BLV
Vanguard Long-term Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for BLV (Vanguard Long-term Bond Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -14.9% (compared to the benchmark's drawdown of -38.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.6%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 7 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.
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BLV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.32% | 2.09% | 1.02% | -4.76% | 2.57% | 0.28% | 4.57% | 3.96% |
| Sharpe Ratio | 0.58 | 0.26 | 0.19 | -0.38 | 0.33 | 0.02 | 0.51 | 0.34 |
| Max Drawdown | -4.22% | -5.73% | -8.19% | -36.27% | -14.91% | -38.29% | -14.91% | -38.29% |
| % Time Invested | 25.4% | 100.0% | 25.5% | 100.0% | 61.3% | 100.0% | 73.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.4 | 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 | ||||||||
| 2025-04-23 | 2025-08-29 | Completed | 100% | $64.95 | $66.20 | 1.87% | Signal | |
| 2024-11-04 | 2025-04-23 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.98% | Interest Income | |
| 2024-08-05 | 2024-11-04 | Completed | 100% | $68.39 | $65.86 | -3.75% | Stop | |
| 2023-05-25 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.07 | 6.54% | Interest Income | |
| 2023-04-10 | 2023-05-25 | Completed | 100% | $66.43 | $63.01 | -5.19% | Stop | |
| 2021-12-09 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.34% | Interest Income | |
| 2020-04-06 | 2021-12-09 | Completed | 100% | $80.39 | $85.02 | 5.71% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-13 | Completed | 100% | $61.98 | $76.91 | 24.02% | Stop | |
| 2018-11-08 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2014-08-12 | 2018-11-08 | Completed | 100% | $54.83 | $60.54 | 10.36% | Signal | |
| 2013-11-14 | 2014-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-04-02 | 2013-11-14 | Completed | 100% | $33.96 | $48.48 | 42.68% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |