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 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 2.5%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 11 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 | 5.22% | 5.22% | 1.60% | 0.19% | 1.91% | 1.64% | 2.47% | 2.74% |
| Sharpe Ratio | 1.38 | 1.38 | 0.38 | 0.03 | 0.42 | 0.29 | 0.61 | 0.57 |
| Max Drawdown | -2.68% | -2.68% | -4.86% | -17.91% | -8.67% | -18.58% | -8.67% | -18.58% |
| % Time Invested | 100.0% | 100.0% | 67.3% | 100.0% | 70.2% | 100.0% | 75.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 0.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-03-20 | Open | Open | 100% | $70.13 | $73.41 | 4.68% | Mark-to-Market |
| 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% | $66.58 | $69.60 | 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% | $65.05 | $63.48 | -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% | $74.21 | $72.01 | -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% | $62.74 | $72.40 | 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% | $63.03 | $61.92 | -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% | $62.29 | $62.07 | -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% | $60.09 | $60.98 | 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% | $56.62 | $58.98 | 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% | $57.54 | $56.31 | -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% | $52.39 | $56.71 | 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% | $46.11 | $50.88 | 10.29% | Signal |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |