VCSH Vanguard Short-term Corporate Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VCSH (Vanguard Short-term Corporate Bond Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.2% (compared to the benchmark's drawdown of -12.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.6%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 22 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
VCSH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.77% | 4.82% | 3.58% | 2.36% | 2.64% | 2.76% | 2.56% | 2.72% |
| Sharpe Ratio | 2.63 | 2.50 | 2.14 | 0.81 | 1.39 | 0.81 | 1.41 | 0.92 |
| Max Drawdown | -1.40% | -1.40% | -2.57% | -9.48% | -7.24% | -12.86% | -7.24% | -12.86% |
| % Time Invested | 100.0% | 100.0% | 70.4% | 100.0% | 79.4% | 100.0% | 85.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.5 | 0.0 | 1.5 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-07-03 | Open | Open | 33.33% | $76.30 | $79.19 | 3.79% | Mark-to-Market |
| 2024-07-31 | Open | Open | 33.33% | $72.17 | $79.19 | 9.73% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-10 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-04-15 | 2026-04-10 | Completed | 33.33% | $74.65 | $78.97 | 5.79% | Signal |
| 2025-06-10 | 2025-07-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2024-03-20 | 2025-06-10 | Completed | 33.33% | $70.32 | $75.67 | 7.61% | Signal |
| 2025-01-03 | 2025-04-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2024-07-31 | 2025-01-03 | Completed | 33.33% | $72.17 | $73.62 | 2.00% | Signal |
| 2024-05-14 | 2024-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income |
| 2023-06-02 | 2024-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.86% | Interest Income |
| 2024-01-08 | 2024-05-14 | Completed | 33.33% | $69.92 | $70.61 | 0.98% | Signal |
| 2023-06-02 | 2024-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 5.49% | Interest Income |
| 2023-06-02 | 2024-01-08 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.86% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-17 | Completed | 33.33% | $66.66 | $67.45 | 1.19% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-04-11 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2020-04-08 | 2022-04-11 | Completed | 33.33% | $66.02 | $66.83 | 1.23% | Signal |
| 2022-01-06 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-08 | 2022-01-06 | Completed | 33.33% | $66.02 | $69.71 | 5.60% | Signal |
| 2021-11-05 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-21 | 2021-11-05 | Completed | 33.33% | $70.33 | $70.31 | -0.02% | Signal |
| 2021-05-13 | 2021-06-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-05-27 | 2021-05-13 | Completed | 33.33% | $68.25 | $70.27 | 2.96% | Signal |
| 2020-03-17 | 2020-05-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2020-03-17 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2020-03-17 | 2020-04-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2019-07-15 | 2020-03-17 | Completed | 33.33% | $65.53 | $63.41 | -3.25% | Stop |
| 2019-02-08 | 2020-03-17 | Completed | 33.33% | $63.44 | $63.41 | -0.05% | Stop |
| 2019-02-06 | 2020-03-17 | Completed | 33.33% | $63.42 | $63.41 | -0.02% | Stop |
| 2019-03-04 | 2019-07-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.26% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-02-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2018-12-04 | 2019-02-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2018-11-23 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-08-24 | 2018-11-23 | Completed | 33.33% | $62.22 | $62.16 | -0.09% | Signal |
| 2018-05-02 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2018-02-22 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2017-12-14 | 2018-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2011-11-16 | 2018-05-02 | Completed | 33.33% | $53.67 | $61.47 | 14.52% | Signal |
| 2017-06-16 | 2018-02-22 | Completed | 33.33% | $61.75 | $61.48 | -0.44% | Signal |
| 2017-04-05 | 2017-12-14 | Completed | 33.33% | $61.26 | $62.05 | 1.28% | Signal |
| 2017-05-02 | 2017-06-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-04-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2017-03-07 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-12-06 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2013-11-01 | 2017-03-07 | Completed | 33.33% | $57.41 | $61.00 | 6.25% | Signal |
| 2016-03-31 | 2016-12-06 | Completed | 33.33% | $60.07 | $60.53 | 0.77% | Signal |
| 2016-03-02 | 2016-03-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-03 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-10-14 | 2016-02-03 | Completed | 33.33% | $59.55 | $59.28 | -0.44% | Signal |
| 2015-09-02 | 2015-10-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2015-08-11 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-09-17 | 2015-08-11 | Completed | 33.33% | $56.68 | $59.00 | 4.10% | Signal |
| 2013-10-10 | 2013-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2011-11-16 | 2013-10-10 | Completed | 33.33% | $53.67 | $56.89 | 6.00% | Signal |
| 2013-08-02 | 2013-09-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2013-07-19 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-01-23 | 2013-07-19 | Completed | 33.33% | $54.08 | $56.73 | 4.91% | Signal |
| 2012-01-04 | 2012-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-14 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |