MGK
Vanguard Mega Cap Growth Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for MGK (Vanguard Mega Cap Growth 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 -24.6% (compared to the benchmark's drawdown of -36.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.9%, compared to a Buy-and-Hold benchmark return of 16.2%. The strategy executed 15 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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MGK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.52% | 12.61% | 9.67% | 12.29% | 16.71% | 18.11% | 12.88% | 16.23% |
| Sharpe Ratio | 0.33 | 0.66 | 0.60 | 0.51 | 0.97 | 0.76 | 0.82 | 0.76 |
| Max Drawdown | -13.54% | -16.85% | -20.96% | -36.01% | -20.96% | -36.01% | -24.59% | -36.01% |
| % Time Invested | 90.5% | 100.0% | 73.3% | 100.0% | 82.2% | 100.0% | 82.1% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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 | ||||||||
| 2026-03-26 | 2026-04-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-06-25 | 2026-03-26 | Completed | 100% | $71.56 | $73.93 | 3.26% | Signal | |
| 2025-04-01 | 2025-06-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2024-08-28 | 2025-04-01 | Completed | 100% | $62.58 | $61.17 | -2.30% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-01-18 | 2024-08-06 | Completed | 100% | $36.06 | $57.08 | 58.22% | Stop | |
| 2022-03-02 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.23% | Interest Income | |
| 2022-02-16 | 2022-03-02 | Completed | 100% | $45.30 | $43.67 | -3.65% | Signal | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-06-02 | 2022-01-25 | Completed | 100% | $30.39 | $44.09 | 44.99% | Stop | |
| 2020-04-22 | 2020-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-04-22 | Completed | 100% | $22.81 | $26.90 | 17.90% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-20 | 2020-03-02 | Completed | 100% | $23.60 | $27.58 | 16.81% | Stop | |
| 2018-12-07 | 2019-03-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2016-04-28 | 2018-12-07 | Completed | 100% | $15.38 | $21.93 | 42.52% | Signal | |
| 2016-01-22 | 2016-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-07 | 2016-01-22 | Completed | 100% | $15.73 | $14.24 | -9.48% | Signal | |
| 2015-09-23 | 2015-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-09-23 | Completed | 100% | $14.90 | $14.56 | -2.28% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-12-21 | 2015-08-25 | Completed | 100% | $8.32 | $14.11 | 69.52% | Stop | |
| 2011-08-09 | 2011-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-09-17 | 2011-08-09 | Completed | 100% | $7.18 | $7.58 | 5.54% | Stop | |
| 2010-07-06 | 2010-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-06 | Completed | 100% | $6.82 | $6.54 | -4.17% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-21 | 2010-05-07 | Completed | 100% | $7.02 | $7.09 | 0.89% | Stop | |
| 2009-12-17 | 2009-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |