VB

Vanguard Small-Cap Index Fund ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-09

Executive Summary

The quantitative backtest for VB (Vanguard Small-Cap Index Fund ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -23.0% (compared to the benchmark's drawdown of -59.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.5%, compared to a Buy-and-Hold benchmark return of 9.3%. The strategy executed 61 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for VB:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for VB:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ VB Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-23.0% (vs -59.6% B&H)

+36.5% shallower drawdown

Downside Efficiency

0.69 Sortino

+0.20 vs 0.49 B&H

Capital Sheltered from Risk

27.6% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 VB Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-8.98%	-8.98%	-22.45%	-28.15%	-22.45%	-42.05%	-23.02%	-59.57%
Sharpe Ratio	0.96	1.00	0.24	0.33	0.57	0.49	0.53	0.39
Sortino Ratio	1.53	1.61	0.33	0.50	0.76	0.61	0.69	0.49
CAGR	16.58%	17.36%	3.21%	7.11%	8.18%	11.01%	7.52%	9.34%
% Time Invested	97.3%	100.0%	65.0%	100.0%	74.3%	100.0%	72.4%	100.0%
Trades / Year	0.0	0.0	3.0	0.0	2.9	0.0	3.0	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of VB under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 7.5% CAGR with a -23.0% Max Drawdown across 61 trade signals (compared to Buy & Hold's 9.3% CAGR and -59.6% Max Drawdown).

Histogram of monthly return distribution for VB under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for VB under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for VB

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Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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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. Subscribe to Unlock
2025-05-30	2025-10-07	Interest (CASH)	33.33%	$1.00	$1.01	1.49%	Interest Income
2025-03-05	2025-07-18	Interest (CASH)	33.33%	$1.00	$1.02	1.59%	Interest Income
2025-04-30	2025-05-30	Completed	33.33%	$210.21	$223.91	6.47%	Signal
2025-04-07	2025-04-30	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2025-03-27	2025-04-07	Completed	33.33%	$223.13	$189.95	-14.91%	Stop
2025-03-14	2025-04-07	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2025-03-05	2025-03-27	Interest (CASH)	33.33%	$1.00	$1.00	0.27%	Interest Income
2024-03-20	2025-03-14	Completed	33.33%	$213.29	$216.09	1.26%	Stop
2024-09-17	2025-03-05	Completed	33.33%	$227.29	$223.82	-1.58%	Stop
2024-01-03	2025-03-05	Completed	33.33%	$202.88	$223.82	10.26%	Stop
2024-08-23	2024-09-17	Interest (CASH)	33.33%	$1.00	$1.00	0.32%	Interest Income
2024-01-16	2024-08-23	Completed	33.33%	$198.90	$223.23	12.18%	Signal
2022-09-26	2024-03-20	Interest (CASH)	33.33%	$1.00	$1.08	7.61%	Interest Income
2023-10-23	2024-01-16	Interest (CASH)	33.33%	$1.00	$1.01	1.22%	Interest Income
2023-12-08	2024-01-03	Interest (CASH)	33.33%	$1.00	$1.00	0.34%	Interest Income
2023-11-14	2023-12-08	Completed	33.33%	$180.22	$191.58	6.25%	Signal
2023-10-23	2023-11-14	Interest (CASH)	33.33%	$1.00	$1.00	0.34%	Interest Income
2023-07-26	2023-10-23	Completed	33.33%	$197.16	$172.26	-12.67%	Stop
2023-04-05	2023-10-23	Completed	33.33%	$176.86	$172.26	-2.65%	Stop
2023-05-08	2023-07-26	Interest (CASH)	33.33%	$1.00	$1.01	1.13%	Interest Income
2023-04-05	2023-05-08	Completed	33.33%	$176.86	$177.67	0.41%	Signal
2023-03-14	2023-04-05	Interest (CASH)	33.33%	$1.00	$1.00	0.30%	Interest Income
2022-03-14	2023-04-05	Interest (CASH)	33.33%	$1.00	$1.03	3.25%	Interest Income
2023-01-23	2023-03-14	Completed	33.33%	$185.33	$177.79	-4.12%	Stop
2022-11-10	2023-01-23	Interest (CASH)	33.33%	$1.00	$1.01	0.83%	Interest Income
2022-10-10	2022-11-10	Completed	33.33%	$166.40	$177.66	6.72%	Signal
2022-01-24	2022-10-10	Interest (CASH)	33.33%	$1.00	$1.01	1.10%	Interest Income
2022-06-02	2022-09-26	Completed	33.33%	$181.74	$162.92	-10.40%	Stop
2022-05-10	2022-06-02	Interest (CASH)	33.33%	$1.00	$1.00	0.07%	Interest Income
2022-02-16	2022-05-10	Completed	33.33%	$198.26	$175.54	-11.51%	Stop
2022-02-15	2022-03-14	Completed	33.33%	$196.33	$189.27	-3.64%	Signal
2022-01-25	2022-02-16	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2022-01-24	2022-02-15	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-08-20	2022-01-25	Completed	33.33%	$143.13	$191.71	33.87%	Stop
2020-09-29	2022-01-24	Completed	33.33%	$141.56	$188.10	32.81%	Stop
2020-06-29	2022-01-24	Completed	33.33%	$129.98	$188.10	44.65%	Stop
2020-04-15	2020-09-29	Interest (CASH)	33.33%	$1.00	$1.00	0.06%	Interest Income
2020-05-05	2020-08-20	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2020-03-30	2020-06-29	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2020-03-31	2020-05-05	Completed	33.33%	$106.42	$118.90	11.67%	Signal
2020-03-24	2020-04-15	Completed	33.33%	$95.26	$110.83	16.29%	Signal
2020-03-09	2020-03-31	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2020-03-24	2020-03-30	Completed	33.33%	$95.26	$105.14	10.31%	Signal
2020-03-02	2020-03-24	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2020-03-02	2020-03-24	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2019-12-17	2020-03-09	Completed	33.33%	$149.21	$123.83	-17.05%	Stop
2019-11-13	2020-03-02	Completed	33.33%	$144.23	$135.74	-5.94%	Stop
2019-02-20	2020-03-02	Completed	33.33%	$138.69	$135.74	-2.18%	Stop
2019-09-09	2019-12-17	Interest (CASH)	33.33%	$1.00	$1.00	0.47%	Interest Income
2019-10-03	2019-11-13	Interest (CASH)	33.33%	$1.00	$1.00	0.19%	Interest Income
2019-09-03	2019-10-03	Completed	33.33%	$136.52	$135.05	-1.12%	Signal
2019-01-10	2019-09-09	Completed	33.33%	$124.75	$139.64	11.87%	Signal
2019-08-07	2019-09-03	Interest (CASH)	33.33%	$1.00	$1.00	0.14%	Interest Income
2019-02-20	2019-08-07	Completed	33.33%	$138.69	$135.76	-2.16%	Signal
2018-12-21	2019-02-20	Interest (CASH)	33.33%	$1.00	$1.00	0.37%	Interest Income
2018-10-25	2019-02-20	Interest (CASH)	33.33%	$1.00	$1.01	0.74%	Interest Income
2018-12-17	2019-01-10	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2018-11-16	2018-12-21	Completed	33.33%	$130.91	$116.90	-10.75%	Stop
2016-11-15	2018-12-17	Completed	33.33%	$107.75	$123.15	14.23%	Stop
2018-10-25	2018-11-16	Interest (CASH)	33.33%	$1.00	$1.00	0.15%	Interest Income
2016-07-19	2018-10-25	Completed	33.33%	$103.77	$127.67	22.97%	Stop
2016-05-03	2018-10-25	Completed	33.33%	$97.72	$127.67	30.58%	Stop
2016-04-22	2016-11-15	Interest (CASH)	33.33%	$1.00	$1.00	0.17%	Interest Income
2015-11-04	2016-07-19	Interest (CASH)	33.33%	$1.00	$1.00	0.18%	Interest Income
2015-08-21	2016-05-03	Interest (CASH)	33.33%	$1.00	$1.00	0.13%	Interest Income
2016-02-10	2016-04-22	Completed	33.33%	$82.87	$97.61	17.73%	Signal
2016-01-19	2016-02-10	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2015-09-17	2016-01-19	Completed	33.33%	$97.87	$85.93	-12.24%	Stop
2015-09-17	2015-11-04	Completed	33.33%	$97.87	$99.55	1.67%	Signal
2015-08-25	2015-09-17	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2015-08-25	2015-09-17	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-06-27	2015-08-25	Completed	33.33%	$58.85	$93.56	58.92%	Stop
2011-10-27	2015-08-25	Completed	33.33%	$57.32	$93.56	63.16%	Stop
2014-12-29	2015-08-21	Completed	33.33%	$99.61	$97.50	-2.17%	Signal
2014-10-24	2014-12-29	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-09-06	2014-10-24	Completed	33.33%	$64.05	$92.69	44.64%	Signal
2012-06-29	2012-09-06	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2012-06-27	2012-06-29	Completed	33.33%	$58.85	$60.95	3.53%	Signal
2012-06-05	2012-06-27	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2012-06-05	2012-06-27	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2012-03-21	2012-06-05	Completed	33.33%	$63.60	$56.38	-11.39%	Stop
2011-12-29	2012-06-05	Completed	33.33%	$56.07	$56.38	0.51%	Stop
2011-10-04	2012-03-21	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2011-08-04	2011-12-29	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2011-10-05	2011-10-27	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-08-30	2011-10-05	Completed	33.33%	$54.26	$48.94	-9.85%	Stop
2011-08-26	2011-10-04	Completed	33.33%	$50.71	$45.91	-9.50%	Stop
2011-08-08	2011-08-30	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2011-08-04	2011-08-26	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2010-06-01	2011-08-08	Completed	33.33%	$47.73	$51.73	8.33%	Stop
2010-10-15	2011-08-04	Completed	33.33%	$52.38	$57.19	9.13%	Stop
2010-06-01	2011-08-04	Completed	33.33%	$47.73	$57.19	19.75%	Stop
2010-08-02	2010-10-15	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2010-06-01	2010-08-02	Completed	33.33%	$47.73	$48.61	1.78%	Signal
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-05-07	2010-06-01	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2010-02-19	2010-05-07	Completed	33.33%	$45.70	$48.59	6.27%	Stop
2009-08-06	2010-05-07	Completed	33.33%	$40.19	$48.59	20.84%	Stop
2009-05-20	2010-05-07	Completed	33.33%	$34.93	$48.59	39.05%	Stop
2009-10-29	2010-02-19	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2009-09-15	2009-10-29	Completed	33.33%	$42.99	$41.16	-4.31%	Stop
2008-06-25	2009-09-15	Interest (CASH)	33.33%	$1.00	$1.01	0.62%	Interest Income
2007-12-03	2009-08-06	Interest (CASH)	33.33%	$1.00	$1.02	1.75%	Interest Income
2008-09-04	2009-05-20	Interest (CASH)	33.33%	$1.00	$1.00	0.23%	Interest Income
2008-07-30	2008-09-04	Completed	33.33%	$48.57	$49.48	1.83%	Signal
2008-07-08	2008-07-30	Interest (CASH)	33.33%	$1.00	$1.00	0.10%	Interest Income
2008-06-05	2008-07-08	Completed	33.33%	$52.01	$45.54	-12.47%	Stop
2008-02-01	2008-06-25	Completed	33.33%	$48.80	$49.04	0.44%	Signal
2007-08-17	2008-06-05	Interest (CASH)	33.33%	$1.00	$1.02	2.14%	Interest Income
2008-01-09	2008-02-01	Interest (CASH)	33.33%	$1.00	$1.00	0.17%	Interest Income
2006-01-25	2008-01-09	Completed	33.33%	$46.74	$47.85	2.31%	Stop
2007-09-11	2007-12-03	Completed	33.33%	$52.36	$52.36	-0.04%	Signal
2007-08-17	2007-09-11	Interest (CASH)	33.33%	$1.00	$1.00	0.25%	Interest Income
2007-01-16	2007-08-17	Completed	33.33%	$51.93	$52.45	0.94%	Stop
2006-09-05	2007-08-17	Completed	33.33%	$46.92	$52.45	11.72%	Stop
2006-10-06	2007-01-16	Interest (CASH)	33.33%	$1.00	$1.01	1.32%	Interest Income
2006-07-10	2006-10-06	Completed	33.33%	$46.54	$48.07	3.23%	Signal
2006-06-15	2006-09-05	Interest (CASH)	33.33%	$1.00	$1.01	1.10%	Interest Income
2006-06-15	2006-07-10	Interest (CASH)	33.33%	$1.00	$1.00	0.31%	Interest Income
2006-01-25	2006-06-15	Completed	33.33%	$46.74	$44.71	-4.41%	Stop
2006-01-25	2006-06-15	Completed	33.33%	$46.74	$44.71	-4.41%	Stop
2006-01-23	2006-01-25	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2006-01-23	2006-01-25	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2006-01-23	2006-01-25	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where VB ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with VB → ⚖️ Compare VB vs Non-Correlated Assets →

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