VGIT Vanguard Intermediate-term Treasury Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VGIT (Vanguard Intermediate-term Treasury 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 -4.6% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 1.6%. The strategy executed 26 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.
VGIT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.76% | 3.81% | 2.62% | 0.14% | 2.69% | 1.33% | 2.30% | 1.56% |
| Sharpe Ratio | 1.29 | 1.11 | 1.15 | 0.03 | 1.02 | 0.30 | 0.82 | 0.37 |
| Max Drawdown | -1.61% | -2.83% | -3.76% | -15.02% | -4.59% | -16.05% | -4.59% | -16.05% |
| % Time Invested | 100.0% | 100.0% | 60.4% | 100.0% | 76.9% | 100.0% | 84.1% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 0.0 | 1.7 | 0.0 | 1.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | Open | Open | 33.33% | $56.60 | $59.09 | 4.39% | Mark-to-Market |
| 2026-05-20 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $57.60 | $58.47 | 1.50% | Signal |
| 2026-03-03 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2026-02-11 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2025-04-21 | 2026-02-11 | Completed | 33.33% | $56.83 | $59.37 | 4.47% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-10 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-12-17 | 2025-04-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2024-08-05 | 2025-03-10 | Completed | 33.33% | $56.60 | $56.54 | -0.11% | Signal |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $56.60 | $55.35 | -2.21% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-06-13 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income |
| 2024-04-29 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-05-13 | 2024-06-13 | Completed | 33.33% | $53.56 | $54.30 | 1.39% | Signal |
| 2023-06-02 | 2024-05-13 | Interest (FLOT) | 33.33% | $1.00 | $1.07 | 6.52% | Interest Income |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $54.12 | $52.99 | -2.09% | Signal |
| 2023-07-11 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.51% | Interest Income |
| 2023-06-15 | 2023-07-11 | Completed | 33.33% | $53.16 | $52.53 | -1.19% | Signal |
| 2023-06-02 | 2023-06-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | 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 |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $52.10 | $53.34 | 2.39% | 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 | 2023-02-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | 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 |
| 2022-03-02 | 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 |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-01-07 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-09 | 2022-01-07 | Completed | 33.33% | $58.28 | $57.62 | -1.13% | Signal |
| 2021-11-12 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-11-09 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2021-12-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2018-05-29 | 2021-11-12 | Completed | 33.33% | $50.90 | $58.27 | 14.49% | Signal |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $59.41 | $58.66 | -1.27% | Signal |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-07-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-02-19 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2020-12-02 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-05-29 | 2021-02-19 | Completed | 33.33% | $50.90 | $59.13 | 16.18% | Signal |
| 2020-11-23 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-02-28 | 2020-11-23 | Completed | 33.33% | $57.89 | $59.79 | 3.28% | Signal |
| 2020-01-09 | 2020-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2018-12-07 | 2020-01-09 | Completed | 33.33% | $51.56 | $55.68 | 7.98% | Signal |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-04 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2018-05-29 | 2018-10-04 | Completed | 33.33% | $50.90 | $50.54 | -0.70% | Signal |
| 2018-01-29 | 2018-05-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2017-11-21 | 2018-05-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2017-07-10 | 2018-05-29 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.79% | Interest Income |
| 2017-08-22 | 2018-01-29 | Completed | 33.33% | $52.16 | $50.95 | -2.32% | Signal |
| 2017-05-09 | 2017-11-21 | Completed | 33.33% | $51.35 | $51.76 | 0.79% | Signal |
| 2017-05-02 | 2017-08-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2014-04-14 | 2017-07-10 | Completed | 33.33% | $48.56 | $51.60 | 6.26% | Signal |
| 2017-05-02 | 2017-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-01-03 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2016-11-14 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2014-03-25 | 2017-01-03 | Completed | 33.33% | $47.98 | $50.71 | 5.69% | Signal |
| 2016-02-19 | 2016-11-14 | Completed | 33.33% | $51.83 | $51.28 | -1.06% | Signal |
| 2016-02-02 | 2016-02-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2016-01-27 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-09-21 | 2016-01-27 | Completed | 33.33% | $50.63 | $51.12 | 0.97% | Signal |
| 2015-09-02 | 2015-09-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-07-13 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-12-02 | 2015-07-13 | Completed | 33.33% | $48.12 | $49.80 | 3.50% | Signal |
| 2014-04-02 | 2014-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-03-04 | 2014-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-04 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-16 | 2013-12-04 | Completed | 33.33% | $47.33 | $47.94 | 1.29% | Signal |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2013-07-08 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-04-29 | 2013-07-08 | Completed | 33.33% | $49.30 | $47.35 | -3.96% | Signal |
| 2013-06-20 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2011-11-16 | 2013-06-20 | Completed | 33.33% | $47.33 | $47.87 | 1.14% | Signal |
| 2013-03-05 | 2013-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2011-11-16 | 2013-03-05 | Completed | 33.33% | $47.33 | $48.84 | 3.20% | Signal |
| 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 |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |