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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -27.2% (compared to the benchmark's drawdown of -62.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.6%, compared to a Buy-and-Hold benchmark return of 9.0%. 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.
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 | 23.23% | 23.13% | 2.79% | 9.85% | 6.19% | 10.63% | 7.59% | 9.03% |
| Sharpe Ratio | 1.41 | 1.41 | 0.19 | 0.48 | 0.42 | 0.47 | 0.52 | 0.37 |
| Max Drawdown | -8.85% | -8.85% | -23.62% | -24.19% | -27.24% | -45.28% | -27.24% | -62.01% |
| % Time Invested | 98.4% | 100.0% | 71.9% | 100.0% | 75.5% | 100.0% | 71.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 0.0 | 0.7 | 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 | 2025-07-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.61% | Interest Income | |
| 2023-12-15 | 2025-03-14 | Completed | 100% | $170.33 | $179.22 | 5.17% | Stop | |
| 2023-10-24 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2023-07-18 | 2023-10-24 | Completed | 100% | $159.51 | $143.44 | -10.12% | Signal | |
| 2023-05-01 | 2023-07-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.11% | Interest Income | |
| 2023-04-10 | 2023-05-01 | Completed | 100% | $144.13 | $146.57 | 1.64% | Signal | |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-11-01 | 2023-03-16 | Completed | 100% | $149.55 | $141.01 | -5.76% | Stop | |
| 2022-04-27 | 2022-11-01 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.23% | Interest Income | |
| 2022-04-19 | 2022-04-27 | Completed | 100% | $158.50 | $152.22 | -4.01% | Signal | |
| 2022-03-16 | 2022-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-09-18 | 2022-03-16 | Completed | 100% | $101.72 | $156.19 | 53.46% | Signal | |
| 2020-03-02 | 2020-09-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2019-11-06 | 2020-03-02 | Completed | 100% | $116.67 | $104.72 | -10.28% | Stop | |
| 2019-10-07 | 2019-11-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-04-17 | 2019-10-07 | Completed | 100% | $114.91 | $109.40 | -4.84% | Signal | |
| 2018-11-16 | 2019-04-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2016-04-28 | 2018-11-16 | Completed | 100% | $85.23 | $109.16 | 28.01% | Signal | |
| 2015-08-25 | 2016-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-06 | 2015-08-25 | Completed | 100% | $51.83 | $79.35 | 53.03% | Stop | |
| 2011-08-05 | 2012-02-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-22 | 2011-08-05 | Completed | 100% | $44.46 | $45.45 | 2.18% | Stop | |
| 2010-08-16 | 2010-10-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-08-16 | Completed | 100% | $41.62 | $38.88 | -6.64% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-17 | 2010-05-07 | Completed | 100% | $29.98 | $42.27 | 40.90% | Stop | |
| 2007-08-17 | 2009-06-17 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.84% | Interest Income | |
| 2006-09-08 | 2007-08-17 | Completed | 100% | $42.44 | $46.46 | 9.43% | Stop | |
| 2006-08-16 | 2006-09-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2006-01-25 | 2006-08-16 | Completed | 100% | $41.60 | $42.23 | 1.46% | Signal | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |