VGLT
Vanguard Long-term Treasury Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VGLT (Vanguard Long-term Treasury Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.7% (compared to the benchmark's drawdown of -46.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.7%, compared to a Buy-and-Hold benchmark return of 0.8%. The strategy executed 8 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 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 Active
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.
🎯 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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VGLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.70% | 1.84% | 2.04% | -6.69% | 2.73% | -1.68% | 2.73% | 0.75% |
| Sharpe Ratio | 0.56 | 0.22 | 0.65 | -0.48 | 0.33 | -0.12 | 0.29 | 0.06 |
| Max Drawdown | -4.17% | -7.01% | -7.75% | -40.98% | -25.72% | -46.18% | -25.72% | -46.18% |
| % Time Invested | 15.1% | 100.0% | 9.6% | 100.0% | 39.5% | 100.0% | 50.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | 0.0 | 0.5 | 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 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 | ||||||||
| 2024-08-05 | 2024-10-22 | Completed | 100% | $57.32 | $53.97 | -5.89% | Stop | |
| 2021-09-01 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.11 | 10.85% | Interest Income | |
| 2021-03-16 | 2021-09-01 | Completed | 100% | $69.41 | $76.19 | 9.71% | Signal | |
| 2021-02-22 | 2021-03-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-13 | 2021-02-22 | Completed | 100% | $82.13 | $72.60 | -11.65% | Stop | |
| 2020-03-19 | 2020-04-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-11 | 2020-03-19 | Completed | 100% | $57.97 | $73.51 | 26.73% | Stop | |
| 2017-08-07 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.30% | Interest Income | |
| 2016-12-19 | 2017-08-07 | Completed | 100% | $54.67 | $58.79 | 7.50% | Signal | |
| 2016-11-25 | 2016-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2014-10-27 | 2016-11-25 | Completed | 100% | $52.84 | $56.03 | 5.99% | Stop | |
| 2013-09-26 | 2014-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-07-30 | 2013-09-26 | Completed | 100% | $46.04 | $45.79 | -0.58% | Signal | |
| 2013-07-08 | 2013-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-27 | 2013-07-08 | Completed | 100% | $47.93 | $45.68 | -4.73% | Stop | |
| 2011-12-22 | 2011-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |