VCSH
Vanguard Short-term Corporate Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-15
Executive Summary
The quantitative backtest for VCSH (Vanguard Short-term Corporate 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 -7.3% (compared to the benchmark's drawdown of -12.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.4%, compared to a Buy-and-Hold benchmark return of 2.7%. 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.
VCSH Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.34% | 4.21% | 3.44% | 2.38% | 2.39% | 2.68% | 2.40% | 2.71% |
| Sharpe Ratio | 2.47 | 2.13 | 2.46 | 0.82 | 1.35 | 0.79 | 1.40 | 0.91 |
| Max Drawdown | -1.40% | -1.40% | -2.54% | -9.48% | -7.30% | -12.86% | -7.30% | -12.86% |
| % Time Invested | 100.0% | 100.0% | 70.4% | 100.0% | 79.4% | 100.0% | 85.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.6 | 0.0 | 1.6 | 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 14 days) require a Premium subscription. Upgrade to Premium to Unlock | ||||||||
| 2025-07-03 | 2026-06-22 | Completed | 33.33% | $75.74 | $78.48 | 3.58% | Signal | |
| 2025-04-15 | 2026-04-10 | Completed | 33.33% | $74.09 | $78.39 | 5.74% | Signal | |
| 2025-06-10 | 2025-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-20 | 2025-06-10 | Completed | 33.33% | $69.81 | $75.12 | 7.55% | Signal | |
| 2025-01-03 | 2025-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income | |
| 2024-07-31 | 2025-01-03 | Completed | 33.33% | $71.64 | $73.07 | 1.95% | Signal | |
| 2024-05-14 | 2024-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2022-04-11 | 2024-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.66% | Interest Income | |
| 2024-01-08 | 2024-05-14 | Completed | 33.33% | $69.41 | $70.09 | 0.93% | Signal | |
| 2022-01-06 | 2024-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 8.65% | Interest Income | |
| 2023-05-17 | 2024-01-08 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.48% | Interest Income | |
| 2023-02-13 | 2023-05-17 | Completed | 33.33% | $66.17 | $66.96 | 1.14% | Signal | |
| 2021-11-05 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2020-04-08 | 2022-04-11 | Completed | 33.33% | $65.53 | $66.33 | 1.18% | Signal | |
| 2020-04-08 | 2022-01-06 | Completed | 33.33% | $65.53 | $69.20 | 5.54% | Signal | |
| 2021-06-21 | 2021-11-05 | Completed | 33.33% | $69.81 | $69.79 | -0.07% | Signal | |
| 2021-05-13 | 2021-06-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-05-27 | 2021-05-13 | Completed | 33.33% | $67.74 | $69.75 | 2.91% | Signal | |
| 2020-03-17 | 2020-05-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-17 | 2020-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-17 | 2020-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2019-07-15 | 2020-03-17 | Completed | 33.33% | $65.05 | $62.94 | -3.29% | Stop | |
| 2019-02-08 | 2020-03-17 | Completed | 33.33% | $62.97 | $62.94 | -0.10% | Stop | |
| 2019-02-06 | 2020-03-17 | Completed | 33.33% | $62.95 | $62.94 | -0.07% | Stop | |
| 2018-05-02 | 2019-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.69% | Interest Income | |
| 2018-11-23 | 2019-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income | |
| 2018-02-22 | 2019-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income | |
| 2018-08-24 | 2018-11-23 | Completed | 33.33% | $61.76 | $61.70 | -0.14% | Signal | |
| 2017-12-14 | 2018-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2011-11-16 | 2018-05-02 | Completed | 33.33% | $53.28 | $61.01 | 14.47% | Signal | |
| 2017-06-16 | 2018-02-22 | Completed | 33.33% | $61.30 | $61.03 | -0.49% | Signal | |
| 2017-04-05 | 2017-12-14 | Completed | 33.33% | $60.81 | $61.59 | 1.23% | Signal | |
| 2017-03-07 | 2017-06-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2016-12-06 | 2017-04-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2013-11-01 | 2017-03-07 | Completed | 33.33% | $56.99 | $60.55 | 6.19% | Signal | |
| 2016-03-31 | 2016-12-06 | Completed | 33.33% | $59.62 | $60.08 | 0.72% | Signal | |
| 2016-02-03 | 2016-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-10-14 | 2016-02-03 | Completed | 33.33% | $59.11 | $58.84 | -0.49% | Signal | |
| 2015-08-11 | 2015-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-09-17 | 2015-08-11 | Completed | 33.33% | $56.26 | $58.57 | 4.05% | Signal | |
| 2013-10-10 | 2013-11-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-16 | 2013-10-10 | Completed | 33.33% | $53.28 | $56.47 | 5.95% | Signal | |
| 2013-07-19 | 2013-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-01-23 | 2013-07-19 | Completed | 33.33% | $53.68 | $56.31 | 4.85% | Signal | |
| 2011-11-14 | 2012-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |