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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.3% (compared to the benchmark's drawdown of -46.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.7%, compared to a Buy-and-Hold benchmark return of 0.8%. The strategy executed 13 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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VGLT Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.73% | 1.84% | -0.57% | -6.69% | -0.07% | -1.68% | 1.74% | 0.75% |
| Sharpe Ratio | 0.38 | 0.22 | -0.07 | -0.48 | -0.01 | -0.12 | 0.18 | 0.06 |
| Max Drawdown | -5.12% | -7.01% | -14.09% | -40.98% | -26.33% | -46.18% | -26.33% | -46.18% |
| % Time Invested | 69.8% | 100.0% | 46.9% | 100.0% | 53.6% | 100.0% | 57.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 0.9 | 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 | ||||||||
| 2025-08-28 | 2026-05-12 | Completed | 100% | $53.20 | $54.07 | 1.60% | Signal | |
| 2024-12-20 | 2025-08-28 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.92% | Interest Income | |
| 2024-06-27 | 2024-12-20 | Completed | 100% | $53.48 | $52.28 | -2.29% | Signal | |
| 2024-06-04 | 2024-06-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-01-29 | 2024-06-04 | Completed | 100% | $53.01 | $52.81 | -0.43% | Signal | |
| 2023-07-28 | 2024-01-29 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.73% | Interest Income | |
| 2023-05-02 | 2023-07-28 | Completed | 100% | $56.39 | $54.25 | -3.85% | Signal | |
| 2022-02-15 | 2023-05-02 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.64% | Interest Income | |
| 2021-07-08 | 2022-02-15 | Completed | 100% | $75.74 | $69.77 | -7.93% | Signal | |
| 2020-11-16 | 2021-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-04-13 | 2020-11-16 | Completed | 100% | $82.13 | $79.50 | -3.25% | Signal | |
| 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 | |
| 2018-09-28 | 2018-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2018-08-21 | 2018-09-28 | Completed | 100% | $58.51 | $57.00 | -2.63% | Signal | |
| 2018-02-16 | 2018-08-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.95% | Interest Income | |
| 2017-06-21 | 2018-02-16 | Completed | 100% | $59.49 | $56.64 | -4.84% | Signal | |
| 2016-11-18 | 2017-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2016-01-22 | 2016-11-18 | Completed | 100% | $56.58 | $56.23 | -0.67% | Signal | |
| 2015-12-29 | 2016-01-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-11-27 | 2015-12-29 | Completed | 100% | $54.77 | $55.20 | 0.73% | Signal | |
| 2015-06-22 | 2015-11-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-03-05 | 2015-06-22 | Completed | 100% | $46.88 | $52.97 | 12.93% | Signal | |
| 2013-01-30 | 2014-03-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2011-12-27 | 2013-01-30 | Completed | 100% | $47.93 | $48.96 | 2.09% | Signal | |
| 2011-12-22 | 2011-12-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |