VCLT
Vanguard Long-term Corporate Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for VCLT (Vanguard Long-term Corporate 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 -21.9% (compared to the benchmark's drawdown of -34.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.6%, compared to a Buy-and-Hold benchmark return of 3.3%. The strategy executed 12 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VCLT:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for VCLT:
🛡️ Long-Term Investing Active Horizon
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
🛡️ VCLT Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-21.9% (vs -34.3% B&H)
+12.4% shallower drawdown
Drawdown Shield
12.4% Cut
Protected capital vs -34.3% B&H
Capital Sheltered from Risk
33.4% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 VCLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -5.67% | -5.87% | -13.46% | -34.31% | -21.90% | -34.31% | -21.90% | -34.31% |
| Sharpe Ratio | -0.32 | -0.34 | -0.10 | -0.28 | 0.13 | 0.13 | 0.19 | 0.28 |
| Sortino Ratio | -0.46 | -0.50 | -0.12 | -0.42 | 0.12 | 0.16 | 0.20 | 0.35 |
| CAGR | -2.39% | -2.59% | -0.82% | -3.51% | 1.07% | 1.68% | 1.60% | 3.28% |
| % Time Invested | 93.7% | 100.0% | 61.8% | 100.0% | 63.0% | 100.0% | 66.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.8 | 0.0 | 0.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for VCLT... Top Diversifiers for VCLT
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2026-05-07 | 2026-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-07-29 | 2026-05-07 | Completed | 100% | $70.53 | $73.73 | 4.49% | Signal | |
| 2025-01-28 | 2025-07-29 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.14% | Interest Income | |
| 2024-01-03 | 2025-01-28 | Completed | 100% | $68.14 | $68.75 | 0.86% | Signal | |
| 2023-08-23 | 2024-01-03 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.96% | Interest Income | |
| 2023-01-27 | 2023-08-23 | Completed | 100% | $66.86 | $63.05 | -5.74% | Signal | |
| 2022-02-01 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.38% | Interest Income | |
| 2021-07-20 | 2022-02-01 | Completed | 100% | $85.71 | $79.85 | -6.88% | Signal | |
| 2021-03-10 | 2021-07-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-03 | 2021-03-10 | Completed | 100% | $78.54 | $78.18 | -0.51% | Signal | |
| 2020-05-01 | 2020-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2020-05-01 | Completed | 100% | $71.87 | $76.96 | 7.02% | Signal | |
| 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% | $62.03 | $69.22 | 11.55% | Stop | |
| 2018-03-16 | 2019-01-28 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.81% | Interest Income | |
| 2017-05-18 | 2018-03-16 | Completed | 100% | $61.18 | $62.13 | 1.50% | Signal | |
| 2016-12-15 | 2017-05-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income | |
| 2016-03-17 | 2016-12-15 | Completed | 100% | $55.72 | $57.34 | 2.85% | Signal | |
| 2015-06-11 | 2016-03-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2013-10-24 | 2015-06-11 | Completed | 100% | $48.23 | $52.42 | 8.63% | Signal | |
| 2013-06-24 | 2013-10-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-05-01 | 2013-06-24 | Completed | 100% | $52.03 | $45.63 | -12.35% | Signal | |
| 2013-03-15 | 2013-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-11-16 | 2013-03-15 | Completed | 100% | $44.37 | $48.87 | 10.08% | Signal | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |