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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.1% (compared to the benchmark's drawdown of -59.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.3%, compared to a Buy-and-Hold benchmark return of 9.3%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VB:
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 Model
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.
Switch to MMA to enable
🛡️ VB Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-26.1% (vs -59.6% B&H)
+33.5% shallower drawdown
Downside Efficiency
0.57 Sortino
+0.08 vs 0.49 B&H
Capital Sheltered from Risk
27.0% 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% | -26.08% | -28.15% | -26.08% | -42.05% | -26.08% | -59.57% |
| Sharpe Ratio | 1.00 | 1.00 | -0.00 | 0.33 | 0.41 | 0.49 | 0.49 | 0.39 |
| Sortino Ratio | 1.61 | 1.61 | -0.00 | 0.50 | 0.49 | 0.61 | 0.57 | 0.49 |
| CAGR | 17.36% | 17.36% | -0.02% | 7.11% | 6.01% | 11.01% | 7.31% | 9.34% |
| % Time Invested | 100.0% | 100.0% | 67.5% | 100.0% | 77.1% | 100.0% | 73.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.6 | 0.0 | 0.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for VB... Top Diversifiers for VB
Explore Correlation Across Horizons →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 |
|---|---|---|---|
| Loading top diversifier assets... | |||
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 | ||||||||
| 2025-04-08 | 2025-07-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2025-04-02 | 2025-04-08 | Completed | 100% | $216.32 | $202.47 | -6.45% | Signal | |
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-22 | 2025-03-11 | Completed | 100% | $205.96 | $218.13 | 5.85% | Stop | |
| 2023-10-23 | 2023-12-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2023-06-15 | 2023-10-23 | Completed | 100% | $186.40 | $172.26 | -7.63% | Signal | |
| 2023-05-04 | 2023-06-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2023-01-17 | 2023-05-04 | Completed | 100% | $185.97 | $174.54 | -6.19% | Signal | |
| 2022-01-25 | 2023-01-17 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.24% | Interest Income | |
| 2020-08-04 | 2022-01-25 | Completed | 100% | $141.17 | $191.71 | 35.73% | Stop | |
| 2020-03-02 | 2020-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2019-02-20 | 2020-03-02 | Completed | 100% | $138.69 | $135.74 | -2.18% | Stop | |
| 2018-11-21 | 2019-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2016-05-06 | 2018-11-21 | Completed | 100% | $95.77 | $127.88 | 33.46% | Signal | |
| 2015-08-25 | 2016-05-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2014-12-12 | 2015-08-25 | Completed | 100% | $94.98 | $93.56 | -1.54% | Stop | |
| 2014-11-12 | 2014-12-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-08 | 2014-11-12 | Completed | 100% | $62.84 | $96.60 | 53.66% | Signal | |
| 2011-08-05 | 2012-02-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-14 | 2011-08-05 | Completed | 100% | $52.10 | $55.08 | 5.67% | Stop | |
| 2010-08-16 | 2010-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2010-08-16 | Completed | 100% | $47.73 | $44.94 | -5.90% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-12 | 2010-05-07 | Completed | 100% | $36.49 | $48.59 | 33.09% | Stop | |
| 2007-11-29 | 2009-06-12 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.74% | Interest Income | |
| 2007-10-25 | 2007-11-29 | Completed | 100% | $54.82 | $52.27 | -4.70% | Signal | |
| 2007-09-19 | 2007-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2006-09-05 | 2007-09-19 | Completed | 100% | $46.92 | $55.01 | 17.17% | Signal | |
| 2006-07-26 | 2006-09-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2006-01-25 | 2006-07-26 | Completed | 100% | $46.74 | $45.14 | -3.49% | Signal | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |