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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.8% (compared to the benchmark's drawdown of -38.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 4.0%. The strategy executed 13 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.
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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 | 2.28% | 2.09% | -3.06% | -4.76% | -0.04% | 0.28% | 3.18% | 3.96% |
| Sharpe Ratio | 0.34 | 0.26 | -0.39 | -0.38 | -0.00 | 0.02 | 0.36 | 0.34 |
| Max Drawdown | -4.91% | -5.73% | -22.33% | -36.27% | -26.78% | -38.29% | -26.78% | -38.29% |
| % Time Invested | 75.8% | 100.0% | 54.8% | 100.0% | 60.1% | 100.0% | 66.8% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 | 0.8 | 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 | ||||||||
| 2025-08-07 | 2026-05-12 | Completed | 100% | $66.64 | $67.61 | 1.41% | Signal | |
| 2025-01-08 | 2025-08-07 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.47% | Interest Income | |
| 2024-01-12 | 2025-01-08 | Completed | 100% | $65.43 | $62.60 | -4.36% | Signal | |
| 2023-08-15 | 2024-01-12 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.25% | Interest Income | |
| 2023-03-24 | 2023-08-15 | Completed | 100% | $65.78 | $61.49 | -6.57% | Signal | |
| 2023-03-02 | 2023-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2023-02-09 | 2023-03-02 | Completed | 100% | $65.86 | $61.79 | -6.23% | Signal | |
| 2022-02-08 | 2023-02-09 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.55% | Interest Income | |
| 2021-07-08 | 2022-02-08 | Completed | 100% | $84.85 | $78.85 | -7.12% | Signal | |
| 2021-02-12 | 2021-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2021-02-12 | Completed | 100% | $80.39 | $82.99 | 3.19% | 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 | |
| 2018-03-05 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.58% | Interest Income | |
| 2017-06-05 | 2018-03-05 | Completed | 100% | $62.95 | $62.29 | -1.11% | Signal | |
| 2016-12-05 | 2017-06-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2015-12-03 | 2016-12-05 | Completed | 100% | $56.65 | $58.48 | 3.17% | Signal | |
| 2015-06-16 | 2015-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-02-13 | 2015-06-16 | Completed | 100% | $50.42 | $55.47 | 9.96% | Signal | |
| 2013-06-14 | 2014-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-05-20 | 2013-06-14 | Completed | 100% | $52.62 | $50.91 | -3.30% | Signal | |
| 2013-02-13 | 2013-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-05-24 | 2013-02-13 | Completed | 100% | $42.36 | $51.48 | 21.49% | Signal | |
| 2011-01-12 | 2011-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-04-02 | 2011-01-12 | Completed | 100% | $33.96 | $39.84 | 17.24% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |