VBR
Vanguard Small-Cap Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VBR (Vanguard Small-Cap Value 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 -31.4% (compared to the benchmark's drawdown of -62.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.9%, compared to a Buy-and-Hold benchmark return of 9.0%. The strategy executed 18 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.
Switch to MMA to enable
VBR Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.13% | 23.13% | 6.83% | 9.85% | 6.04% | 10.63% | 5.88% | 9.03% |
| Sharpe Ratio | 1.41 | 1.41 | 0.41 | 0.48 | 0.43 | 0.47 | 0.39 | 0.37 |
| Max Drawdown | -8.85% | -8.85% | -28.17% | -24.19% | -28.17% | -45.28% | -31.45% | -62.01% |
| % Time Invested | 100.0% | 100.0% | 70.0% | 100.0% | 65.5% | 100.0% | 71.1% | 100.0% |
| Trades / Year | 0.0 | 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 | ||||||||
| 2025-03-14 | 2025-04-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-27 | 2025-03-14 | Completed | 100% | $179.59 | $179.22 | -0.26% | Stop | |
| 2023-05-05 | 2024-03-27 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.86% | Interest Income | |
| 2023-04-04 | 2023-05-05 | Completed | 100% | $148.67 | $143.00 | -3.86% | Stop | |
| 2022-11-25 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.60% | Interest Income | |
| 2022-10-18 | 2022-11-25 | Completed | 100% | $142.02 | $154.54 | 8.76% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-13 | 2022-09-26 | Completed | 100% | $136.52 | $134.14 | -1.79% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-06-03 | 2022-06-17 | Completed | 100% | $153.99 | $134.51 | -12.70% | Stop | |
| 2022-05-11 | 2022-06-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2021-02-10 | 2022-05-11 | Completed | 100% | $141.01 | $144.96 | 2.75% | Stop | |
| 2019-07-18 | 2021-02-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.18% | Interest Income | |
| 2019-01-10 | 2019-07-18 | Completed | 100% | $102.77 | $112.00 | 8.92% | Signal | |
| 2018-12-17 | 2019-01-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-12-17 | Completed | 100% | $94.15 | $101.77 | 8.04% | Stop | |
| 2016-04-25 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-09 | 2016-04-25 | Completed | 100% | $70.71 | $84.48 | 19.41% | 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% | $81.47 | $71.41 | -12.40% | 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% | $45.57 | $79.35 | 74.04% | 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% | $43.73 | $38.02 | -13.11% | 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% | $41.62 | $45.45 | 9.14% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-23 | 2010-05-07 | Completed | 100% | $39.75 | $42.27 | 6.28% | Stop | |
| 2009-11-02 | 2010-02-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2009-09-15 | 2009-11-02 | Completed | 100% | $37.18 | $35.28 | -5.15% | Stop | |
| 2008-03-26 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2008-01-30 | 2008-03-26 | Completed | 100% | $41.40 | $41.31 | -0.27% | Signal | |
| 2008-01-07 | 2008-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2007-09-11 | 2008-01-07 | Completed | 100% | $45.39 | $41.61 | -8.38% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-01-25 | 2007-08-17 | Completed | 100% | $41.60 | $46.46 | 11.63% | Stop | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |