XLU
The Utilities Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLU (The Utilities 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 -48.0% (compared to the benchmark's drawdown of -52.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.8%, compared to a Buy-and-Hold benchmark return of 7.6%. The strategy executed 17 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.
Switch to MMA to enable
XLU Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 12.89% | 12.89% | 8.76% | 10.38% | 8.23% | 9.21% | 6.75% | 7.64% |
| Sharpe Ratio | 0.81 | 0.81 | 0.56 | 0.57 | 0.50 | 0.46 | 0.45 | 0.39 |
| Max Drawdown | -9.18% | -9.18% | -18.85% | -25.26% | -21.09% | -36.07% | -47.98% | -52.27% |
| % Time Invested | 100.0% | 100.0% | 80.4% | 100.0% | 87.4% | 100.0% | 82.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2023-09-27 | 2024-04-26 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.14% | Interest Income | |
| 2023-09-15 | 2023-09-27 | Completed | 100% | $29.75 | $28.18 | -5.31% | Stop | |
| 2023-06-08 | 2023-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2022-10-25 | 2023-06-08 | Completed | 100% | $28.58 | $30.13 | 5.35% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-07-13 | 2022-10-03 | Completed | 100% | $30.70 | $29.71 | -3.28% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-03-26 | 2022-06-17 | Completed | 100% | $27.00 | $28.84 | 6.76% | Stop | |
| 2021-03-04 | 2021-03-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-03 | 2021-03-04 | Completed | 100% | $21.94 | $24.92 | 13.49% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-25 | 2020-03-12 | Completed | 100% | $21.37 | $23.52 | 9.98% | Stop | |
| 2018-12-21 | 2019-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2018-03-02 | 2018-12-21 | Completed | 100% | $18.80 | $21.59 | 14.82% | Signal | |
| 2018-02-07 | 2018-03-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-09-25 | 2018-02-07 | Completed | 100% | $15.05 | $18.51 | 22.92% | Stop | |
| 2015-09-02 | 2015-09-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-05-13 | 2015-09-02 | Completed | 100% | $8.68 | $14.63 | 68.39% | Stop | |
| 2009-01-14 | 2010-05-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2009-01-06 | 2009-01-14 | Completed | 100% | $8.19 | $7.66 | -6.45% | Stop | |
| 2008-11-05 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2008-11-03 | 2008-11-05 | Completed | 100% | $7.91 | $7.83 | -0.97% | Signal | |
| 2008-10-10 | 2008-11-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2008-10-02 | 2008-10-10 | Completed | 100% | $8.80 | $7.03 | -20.22% | Stop | |
| 2008-09-10 | 2008-10-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2008-02-14 | 2008-09-10 | Completed | 100% | $10.48 | $9.39 | -10.41% | Stop | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-09-04 | 2008-01-23 | Completed | 100% | $4.89 | $9.77 | 99.70% | Stop | |
| 2003-02-10 | 2003-09-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2002-12-18 | 2003-02-10 | Completed | 100% | $4.25 | $4.00 | -5.82% | Stop | |
| 2002-03-18 | 2002-12-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2001-11-16 | 2002-03-18 | Completed | 100% | $6.03 | $5.94 | -1.46% | Signal | |
| 2001-10-25 | 2001-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2001-02-16 | 2001-10-25 | Completed | 100% | $6.63 | $5.92 | -10.69% | Stop | |
| 2000-12-12 | 2001-02-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |