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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.7% (compared to the benchmark's drawdown of -39.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 8.7%. The strategy executed 29 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
XLV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.09% | 21.86% | -3.93% | 6.19% | 0.93% | 9.88% | 2.79% | 8.69% |
| Sharpe Ratio | 0.26 | 1.27 | -0.36 | 0.40 | 0.07 | 0.57 | 0.23 | 0.48 |
| Max Drawdown | -11.16% | -10.47% | -28.70% | -17.11% | -28.70% | -28.40% | -28.70% | -39.17% |
| % Time Invested | 63.5% | 100.0% | 65.3% | 100.0% | 74.7% | 100.0% | 69.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.2 | 0.0 | 1.3 | 0.0 | 1.1 | 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 | ||||||||
| 2025-10-20 | 2026-05-19 | Completed | 100% | $141.90 | $144.98 | 2.12% | Signal | |
| 2025-05-15 | 2025-10-20 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2025-05-01 | 2025-05-15 | Completed | 100% | $135.78 | $125.66 | -7.50% | Stop | |
| 2024-12-20 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2024-01-03 | 2024-12-20 | Completed | 100% | $133.55 | $133.37 | -0.19% | Signal | |
| 2023-10-31 | 2024-01-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2023-08-09 | 2023-10-31 | Completed | 100% | $128.23 | $118.66 | -7.51% | Signal | |
| 2023-07-18 | 2023-08-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-05-12 | 2023-07-18 | Completed | 100% | $125.56 | $124.72 | -0.71% | Signal | |
| 2023-04-03 | 2023-05-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2022-12-06 | 2023-04-03 | Completed | 100% | $129.83 | $122.70 | -5.53% | Signal | |
| 2022-06-14 | 2022-12-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.50% | Interest Income | |
| 2020-06-01 | 2022-06-14 | Completed | 100% | $92.55 | $113.27 | 22.32% | Stop | |
| 2020-04-15 | 2020-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-04-06 | 2020-04-15 | Completed | 100% | $80.96 | $86.65 | 6.97% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-07-05 | 2020-03-13 | Completed | 100% | $83.35 | $79.83 | -4.26% | Stop | |
| 2019-05-16 | 2019-07-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2019-03-21 | 2019-05-16 | Completed | 100% | $80.49 | $77.81 | -3.38% | Signal | |
| 2019-02-27 | 2019-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-01-18 | 2019-02-27 | Completed | 100% | $78.88 | $80.96 | 2.58% | Signal | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-06-21 | 2018-12-26 | Completed | 100% | $74.11 | $71.25 | -3.90% | Stop | |
| 2018-05-21 | 2018-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2017-03-01 | 2018-05-21 | Completed | 100% | $64.34 | $72.64 | 12.84% | Signal | |
| 2016-11-25 | 2017-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2016-05-20 | 2016-11-25 | Completed | 100% | $58.39 | $58.94 | 0.89% | Signal | |
| 2015-10-01 | 2016-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2015-09-17 | 2015-10-01 | Completed | 100% | $59.59 | $55.50 | -6.92% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-01-04 | 2015-08-25 | Completed | 100% | $27.58 | $58.97 | 113.69% | Stop | |
| 2011-09-19 | 2012-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2011-09-19 | Completed | 100% | $25.91 | $25.41 | -1.95% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-11-02 | 2011-08-09 | Completed | 100% | $24.06 | $23.75 | -1.36% | Stop | |
| 2010-09-01 | 2010-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-08-10 | 2010-09-01 | Completed | 100% | $22.53 | $21.61 | -4.14% | Stop | |
| 2010-06-16 | 2010-08-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-07-08 | 2010-06-16 | Completed | 100% | $19.51 | $22.45 | 15.03% | Signal | |
| 2008-01-23 | 2009-07-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.32% | Interest Income | |
| 2007-10-12 | 2008-01-23 | Completed | 100% | $26.10 | $23.77 | -8.99% | Stop | |
| 2007-09-20 | 2007-10-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2006-09-05 | 2007-09-20 | Completed | 100% | $23.35 | $25.55 | 9.36% | Signal | |
| 2006-05-23 | 2006-09-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2005-12-27 | 2006-05-23 | Completed | 100% | $22.87 | $21.36 | -6.66% | Signal | |
| 2005-11-30 | 2005-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2005-01-28 | 2005-11-30 | Completed | 100% | $20.50 | $21.73 | 5.96% | Signal | |
| 2004-08-10 | 2005-01-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2003-04-30 | 2004-08-10 | Completed | 100% | $18.72 | $19.27 | 2.86% | Signal | |
| 2002-12-30 | 2003-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2002-10-21 | 2002-12-30 | Completed | 100% | $18.73 | $17.78 | -5.11% | Stop | |
| 2002-07-30 | 2002-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2002-07-26 | 2002-07-30 | Completed | 100% | $16.37 | $17.33 | 5.80% | Signal | |
| 2002-07-03 | 2002-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2002-02-28 | 2002-07-03 | Completed | 100% | $18.80 | $17.33 | -7.87% | Stop | |
| 2001-09-17 | 2002-02-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2001-06-06 | 2001-09-17 | Completed | 100% | $20.28 | $16.13 | -20.48% | Stop | |
| 2000-12-12 | 2001-06-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.15% | Interest Income | |