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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.1% (compared to the benchmark's drawdown of -16.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.0%, compared to a Buy-and-Hold benchmark return of 1.5%. The strategy executed 11 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.
📊 Mathematical Model
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
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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VGIT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.19% | 2.25% | 2.08% | -0.20% | 2.14% | 1.12% | 1.96% | 1.50% |
| Sharpe Ratio | 1.00 | 0.67 | 0.59 | -0.04 | 0.66 | 0.25 | 0.61 | 0.35 |
| Max Drawdown | -2.83% | -2.83% | -4.34% | -15.02% | -4.72% | -16.05% | -5.13% | -16.05% |
| % Time Invested | 88.5% | 100.0% | 59.2% | 100.0% | 63.6% | 100.0% | 69.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.7 | 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 | ||||||||
| 2025-02-25 | 2025-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-04 | 2025-02-25 | Completed | 100% | $53.75 | $55.78 | 3.72% | Signal | |
| 2023-08-14 | 2024-01-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.14% | Interest Income | |
| 2023-03-22 | 2023-08-14 | Completed | 100% | $52.81 | $52.01 | -1.55% | Signal | |
| 2021-10-29 | 2023-03-22 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.12% | Interest Income | |
| 2021-08-20 | 2021-10-29 | Completed | 100% | $58.95 | $57.78 | -2.03% | Signal | |
| 2020-12-18 | 2021-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2018-12-06 | 2020-12-18 | Completed | 100% | $51.28 | $59.41 | 15.80% | Signal | |
| 2018-11-08 | 2018-12-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2018-05-29 | 2018-11-08 | Completed | 100% | $50.57 | $50.31 | -0.57% | Signal | |
| 2017-12-21 | 2018-05-29 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2017-06-02 | 2017-12-21 | Completed | 100% | $51.64 | $51.11 | -1.07% | Signal | |
| 2016-11-25 | 2017-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2015-08-31 | 2016-11-25 | Completed | 100% | $50.19 | $50.54 | 0.64% | Signal | |
| 2015-08-07 | 2015-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-02-26 | 2015-08-07 | Completed | 100% | $48.00 | $49.89 | 3.88% | Signal | |
| 2013-06-25 | 2014-02-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-04-12 | 2013-06-25 | Completed | 100% | $48.80 | $47.23 | -3.27% | Signal | |
| 2013-02-27 | 2013-04-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-11-16 | 2013-02-27 | Completed | 100% | $47.02 | $48.55 | 3.19% | Signal | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |