BND

Vanguard Total Bond Market Index Fund ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-14

Executive Summary

The quantitative backtest for BND (Vanguard Total Bond Market Index Fund ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.7% (compared to the benchmark's drawdown of -18.6%). 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 2.6%. The strategy executed 32 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for BND:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for BND:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ BND Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-8.7% (vs -18.6% B&H)

+9.9% shallower drawdown

Downside Efficiency

0.89 Sortino

+0.22 vs 0.67 B&H

Capital Sheltered from Risk

30.3% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 BND Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-1.83%	-3.08%	-4.28%	-17.81%	-8.67%	-18.58%	-8.67%	-18.58%
Sharpe Ratio	0.23	-0.24	0.96	-0.10	0.65	0.25	0.85	0.53
Sortino Ratio	0.39	-0.38	1.21	-0.16	0.58	0.31	0.89	0.67
CAGR	0.66%	-0.88%	2.52%	-0.61%	2.13%	1.40%	2.76%	2.58%
% Time Invested	81.4%	100.0%	45.4%	100.0%	57.7%	100.0%	69.7%	100.0%
Trades / Year	0.0	0.0	1.8	0.0	2.1	0.0	1.8	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of BND under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 2.8% CAGR with a -8.7% Max Drawdown across 32 trade signals (compared to Buy & Hold's 2.6% CAGR and -18.6% Max Drawdown).

Histogram of monthly return distribution for BND under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **BND** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for BND

Explore Correlation Across Horizons →

Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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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. Subscribe to Unlock
2025-06-27	2026-06-09	Completed	33.33%	$69.83	$72.17	3.30%	Signal
2026-03-10	2026-06-01	Interest (CASH)	33.33%	$1.00	$1.01	0.83%	Interest Income
2025-08-21	2026-03-10	Completed	33.33%	$70.35	$72.89	3.56%	Signal
2025-10-17	2025-11-10	Interest (CASH)	33.33%	$1.00	$1.00	0.25%	Interest Income
2024-08-05	2025-10-17	Completed	33.33%	$68.97	$72.22	4.66%	Signal
2025-07-28	2025-08-21	Interest (CASH)	33.33%	$1.00	$1.00	0.30%	Interest Income
2025-04-29	2025-07-28	Completed	33.33%	$69.29	$69.71	0.55%	Signal
2025-03-17	2025-06-27	Interest (CASH)	33.33%	$1.00	$1.01	1.21%	Interest Income
2024-12-20	2025-04-29	Interest (CASH)	33.33%	$1.00	$1.01	1.46%	Interest Income
2024-04-19	2025-03-17	Completed	33.33%	$64.55	$68.92	6.72%	Signal
2024-08-05	2024-12-20	Completed	33.33%	$68.97	$67.49	-2.20%	Signal
2024-05-08	2024-08-05	Interest (CASH)	33.33%	$1.00	$1.01	1.27%	Interest Income
2022-01-03	2024-08-05	Interest (CASH)	33.33%	$1.00	$1.11	10.83%	Interest Income
2024-01-22	2024-05-08	Completed	33.33%	$65.83	$65.26	-0.91%	Signal
2022-02-16	2024-04-19	Interest (CASH)	33.33%	$1.00	$1.09	9.11%	Interest Income
2023-05-19	2024-01-22	Interest (CASH)	33.33%	$1.00	$1.04	3.64%	Interest Income
2023-02-13	2023-05-19	Completed	33.33%	$63.94	$64.25	0.44%	Signal
2021-12-01	2023-02-13	Interest (CASH)	33.33%	$1.00	$1.03	2.61%	Interest Income
2021-10-08	2022-02-16	Completed	33.33%	$72.18	$69.48	-3.80%	Signal
2020-04-06	2022-01-03	Completed	33.33%	$70.89	$72.10	1.65%	Signal
2021-07-21	2021-12-01	Completed	33.33%	$73.04	$72.48	-0.82%	Signal
2021-03-24	2021-10-08	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2021-02-25	2021-07-21	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-04-06	2021-03-24	Completed	33.33%	$70.89	$71.08	0.22%	Signal
2021-02-19	2021-02-25	Completed	33.33%	$72.38	$71.68	-1.01%	Signal
2020-12-16	2021-02-19	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-04-06	2020-12-16	Completed	33.33%	$70.89	$73.41	3.49%	Signal
2020-03-13	2020-04-06	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-03-13	2020-04-06	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-03-13	2020-04-06	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2018-12-07	2020-03-13	Completed	33.33%	$62.10	$66.96	7.77%	Stop
2018-12-07	2020-03-13	Completed	33.33%	$62.10	$66.96	7.77%	Stop
2018-12-07	2020-03-13	Completed	33.33%	$62.10	$66.96	7.77%	Stop
2018-10-24	2018-12-07	Interest (CASH)	33.33%	$1.00	$1.00	0.28%	Interest Income
2018-04-20	2018-12-07	Interest (CASH)	33.33%	$1.00	$1.01	1.33%	Interest Income
2018-03-12	2018-12-07	Interest (CASH)	33.33%	$1.00	$1.02	1.52%	Interest Income
2018-08-21	2018-10-24	Completed	33.33%	$62.28	$61.53	-1.26%	Signal
2018-01-10	2018-08-21	Interest (CASH)	33.33%	$1.00	$1.01	1.10%	Interest Income
2017-12-29	2018-04-20	Completed	33.33%	$62.77	$61.41	-2.21%	Signal
2017-08-02	2018-03-12	Completed	33.33%	$62.44	$61.36	-1.79%	Signal
2017-05-02	2018-01-10	Completed	33.33%	$61.25	$62.29	1.66%	Signal
2017-10-11	2017-12-29	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2014-08-18	2017-10-11	Completed	33.33%	$57.87	$62.56	8.04%	Signal
2017-02-02	2017-08-02	Interest (CASH)	33.33%	$1.00	$1.00	0.42%	Interest Income
2016-11-25	2017-05-02	Interest (CASH)	33.33%	$1.00	$1.00	0.26%	Interest Income
2016-01-11	2017-02-02	Completed	33.33%	$59.18	$60.53	2.24%	Signal
2015-10-15	2016-11-25	Completed	33.33%	$59.52	$60.22	1.13%	Signal
2015-09-24	2016-01-11	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2015-06-26	2015-10-15	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2014-03-06	2015-09-24	Completed	33.33%	$56.36	$59.18	4.94%	Signal
2013-11-27	2015-06-26	Completed	33.33%	$55.75	$58.17	4.27%	Signal
2013-11-12	2014-08-18	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2013-05-01	2014-03-06	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2013-07-01	2013-11-27	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2009-04-02	2013-11-12	Completed	33.33%	$45.64	$55.36	21.25%	Signal
2013-04-05	2013-07-01	Completed	33.33%	$56.95	$55.03	-3.41%	Signal
2011-06-01	2013-05-01	Completed	33.33%	$52.49	$57.15	8.81%	Signal
2013-01-29	2013-04-05	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2011-05-09	2013-01-29	Completed	33.33%	$52.10	$56.19	7.79%	Signal
2011-05-03	2011-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-01-20	2011-05-09	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2009-04-02	2011-05-03	Completed	33.33%	$45.64	$51.84	13.55%	Signal
2009-04-02	2011-01-20	Completed	33.33%	$45.64	$50.86	11.39%	Signal
2009-03-31	2009-04-02	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2009-03-31	2009-04-02	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2009-03-31	2009-04-02	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where BND ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with BND → ⚖️ Compare BND vs Non-Correlated Assets →

BND