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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.1% (compared to the benchmark's drawdown of -52.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.4%, compared to a Buy-and-Hold benchmark return of 7.6%. The strategy executed 24 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
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% | 9.15% | 10.38% | 5.97% | 9.21% | 6.44% | 7.64% |
| Sharpe Ratio | 0.81 | 0.81 | 0.63 | 0.57 | 0.41 | 0.46 | 0.47 | 0.39 |
| Max Drawdown | -9.18% | -9.18% | -18.85% | -25.26% | -22.25% | -36.07% | -33.11% | -52.27% |
| % Time Invested | 100.0% | 100.0% | 71.2% | 100.0% | 74.0% | 100.0% | 74.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 0.9 | 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 | 2024-04-03 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.77% | Interest Income | |
| 2023-09-15 | 2023-09-27 | Completed | 100% | $29.75 | $28.18 | -5.31% | Stop | |
| 2023-02-23 | 2023-09-15 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.93% | Interest Income | |
| 2023-01-27 | 2023-02-23 | Completed | 100% | $30.93 | $30.25 | -2.23% | Signal | |
| 2022-10-31 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2022-10-25 | 2022-10-31 | Completed | 100% | $28.58 | $30.01 | 4.93% | 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 | |
| 2020-10-09 | 2022-06-17 | Completed | 100% | $26.82 | $28.84 | 7.47% | Stop | |
| 2020-06-22 | 2020-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-06-03 | 2020-06-22 | Completed | 100% | $25.25 | $23.73 | -6.04% | Stop | |
| 2020-04-09 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-03 | 2020-04-09 | Completed | 100% | $21.94 | $24.36 | 10.96% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-06-25 | 2020-03-12 | Completed | 100% | $19.78 | $23.52 | 18.82% | Stop | |
| 2018-02-06 | 2018-06-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2017-02-23 | 2018-02-06 | Completed | 100% | $18.74 | $18.58 | -0.91% | Signal | |
| 2016-11-15 | 2017-02-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2015-11-19 | 2016-11-15 | Completed | 100% | $15.21 | $17.00 | 11.68% | Signal | |
| 2015-09-02 | 2015-11-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-08-04 | 2015-09-02 | Completed | 100% | $15.51 | $14.63 | -5.74% | Stop | |
| 2015-05-18 | 2015-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-11-08 | 2015-05-18 | Completed | 100% | $12.80 | $15.37 | 19.99% | Signal | |
| 2013-10-17 | 2013-11-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-02-15 | 2013-10-17 | Completed | 100% | $11.79 | $12.43 | 5.35% | Signal | |
| 2012-12-20 | 2013-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-08-06 | 2012-12-20 | Completed | 100% | $8.92 | $11.35 | 27.29% | Signal | |
| 2010-06-30 | 2010-08-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2010-06-30 | Completed | 100% | $8.20 | $8.21 | 0.09% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-17 | 2010-05-07 | Completed | 100% | $7.86 | $8.32 | 5.71% | Stop | |
| 2009-01-14 | 2009-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2009-01-06 | 2009-01-14 | Completed | 100% | $8.19 | $7.66 | -6.45% | Stop | |
| 2008-08-05 | 2009-01-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2008-06-06 | 2008-08-05 | Completed | 100% | $10.95 | $9.72 | -11.28% | Signal | |
| 2008-03-12 | 2008-06-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2008-02-14 | 2008-03-12 | Completed | 100% | $10.48 | $10.02 | -4.45% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2006-06-23 | 2008-01-23 | Completed | 100% | $7.87 | $9.77 | 24.09% | Stop | |
| 2006-05-02 | 2006-06-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2003-05-07 | 2006-05-02 | Completed | 100% | $4.50 | $7.72 | 71.55% | Signal | |
| 2003-02-10 | 2003-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2002-12-18 | 2003-02-10 | Completed | 100% | $4.25 | $4.00 | -5.82% | Stop | |
| 2001-07-27 | 2002-12-18 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2001-04-17 | 2001-07-27 | Completed | 100% | $6.68 | $6.52 | -2.48% | Signal | |
| 2001-03-23 | 2001-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2000-12-14 | 2001-03-23 | Completed | 100% | $6.99 | $5.93 | -15.24% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |