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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.2% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.0%, compared to a Buy-and-Hold benchmark return of 7.7%. The strategy executed 9 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.
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XLRE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 11.10% | 11.10% | -0.15% | 3.26% | 4.44% | 6.47% | 5.05% | 7.71% |
| Sharpe Ratio | 0.73 | 0.73 | -0.01 | 0.17 | 0.27 | 0.31 | 0.29 | 0.35 |
| Max Drawdown | -8.33% | -8.33% | -34.19% | -34.11% | -34.19% | -38.82% | -34.19% | -38.82% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 75.0% | 100.0% | 85.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.9 | 0.0 | 1.0 | 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $34.39 | $37.26 | 8.27% | Stop | |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2023-07-06 | 2023-09-22 | Completed | 100% | $34.08 | $31.66 | -7.13% | Stop | |
| 2022-12-29 | 2023-07-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.52% | Interest Income | |
| 2022-10-14 | 2022-12-29 | Completed | 100% | $30.78 | $32.60 | 5.84% | Signal | |
| 2022-09-22 | 2022-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-06-02 | 2022-09-22 | Completed | 100% | $37.56 | $33.50 | -10.87% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-18 | 2022-05-10 | Completed | 100% | $40.58 | $37.33 | -8.04% | Stop | |
| 2022-02-24 | 2022-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-03-16 | 2022-02-24 | Completed | 100% | $32.90 | $37.03 | 12.51% | Stop | |
| 2020-12-28 | 2021-03-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-09 | 2020-12-28 | Completed | 100% | $30.24 | $29.99 | -0.88% | Signal | |
| 2020-05-15 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-02 | 2020-05-15 | Completed | 100% | $23.32 | $25.02 | 7.21% | Stop | |
| 2020-03-11 | 2020-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2017-10-03 | 2020-03-11 | Completed | 100% | $23.88 | $29.45 | 23.24% | Stop | |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |