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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -38.0% (compared to the benchmark's drawdown of -38.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.0%, compared to a Buy-and-Hold benchmark return of 7.2%. 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 | 1.31% | 9.19% | -3.09% | 3.36% | 2.61% | 6.85% | 3.02% | 7.20% |
| Sharpe Ratio | 0.11 | 0.66 | -0.24 | 0.17 | 0.20 | 0.32 | 0.21 | 0.32 |
| Max Drawdown | -10.55% | -8.33% | -38.03% | -34.11% | -38.03% | -38.82% | -38.03% | -38.82% |
| % Time Invested | 75.0% | 100.0% | 64.1% | 100.0% | 63.0% | 100.0% | 72.8% | 100.0% |
| Trades / Year | 1.0 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2026-02-13 | Open | Open | 100% | $42.75 | $43.99 | 2.91% | Mark-to-Market |
| 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% | $41.01 | $39.98 | -2.52% | 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% | $34.69 | $37.58 | 8.32% | 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% | $34.38 | $31.57 | -8.15% | 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% | $38.73 | $36.44 | -5.91% | 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% | $44.22 | $37.66 | -14.84% | 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% | $40.93 | $40.82 | -0.28% | 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% | $29.67 | $37.36 | 25.92% | 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% | $23.74 | $29.71 | 25.15% | 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% | $24.09 | $23.12 | -4.06% | Signal |
| 2017-09-29 | 2017-10-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |