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 Moving Average (50/200)* 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 2.4%, compared to a Buy-and-Hold benchmark return of 2.6%. The strategy executed 12 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for BND:
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 Model
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.
Switch to MMA to enable
🛡️ BND Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-8.7% (vs -18.6% B&H)
+9.9% shallower drawdown
Drawdown Shield
9.9% Cut
Protected capital vs -18.6% B&H
Capital Sheltered from Risk
25.3% 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 | -2.68% | -3.08% | -4.86% | -17.81% | -8.67% | -18.58% | -8.67% | -18.58% |
| Sharpe Ratio | 0.20 | -0.24 | 0.36 | -0.10 | 0.41 | 0.25 | 0.60 | 0.53 |
| Sortino Ratio | 0.28 | -0.38 | 0.46 | -0.16 | 0.39 | 0.31 | 0.63 | 0.67 |
| CAGR | 0.66% | -0.88% | 1.53% | -0.61% | 1.83% | 1.40% | 2.41% | 2.58% |
| % Time Invested | 86.1% | 100.0% | 67.1% | 100.0% | 68.8% | 100.0% | 74.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 | 0.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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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.
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|---|---|---|---|
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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 | ||||||||
| 2025-02-26 | 2025-03-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-26 | Completed | 100% | $65.89 | $68.88 | 4.48% | Signal | |
| 2023-08-22 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.01% | Interest Income | |
| 2023-02-07 | 2023-08-22 | Completed | 100% | $64.38 | $62.82 | -2.47% | Signal | |
| 2022-01-11 | 2023-02-07 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.52% | Interest Income | |
| 2021-08-03 | 2022-01-11 | Completed | 100% | $73.45 | $71.27 | -3.02% | Signal | |
| 2021-02-26 | 2021-08-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-07 | 2021-02-26 | Completed | 100% | $62.10 | $71.66 | 15.34% | Signal | |
| 2018-11-09 | 2018-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2018-08-22 | 2018-11-09 | Completed | 100% | $62.38 | $61.29 | -1.80% | Signal | |
| 2018-02-20 | 2018-08-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2017-05-26 | 2018-02-20 | Completed | 100% | $61.64 | $61.43 | -0.39% | Signal | |
| 2016-12-07 | 2017-05-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2015-10-19 | 2016-12-07 | Completed | 100% | $59.47 | $60.36 | 1.44% | Signal | |
| 2015-07-02 | 2015-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-01-28 | 2015-07-02 | Completed | 100% | $56.04 | $58.37 | 4.11% | Signal | |
| 2013-06-10 | 2014-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-05 | 2013-06-10 | Completed | 100% | $56.95 | $55.73 | -2.19% | Signal | |
| 2013-02-13 | 2013-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-05-02 | 2013-02-13 | Completed | 100% | $51.86 | $56.12 | 8.18% | Signal | |
| 2011-02-10 | 2011-05-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-04-02 | 2011-02-10 | Completed | 100% | $45.64 | $50.35 | 10.29% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |