VBK
Vanguard Small-Cap Growth Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VBK (Vanguard Small-Cap Growth 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 -33.0% (compared to the benchmark's drawdown of -58.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.8%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 20 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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VBK Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.54% | 20.54% | 1.09% | 4.35% | 9.69% | 10.91% | 8.80% | 9.44% |
| Sharpe Ratio | 0.93 | 0.93 | 0.06 | 0.18 | 0.53 | 0.45 | 0.48 | 0.38 |
| Max Drawdown | -11.44% | -11.44% | -32.98% | -38.39% | -32.98% | -38.70% | -32.98% | -58.69% |
| % Time Invested | 100.0% | 100.0% | 64.3% | 100.0% | 76.5% | 100.0% | 80.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.1 | 0.0 | 1.0 | 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-27 | 2025-04-08 | Completed | 100% | $257.63 | $233.50 | -9.41% | Stop | |
| 2025-03-05 | 2025-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-11 | 2025-03-05 | Completed | 100% | $252.76 | $260.97 | 3.20% | Stop | |
| 2023-03-14 | 2024-03-11 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.34% | Interest Income | |
| 2023-01-18 | 2023-03-14 | Completed | 100% | $213.43 | $206.23 | -3.42% | Stop | |
| 2022-07-28 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.75% | Interest Income | |
| 2022-07-13 | 2022-07-28 | Completed | 100% | $192.58 | $209.79 | 8.88% | Signal | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-05-31 | 2022-06-17 | Completed | 100% | $211.56 | $184.27 | -12.94% | Stop | |
| 2022-05-06 | 2022-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-03 | 2022-05-06 | Completed | 100% | $235.86 | $211.92 | -10.20% | Stop | |
| 2022-01-11 | 2022-02-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-03-30 | 2022-01-11 | Completed | 100% | $258.78 | $256.45 | -0.95% | Stop | |
| 2021-03-08 | 2021-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-31 | 2021-03-08 | Completed | 100% | $146.52 | $262.51 | 79.07% | Stop | |
| 2020-03-09 | 2020-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-16 | 2020-03-09 | Completed | 100% | $155.27 | $163.18 | 5.04% | Stop | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-20 | 2018-12-21 | Completed | 100% | $152.13 | $141.42 | -7.09% | Stop | |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-10-29 | Completed | 100% | $122.81 | $157.05 | 27.82% | Stop | |
| 2016-04-26 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-09 | 2016-04-26 | Completed | 100% | $94.13 | $114.15 | 21.21% | Signal | |
| 2016-01-15 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-15 | Completed | 100% | $118.02 | $99.88 | -15.41% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2015-08-25 | Completed | 100% | $67.98 | $113.94 | 67.51% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-10-04 | Completed | 100% | $64.96 | $56.10 | -13.68% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $55.81 | $67.75 | 21.34% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-08-27 | 2010-05-07 | Completed | 100% | $48.30 | $56.92 | 17.79% | Stop | |
| 2008-08-18 | 2009-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2008-02-01 | 2008-08-18 | Completed | 100% | $57.44 | $60.59 | 5.42% | Signal | |
| 2008-01-09 | 2008-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2006-07-07 | 2008-01-09 | Completed | 100% | $52.78 | $57.43 | 8.75% | Stop | |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2006-01-25 | 2006-06-14 | Completed | 100% | $54.04 | $49.49 | -8.46% | Stop | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |