BND
Vanguard Total Bond Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-31
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.
📊 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.
Switch to MMA to enable
BND Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.95% | 2.64% | 1.40% | -0.47% | 1.72% | 1.42% | 2.40% | 2.65% |
| Sharpe Ratio | 0.80 | 0.71 | 0.33 | -0.08 | 0.38 | 0.25 | 0.60 | 0.55 |
| Max Drawdown | -2.68% | -2.68% | -4.86% | -17.91% | -8.67% | -18.58% | -8.67% | -18.58% |
| % Time Invested | 98.0% | 100.0% | 69.4% | 100.0% | 70.0% | 100.0% | 75.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-26 | 2025-03-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-26 | Completed | 100% | $66.36 | $69.36 | 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% | $64.83 | $63.26 | -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% | $73.97 | $71.77 | -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% | $62.53 | $72.16 | 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% | $62.82 | $61.72 | -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% | $62.08 | $61.86 | -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% | $59.89 | $60.78 | 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% | $56.43 | $58.78 | 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% | $57.35 | $56.12 | -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% | $52.22 | $56.52 | 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% | $45.96 | $50.71 | 10.29% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |