VGIT
Vanguard Intermediate-term Treasury Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VGIT (Vanguard Intermediate-term Treasury 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 -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 2.1%, compared to a Buy-and-Hold benchmark return of 1.5%. The strategy executed 26 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.
VGIT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.27% | 2.25% | 2.36% | -0.20% | 2.35% | 1.12% | 2.14% | 1.50% |
| Sharpe Ratio | 1.22 | 0.67 | 1.09 | -0.04 | 0.93 | 0.25 | 0.77 | 0.35 |
| Max Drawdown | -1.63% | -2.83% | -3.82% | -15.02% | -4.19% | -16.05% | -4.61% | -16.05% |
| % Time Invested | 100.0% | 100.0% | 60.4% | 100.0% | 76.9% | 100.0% | 84.3% | 100.0% |
| Trades / Year | 0.0 | 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 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 | ||||||||
| 2025-06-27 | 2026-05-20 | Completed | 33.33% | $57.23 | $58.09 | 1.45% | Signal | |
| 2025-04-21 | 2026-02-11 | Completed | 33.33% | $56.47 | $58.99 | 4.41% | Signal | |
| 2025-03-10 | 2025-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.30% | Interest Income | |
| 2024-12-17 | 2025-04-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-08-05 | 2025-03-10 | Completed | 33.33% | $56.24 | $56.18 | -0.16% | Signal | |
| 2024-08-05 | 2024-12-17 | Completed | 33.33% | $56.24 | $55.00 | -2.26% | Signal | |
| 2024-06-13 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2024-04-29 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2021-11-12 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.11 | 10.84% | Interest Income | |
| 2024-05-13 | 2024-06-13 | Completed | 33.33% | $53.21 | $53.95 | 1.34% | Signal | |
| 2022-01-07 | 2024-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 9.50% | Interest Income | |
| 2024-01-24 | 2024-04-29 | Completed | 33.33% | $53.77 | $52.65 | -2.14% | Signal | |
| 2023-07-11 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.95% | Interest Income | |
| 2023-06-15 | 2023-07-11 | Completed | 33.33% | $52.82 | $52.19 | -1.24% | Signal | |
| 2023-05-23 | 2023-06-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-02-23 | 2023-05-23 | Completed | 33.33% | $51.76 | $53.00 | 2.34% | Signal | |
| 2021-11-09 | 2023-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.74% | Interest Income | |
| 2021-12-09 | 2022-01-07 | Completed | 33.33% | $57.91 | $57.25 | -1.18% | Signal | |
| 2021-02-19 | 2021-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-05-29 | 2021-11-12 | Completed | 33.33% | $50.57 | $57.90 | 14.43% | Signal | |
| 2021-07-30 | 2021-11-09 | Completed | 33.33% | $59.02 | $58.28 | -1.32% | Signal | |
| 2020-11-23 | 2021-07-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-05-29 | 2021-02-19 | Completed | 33.33% | $50.57 | $58.75 | 16.12% | Signal | |
| 2020-02-28 | 2020-11-23 | Completed | 33.33% | $57.51 | $59.40 | 3.23% | Signal | |
| 2020-01-09 | 2020-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2018-12-07 | 2020-01-09 | Completed | 33.33% | $51.23 | $55.32 | 7.93% | Signal | |
| 2018-10-04 | 2018-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2018-05-29 | 2018-10-04 | Completed | 33.33% | $50.57 | $50.22 | -0.74% | Signal | |
| 2018-01-29 | 2018-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2017-11-21 | 2018-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2017-07-10 | 2018-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2017-08-22 | 2018-01-29 | Completed | 33.33% | $51.82 | $50.62 | -2.37% | Signal | |
| 2017-05-09 | 2017-11-21 | Completed | 33.33% | $51.02 | $51.42 | 0.74% | Signal | |
| 2017-01-03 | 2017-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2014-04-14 | 2017-07-10 | Completed | 33.33% | $48.25 | $51.27 | 6.21% | Signal | |
| 2016-11-14 | 2017-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2014-03-25 | 2017-01-03 | Completed | 33.33% | $47.67 | $50.39 | 5.64% | Signal | |
| 2016-02-19 | 2016-11-14 | Completed | 33.33% | $51.50 | $50.95 | -1.11% | Signal | |
| 2016-01-27 | 2016-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-21 | 2016-01-27 | Completed | 33.33% | $50.31 | $50.79 | 0.92% | Signal | |
| 2015-07-13 | 2015-09-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-12-02 | 2015-07-13 | Completed | 33.33% | $47.81 | $49.48 | 3.45% | Signal | |
| 2013-12-04 | 2014-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-06-20 | 2014-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-11-16 | 2013-12-04 | Completed | 33.33% | $47.02 | $47.63 | 1.24% | Signal | |
| 2013-07-08 | 2013-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-04-29 | 2013-07-08 | Completed | 33.33% | $48.98 | $47.05 | -4.00% | Signal | |
| 2011-11-16 | 2013-06-20 | Completed | 33.33% | $47.02 | $47.56 | 1.08% | Signal | |
| 2013-03-05 | 2013-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-11-16 | 2013-03-05 | Completed | 33.33% | $47.02 | $48.53 | 3.14% | Signal | |
| 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 | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |