | Stop | |
| 2022-09-01 | 2023-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2022-10-17 | 2022-12-21 | Completed | 33.33% | $30.18 | $32.75 | 8.46% | Signal | |
| 2022-09-23 | 2022-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-03 | 2022-09-23 | Completed | 33.33% | $37.97 | $32.95 | -13.26% | Stop | |
| 2022-08-01 | 2022-09-01 | Completed | 33.33% | $38.40 | $36.13 | -5.96% | Stop | |
| 2022-08-01 | 2022-09-01 | Completed | 33.33% | $38.40 | $36.13 | -5.96% | Stop | |
| 2022-06-17 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2022-03-31 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2022-06-02 | 2022-06-17 | Completed | 33.33% | $37.56 | $33.68 | -10.38% | Signal | |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-11 | Completed | 33.33% | $40.52 | $36.17 | -10.78% | Stop | |
| 2022-02-22 | 2022-05-10 | Completed | 33.33% | $38.27 | $37.33 | -2.50% | Stop | |
| 2022-02-22 | 2022-03-31 | Completed | 33.33% | $38.27 | $42.37 | 10.66% | Signal | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-03-16 | 2022-02-25 | Completed | 33.33% | $32.90 | $38.54 | 17.10% | Stop | |
| 2022-01-28 | 2022-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-01-28 | 2022-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-10-30 | 2022-01-28 | Completed | 33.33% | $28.07 | $38.91 | 38.57% | Stop | |
| 2020-07-09 | 2022-01-28 | Completed | 33.33% | $28.59 | $38.91 | 36.02% | Stop | |
| 2020-12-30 | 2021-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-03 | 2020-12-30 | Completed | 33.33% | $23.78 | $29.97 | 25.97% | Signal | |
| 2020-04-20 | 2020-10-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-26 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-20 | Completed | 33.33% | $21.58 | $27.50 | 27.35% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $21.58 | $23.63 | 9.45% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2017-10-03 | 2020-03-12 | Completed | 33.33% | $23.88 | $26.76 | 11.96% | Stop | |
| 2020-02-14 | 2020-03-02 | Completed | 33.33% | $33.38 | $29.74 | -10.96% | Stop | |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $25.44 | $29.74 | 16.82% | Stop | |
| 2020-01-23 | 2020-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-02-01 | 2020-01-23 | Completed | 33.33% | $26.81 | $31.93 | 19.03% | Signal | |
| 2018-12-06 | 2019-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-08-30 | 2018-12-27 | Completed | 33.33% | $25.90 | $23.83 | -8.04% | Stop | |
| 2018-03-14 | 2018-12-06 | Completed | 33.33% | $23.53 | $25.80 | 9.60% | Signal | |
| 2018-04-11 | 2018-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.76% | Interest Income | |
| 2018-03-07 | 2018-04-11 | Completed | 33.33% | $22.73 | $23.12 | 1.64% | Signal | |
| 2018-02-12 | 2018-03-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-10-03 | 2018-02-12 | Completed | 33.33% | $23.88 | $22.72 | -4.92% | Stop | |
| 2017-10-03 | 2018-02-12 | Completed | 33.33% | $23.88 | $22.72 | -4.92% | Stop | |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |