BND
Vanguard Total Bond Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-16
Executive Summary
The quantitative backtest for BND (Vanguard Total Bond Market 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 -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 3.2%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 3 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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BND Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.22% | 5.22% | 2.80% | 0.19% | 2.90% | 1.64% | 3.24% | 2.74% |
| Sharpe Ratio | 1.38 | 1.38 | 0.91 | 0.03 | 0.70 | 0.29 | 0.84 | 0.57 |
| Max Drawdown | -2.68% | -2.68% | -4.74% | -17.91% | -8.67% | -18.58% | -8.67% | -18.58% |
| % Time Invested | 100.0% | 100.0% | 49.2% | 100.0% | 69.2% | 100.0% | 77.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.2 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 100% | $69.69 | $73.41 | 5.34% | Mark-to-Market |
| 2022-01-19 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.82% | Interest Income |
| 2018-12-07 | 2022-01-19 | Completed | 100% | $62.74 | $71.58 | 14.02% | Signal |
| 2018-05-23 | 2018-12-07 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2014-08-26 | 2018-05-23 | Completed | 100% | $58.45 | $61.77 | 5.63% | Signal |
| 2013-11-25 | 2014-08-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2009-04-02 | 2013-11-25 | Completed | 100% | $46.11 | $56.25 | 21.93% | Signal |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |