BSV
Vanguard Short-term Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-03
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 | 2.84% | 2.09% | 3.32% | 1.54% | 2.66% | 1.88% | 2.41% | 2.04% |
| Sharpe Ratio | 2.07 | 1.20 | 2.75 | 0.56 | 1.75 | 0.79 | 1.53 | 0.95 |
| 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% | 84.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 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 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 | ||||||||
| 2025-07-15 | 2026-05-26 | Completed | 33.33% | $75.20 | $77.43 | 2.92% | Signal | |
| 2025-04-15 | 2026-03-16 | Completed | 33.33% | $74.31 | $77.46 | 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% | $71.97 | $74.88 | 3.99% | Signal | |
| 2024-08-01 | 2024-12-23 | Completed | 33.33% | $71.97 | $72.70 | 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% | $69.71 | $71.14 | 2.00% | Signal | |
| 2024-01-11 | 2024-04-29 | Completed | 33.33% | $70.07 | $69.82 | -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% | $68.10 | $67.77 | -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% | $66.71 | $68.81 | 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% | $67.90 | $69.44 | 2.21% | Signal | |
| 2021-09-13 | 2021-11-04 | Completed | 33.33% | $71.53 | $71.11 | -0.64% | Signal | |
| 2021-07-16 | 2021-10-28 | Completed | 33.33% | $71.41 | $70.98 | -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% | $65.66 | $71.35 | 8.60% | Signal | |
| 2019-01-17 | 2021-04-07 | Completed | 33.33% | $65.20 | $71.25 | 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% | $64.51 | $64.06 | -0.75% | Signal | |
| 2017-04-27 | 2017-11-24 | Completed | 33.33% | $64.11 | $64.38 | 0.36% | Signal | |
| 2009-04-02 | 2017-08-18 | Completed | 33.33% | $54.59 | $64.61 | 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% | $61.39 | $63.72 | 3.75% | Signal | |
| 2016-02-19 | 2016-11-25 | Completed | 33.33% | $63.36 | $63.51 | 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% | $61.41 | $63.00 | 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% | $61.49 | $61.02 | -0.82% | Signal | |
| 2009-04-02 | 2013-06-12 | Completed | 33.33% | $54.59 | $61.09 | 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% | $59.13 | $61.20 | 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% | $54.59 | $58.71 | 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 | |