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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -34.0% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.6%, compared to a Buy-and-Hold benchmark return of 7.2%. 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 | 9.19% | 9.19% | 0.06% | 3.36% | 4.00% | 6.85% | 4.63% | 7.20% |
| Sharpe Ratio | 0.66 | 0.66 | 0.00 | 0.17 | 0.25 | 0.32 | 0.27 | 0.32 |
| Max Drawdown | -8.33% | -8.33% | -33.99% | -34.11% | -33.99% | -38.82% | -33.99% | -38.82% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 73.5% | 100.0% | 84.9% | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $40.03 | $43.99 | 9.90% | Mark-to-Market |
| 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% | $34.69 | $37.58 | 8.32% | 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% | $34.38 | $31.94 | -7.08% | 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% | $31.05 | $32.89 | 5.90% | 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% | $37.89 | $33.79 | -10.83% | 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% | $40.93 | $37.66 | -8.00% | 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% | $33.19 | $37.36 | 12.56% | 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% | $30.50 | $30.25 | -0.83% | 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% | $23.53 | $25.24 | 7.26% | 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% | $24.09 | $29.71 | 23.30% | Stop |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |