VEU
Vanguard FTSE All-World Ex-US Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VEU (Vanguard FTSE All-World Ex-US 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 -31.1% (compared to the benchmark's drawdown of -35.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.2%, compared to a Buy-and-Hold benchmark return of 10.4%. The strategy executed 13 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.
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VEU Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 22.28% | 22.28% | 8.76% | 8.86% | 8.47% | 9.58% | 6.18% | 10.45% |
| Sharpe Ratio | 1.21 | 1.21 | 0.66 | 0.52 | 0.64 | 0.53 | 0.42 | 0.52 |
| Max Drawdown | -11.43% | -11.43% | -16.96% | -29.14% | -23.65% | -34.98% | -31.13% | -34.98% |
| % Time Invested | 100.0% | 100.0% | 72.9% | 100.0% | 77.5% | 100.0% | 74.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2025-01-15 | 2025-02-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-12-15 | 2025-01-15 | Completed | 100% | $51.21 | $55.38 | 8.09% | Signal | |
| 2023-10-13 | 2023-12-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2023-01-12 | 2023-10-13 | Completed | 100% | $47.98 | $47.59 | -0.88% | Signal | |
| 2021-12-21 | 2023-01-12 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.21% | Interest Income | |
| 2020-06-04 | 2021-12-21 | Completed | 100% | $40.04 | $52.15 | 30.20% | Signal | |
| 2020-03-10 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2019-04-02 | 2020-03-10 | Completed | 100% | $40.84 | $38.04 | -6.92% | Stop | |
| 2018-12-11 | 2019-04-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2018-11-08 | 2018-12-11 | Completed | 100% | $39.06 | $37.34 | -4.45% | Stop | |
| 2018-07-02 | 2018-11-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.77% | Interest Income | |
| 2016-05-13 | 2018-07-02 | Completed | 100% | $31.55 | $40.33 | 27.77% | Signal | |
| 2016-01-07 | 2016-05-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-10-08 | 2016-01-07 | Completed | 100% | $32.69 | $30.09 | -8.01% | Stop | |
| 2015-08-25 | 2015-10-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-15 | 2015-08-25 | Completed | 100% | $36.46 | $32.43 | -11.08% | Stop | |
| 2014-10-24 | 2015-04-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-09-11 | 2014-10-24 | Completed | 100% | $28.27 | $33.88 | 19.78% | Signal | |
| 2012-06-01 | 2012-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-03-09 | 2012-06-01 | Completed | 100% | $28.78 | $24.62 | -14.52% | Stop | |
| 2011-08-05 | 2012-03-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-09-21 | 2011-08-05 | Completed | 100% | $27.60 | $28.20 | 2.12% | Stop | |
| 2010-06-04 | 2010-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-06-04 | Completed | 100% | $23.67 | $23.72 | 0.16% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-03-19 | 2010-05-07 | Completed | 100% | $17.29 | $24.56 | 42.01% | Stop | |
| 2009-02-27 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |