VEA
Vanguard FTSE Developed Markets ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-16
Executive Summary
The quantitative backtest for VEA (Vanguard FTSE Developed Markets ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -35.9% (compared to the benchmark's drawdown of -35.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.1%, compared to a Buy-and-Hold benchmark return of 8.6%. 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
VEA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 32.20% | 32.20% | 5.11% | 9.85% | 6.57% | 10.77% | 3.11% | 8.60% |
| Sharpe Ratio | 1.69 | 1.69 | 0.35 | 0.56 | 0.49 | 0.59 | 0.22 | 0.44 |
| Max Drawdown | -11.63% | -11.63% | -29.69% | -29.71% | -29.69% | -35.74% | -35.87% | -35.74% |
| % Time Invested | 100.0% | 100.0% | 76.6% | 100.0% | 71.4% | 100.0% | 71.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.9 | 0.0 | 1.1 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2023-11-21 | Open | Open | 100% | $42.13 | $72.32 | 71.65% | Mark-to-Market |
| 2023-03-14 | 2023-11-21 | Interest (CASH) | 100% | $1.00 | $1.04 | 3.71% | Interest Income |
| 2023-01-18 | 2023-03-14 | Completed | 100% | $41.27 | $39.51 | -4.32% | Stop |
| 2022-09-13 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income |
| 2022-07-11 | 2022-09-13 | Completed | 100% | $35.85 | $36.23 | 0.99% | Signal |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-03-30 | 2022-06-15 | Completed | 100% | $42.91 | $36.60 | -14.75% | Stop |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-07-24 | 2022-03-08 | Completed | 100% | $33.79 | $39.05 | 15.48% | Stop |
| 2020-06-22 | 2020-07-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-06-16 | 2020-06-22 | Completed | 100% | $33.03 | $32.76 | -0.88% | Signal |
| 2020-04-17 | 2020-06-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-04-01 | 2020-04-17 | Completed | 100% | $26.88 | $29.02 | 7.92% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-09-13 | 2020-03-10 | Completed | 100% | $34.10 | $31.04 | -9.01% | Stop |
| 2019-03-01 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2018-11-15 | 2019-03-01 | Completed | 100% | $31.36 | $33.01 | 5.21% | Signal |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2017-03-24 | 2018-10-24 | Completed | 100% | $29.78 | $31.56 | 5.95% | Stop |
| 2016-01-07 | 2017-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2015-10-09 | 2016-01-07 | Completed | 100% | $27.72 | $25.62 | -7.59% | Stop |
| 2015-08-25 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-11-10 | 2015-08-25 | Completed | 100% | $27.75 | $27.26 | -1.82% | Stop |
| 2014-10-17 | 2014-11-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-07 | 2014-10-17 | Completed | 100% | $22.81 | $26.65 | 16.78% | Stop |
| 2012-05-08 | 2012-12-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2011-12-19 | 2012-05-08 | Completed | 100% | $19.34 | $20.94 | 8.18% | Signal |
| 2011-11-25 | 2011-12-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-27 | 2011-11-25 | Completed | 100% | $21.92 | $18.53 | -15.51% | Stop |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-29 | 2011-10-05 | Completed | 100% | $20.94 | $18.75 | -10.47% | 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% | $18.14 | $21.48 | 18.36% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-03-08 | 2010-05-07 | Completed | 100% | $20.94 | $18.94 | -9.59% | Stop |
| 2010-02-01 | 2010-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-12-30 | 2010-02-01 | Completed | 100% | $21.00 | $20.16 | -4.02% | Stop |
| 2009-07-17 | 2009-12-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |