XLV
The Health Care Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for XLV (The Health Care 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 -23.5% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.2%, compared to a Buy-and-Hold benchmark return of 8.7%. The strategy executed 18 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
XLV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 10.07% | 21.86% | 2.67% | 6.19% | 6.24% | 9.88% | 6.24% | 8.69% |
| Sharpe Ratio | 0.68 | 1.27 | 0.19 | 0.40 | 0.42 | 0.57 | 0.47 | 0.48 |
| Max Drawdown | -10.47% | -10.47% | -20.38% | -17.11% | -20.38% | -28.40% | -23.51% | -39.17% |
| % Time Invested | 76.2% | 100.0% | 79.8% | 100.0% | 84.4% | 100.0% | 76.4% | 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 | ||||||||
| 2025-08-19 | 2025-11-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2025-05-01 | 2025-08-19 | Completed | 100% | $135.78 | $133.54 | -1.70% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-08 | Completed | 100% | $123.08 | $136.39 | 10.76% | Stop | |
| 2023-03-20 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.44% | Interest Income | |
| 2022-07-08 | 2023-03-20 | Completed | 100% | $121.64 | $118.94 | -2.27% | Signal | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-04-06 | 2022-06-14 | Completed | 100% | $80.96 | $113.27 | 39.83% | Stop | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-18 | 2020-03-13 | Completed | 100% | $78.88 | $79.83 | 1.15% | Stop | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-02-22 | 2018-12-26 | Completed | 100% | $63.03 | $71.25 | 12.99% | Stop | |
| 2016-10-12 | 2017-02-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-10-10 | 2016-10-12 | Completed | 100% | $61.14 | $59.81 | -2.23% | Signal | |
| 2016-09-16 | 2016-10-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-09-16 | Completed | 100% | $59.59 | $61.13 | 2.53% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $25.91 | $58.97 | 127.52% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-07-27 | 2011-08-09 | Completed | 100% | $22.02 | $23.75 | 7.80% | Stop | |
| 2010-07-02 | 2010-07-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-11-11 | 2010-07-02 | Completed | 100% | $22.51 | $21.34 | -5.25% | Stop | |
| 2008-06-18 | 2009-11-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2008-02-14 | 2008-06-18 | Completed | 100% | $24.29 | $22.45 | -7.63% | Signal | |
| 2008-01-23 | 2008-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-03-23 | 2008-01-23 | Completed | 100% | $24.35 | $23.77 | -2.45% | Stop | |
| 2007-02-26 | 2007-03-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2005-09-15 | 2007-02-26 | Completed | 100% | $22.27 | $24.60 | 10.37% | Signal | |
| 2005-05-05 | 2005-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.17% | Interest Income | |
| 2004-11-17 | 2005-05-05 | Completed | 100% | $20.03 | $21.89 | 9.23% | Signal | |
| 2004-10-26 | 2004-11-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2003-07-23 | 2004-10-26 | Completed | 100% | $19.86 | $18.67 | -6.06% | Stop | |
| 2003-03-03 | 2003-07-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2003-02-04 | 2003-03-03 | Completed | 100% | $17.65 | $17.65 | -0.05% | Signal | |
| 2002-12-30 | 2003-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-10-21 | 2002-12-30 | Completed | 100% | $18.73 | $17.78 | -5.11% | Stop | |
| 2000-12-12 | 2002-10-21 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.11% | Interest Income | |