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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -38.3% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.5%, compared to a Buy-and-Hold benchmark return of 7.7%. The strategy executed 9 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
XLRE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.20% | 11.10% | -3.31% | 3.26% | 3.05% | 6.47% | 3.47% | 7.71% |
| Sharpe Ratio | 0.31 | 0.73 | -0.25 | 0.17 | 0.23 | 0.31 | 0.24 | 0.35 |
| Max Drawdown | -10.64% | -8.33% | -38.34% | -34.11% | -38.34% | -38.82% | -38.34% | -38.82% |
| % Time Invested | 88.9% | 100.0% | 64.1% | 100.0% | 64.5% | 100.0% | 73.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 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 | ||||||||
| 2026-01-05 | 2026-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2025-07-21 | 2026-01-05 | Completed | 100% | $40.65 | $39.63 | -2.57% | Signal | |
| 2025-04-08 | 2025-07-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $34.39 | $37.26 | 8.27% | Stop | |
| 2023-09-25 | 2023-12-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.06% | Interest Income | |
| 2023-07-06 | 2023-09-25 | Completed | 100% | $34.08 | $31.30 | -8.19% | Signal | |
| 2022-09-01 | 2023-07-06 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.81% | Interest Income | |
| 2022-08-01 | 2022-09-01 | Completed | 100% | $38.40 | $36.13 | -5.96% | Stop | |
| 2022-05-10 | 2022-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-04-21 | 2022-05-10 | Completed | 100% | $43.84 | $37.33 | -14.89% | Stop | |
| 2022-03-22 | 2022-04-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2022-03-18 | 2022-03-22 | Completed | 100% | $40.58 | $40.46 | -0.33% | Signal | |
| 2022-02-24 | 2022-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-09-08 | 2022-02-24 | Completed | 100% | $29.41 | $37.03 | 25.86% | Stop | |
| 2020-03-11 | 2020-09-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2018-03-14 | 2020-03-11 | Completed | 100% | $23.53 | $29.45 | 25.09% | Stop | |
| 2018-02-16 | 2018-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2017-10-03 | 2018-02-16 | Completed | 100% | $23.88 | $22.92 | -4.11% | Signal | |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |