VCLT
Vanguard Long-term Corporate Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VCLT (Vanguard Long-term Corporate Bond Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.5% (compared to the benchmark's drawdown of -34.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.2%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 8 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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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VCLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.75% | 1.94% | -3.35% | -3.32% | 0.74% | 1.53% | 1.20% | 3.32% |
| Sharpe Ratio | 0.70 | 0.25 | -0.46 | -0.27 | 0.08 | 0.12 | 0.14 | 0.28 |
| Max Drawdown | -4.46% | -5.25% | -24.47% | -34.31% | -24.47% | -34.31% | -24.47% | -34.31% |
| % Time Invested | 46.8% | 100.0% | 44.9% | 100.0% | 70.2% | 100.0% | 73.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 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 | ||||||||
| 2025-10-01 | 2026-04-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.99% | Interest Income | |
| 2024-08-05 | 2025-10-01 | Completed | 100% | $71.40 | $74.58 | 4.41% | Signal | |
| 2023-05-26 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.07 | 6.52% | Interest Income | |
| 2023-04-10 | 2023-05-26 | Completed | 100% | $67.62 | $64.27 | -4.99% | Stop | |
| 2022-04-19 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.23% | Interest Income | |
| 2022-04-04 | 2022-04-19 | Completed | 100% | $75.91 | $68.92 | -9.25% | Signal | |
| 2022-03-11 | 2022-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-06 | 2022-03-11 | Completed | 100% | $72.59 | $74.01 | 1.91% | Stop | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-28 | 2020-03-13 | Completed | 100% | $62.64 | $69.91 | 11.55% | Stop | |
| 2018-11-26 | 2019-01-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2016-07-08 | 2018-11-26 | Completed | 100% | $62.99 | $60.13 | -4.58% | Signal | |
| 2016-03-11 | 2016-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2014-08-12 | 2016-03-11 | Completed | 100% | $53.76 | $55.57 | 3.32% | Signal | |
| 2014-01-10 | 2014-08-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-11-16 | 2014-01-10 | Completed | 100% | $44.81 | $48.79 | 8.82% | Signal | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |