BSV
Vanguard Short-term Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-19
Executive Summary
The quantitative backtest for BSV (Vanguard Short-term Bond 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 -4.7% (compared to the benchmark's drawdown of -8.5%). 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 2.0%. The strategy executed 23 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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.
BSV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.71% | 3.33% | 3.33% | 1.65% | 2.67% | 1.92% | 2.41% | 2.05% |
| Sharpe Ratio | 2.36 | 1.81 | 2.75 | 0.60 | 1.75 | 0.80 | 1.52 | 0.96 |
| Max Drawdown | -1.05% | -1.29% | -1.64% | -8.54% | -4.65% | -8.54% | -4.65% | -8.54% |
| % Time Invested | 100.0% | 100.0% | 65.9% | 100.0% | 73.1% | 100.0% | 84.3% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 1.5 | 0.0 | 1.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-01 | Open | Open | 33.33% | $72.21 | $77.66 | 7.55% | Mark-to-Market |
| 2026-05-26 | Open | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Mark-to-Market |
| 2026-03-16 | Open | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.98% | Mark-to-Market |
| 2025-07-15 | 2026-05-26 | Completed | 33.33% | $75.45 | $77.69 | 2.92% | Signal |
| 2025-04-15 | 2026-03-16 | Completed | 33.33% | $74.56 | $77.72 | 4.19% | Signal |
| 2025-04-04 | 2025-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2024-12-23 | 2025-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2024-08-01 | 2025-04-04 | Completed | 33.33% | $72.21 | $75.13 | 3.99% | Signal |
| 2024-08-01 | 2024-12-23 | Completed | 33.33% | $72.21 | $72.94 | 0.96% | Signal |
| 2024-07-09 | 2024-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2024-04-29 | 2024-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income |
| 2022-02-15 | 2024-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.76% | Interest Income |
| 2024-04-17 | 2024-07-09 | Completed | 33.33% | $69.94 | $71.37 | 2.00% | Signal |
| 2024-01-11 | 2024-04-29 | Completed | 33.33% | $70.30 | $70.05 | -0.41% | Signal |
| 2021-11-04 | 2024-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.10% | Interest Income |
| 2023-06-30 | 2024-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.90% | Interest Income |
| 2023-06-06 | 2023-06-30 | Completed | 33.33% | $68.33 | $67.99 | -0.54% | Signal |
| 2023-05-12 | 2023-06-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2023-03-02 | 2023-05-12 | Completed | 33.33% | $66.93 | $69.04 | 3.10% | Signal |
| 2021-10-28 | 2023-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.84% | Interest Income |
| 2019-08-06 | 2022-02-15 | Completed | 33.33% | $68.13 | $69.67 | 2.21% | Signal |
| 2021-09-13 | 2021-11-04 | Completed | 33.33% | $71.77 | $71.34 | -0.64% | Signal |
| 2021-07-16 | 2021-10-28 | Completed | 33.33% | $71.65 | $71.22 | -0.65% | Signal |
| 2021-06-24 | 2021-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-04-07 | 2021-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-02-27 | 2021-06-24 | Completed | 33.33% | $65.89 | $71.59 | 8.60% | Signal |
| 2019-01-17 | 2021-04-07 | Completed | 33.33% | $65.42 | $71.49 | 9.21% | Signal |
| 2017-08-18 | 2019-08-06 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.82% | Interest Income |
| 2018-01-22 | 2019-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.26% | Interest Income |
| 2017-11-24 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.21% | Interest Income |
| 2017-08-07 | 2018-01-22 | Completed | 33.33% | $64.73 | $64.28 | -0.75% | Signal |
| 2017-04-27 | 2017-11-24 | Completed | 33.33% | $64.33 | $64.60 | 0.36% | Signal |
| 2009-04-02 | 2017-08-18 | Completed | 33.33% | $54.78 | $64.83 | 18.28% | Signal |
| 2017-01-30 | 2017-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2016-11-25 | 2017-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2014-01-21 | 2017-01-30 | Completed | 33.33% | $61.59 | $63.93 | 3.75% | Signal |
| 2016-02-19 | 2016-11-25 | Completed | 33.33% | $63.58 | $63.73 | 0.19% | Signal |
| 2016-01-26 | 2016-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2013-11-11 | 2016-01-26 | Completed | 33.33% | $61.62 | $63.22 | 2.54% | Signal |
| 2013-06-12 | 2014-01-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2013-07-12 | 2013-11-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2013-05-06 | 2013-07-12 | Completed | 33.33% | $61.70 | $61.22 | -0.82% | Signal |
| 2009-04-02 | 2013-06-12 | Completed | 33.33% | $54.78 | $61.29 | 11.84% | Signal |
| 2013-02-08 | 2013-05-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-05-03 | 2013-02-08 | Completed | 33.33% | $59.33 | $61.41 | 3.45% | Signal |
| 2011-02-01 | 2011-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2011-02-01 | Completed | 33.33% | $54.78 | $58.91 | 7.48% | 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 |