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 Moving Average (50/200)* 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 2.2%, compared to a Buy-and-Hold benchmark return of 2.0%. The strategy executed 8 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.
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BSV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.09% | 2.09% | 2.70% | 1.54% | 2.46% | 1.88% | 2.22% | 2.04% |
| Sharpe Ratio | 1.20 | 1.20 | 1.25 | 0.56 | 1.22 | 0.79 | 1.18 | 0.95 |
| Max Drawdown | -1.29% | -1.29% | -2.16% | -8.54% | -4.65% | -8.54% | -4.65% | -8.54% |
| % Time Invested | 100.0% | 100.0% | 73.2% | 100.0% | 74.7% | 100.0% | 82.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2023-10-19 | 2023-11-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-02 | 2023-10-19 | Completed | 100% | $68.06 | $67.56 | -0.78% | Signal | |
| 2021-10-25 | 2023-02-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.48% | Interest Income | |
| 2021-06-17 | 2021-10-25 | Completed | 100% | $71.35 | $70.99 | -0.55% | Signal | |
| 2021-04-07 | 2021-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2018-08-10 | 2021-04-07 | Completed | 100% | $64.21 | $71.25 | 10.90% | Signal | |
| 2018-01-05 | 2018-08-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.06% | Interest Income | |
| 2017-05-10 | 2018-01-05 | Completed | 100% | $64.07 | $64.21 | 0.17% | Signal | |
| 2016-12-13 | 2017-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2013-11-11 | 2016-12-13 | Completed | 100% | $61.41 | $63.51 | 3.36% | Signal | |
| 2013-06-26 | 2013-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-04-10 | 2013-06-26 | Completed | 100% | $61.44 | $60.83 | -1.05% | Signal | |
| 2013-03-18 | 2013-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-05-03 | 2013-03-18 | Completed | 100% | $59.13 | $61.29 | 3.60% | Signal | |
| 2011-04-08 | 2011-05-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2009-04-02 | 2011-04-08 | Completed | 100% | $54.59 | $58.55 | 7.20% | Signal | |
| 2009-03-31 | 2009-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |