VMBS Vanguard Mortgage-Backed Securities Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VMBS (Vanguard Mortgage-Backed Securities Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.1% (compared to the benchmark's drawdown of -17.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 22 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
VMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.08% | 7.16% | 3.94% | 0.56% | 3.17% | 1.44% | 2.83% | 1.78% |
| Sharpe Ratio | 1.44 | 1.59 | 1.29 | 0.08 | 1.00 | 0.27 | 0.99 | 0.37 |
| Max Drawdown | -2.72% | -2.68% | -4.32% | -17.12% | -5.08% | -17.46% | -5.08% | -17.46% |
| % Time Invested | 100.0% | 100.0% | 63.9% | 100.0% | 75.5% | 100.0% | 83.1% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.4 | 0.0 | 1.4 | 0.0 | 1.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-06-27 | Open | Open | 33.33% | $44.46 | $46.91 | 5.51% | Mark-to-Market |
| 2024-07-12 | Open | Open | 33.33% | $42.41 | $46.91 | 10.61% | Mark-to-Market |
| 2026-05-19 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2025-08-25 | 2026-05-19 | Completed | 33.33% | $45.01 | $46.05 | 2.31% | Signal |
| 2025-08-01 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-04-23 | 2025-08-01 | Completed | 33.33% | $43.73 | $44.73 | 2.28% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-21 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-12-19 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2024-04-23 | 2025-03-21 | Completed | 33.33% | $40.69 | $44.04 | 8.21% | Signal |
| 2024-07-12 | 2024-12-19 | Completed | 33.33% | $42.41 | $42.67 | 0.61% | Signal |
| 2024-05-09 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2023-06-02 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.50% | Interest Income |
| 2024-01-24 | 2024-05-09 | Completed | 33.33% | $41.70 | $41.13 | -1.35% | Signal |
| 2023-06-02 | 2024-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.10% | Interest Income |
| 2023-06-02 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-17 | Completed | 33.33% | $40.82 | $41.08 | 0.64% | Signal |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-30 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-11-09 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2018-12-07 | 2021-12-30 | Completed | 33.33% | $41.24 | $45.33 | 9.91% | Signal |
| 2021-08-27 | 2021-11-09 | Completed | 33.33% | $45.68 | $45.63 | -0.10% | Signal |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-08-03 | 2021-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-05-04 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-30 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2021-03-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2021-01-25 | 2021-03-30 | Completed | 33.33% | $45.94 | $45.43 | -1.10% | Signal |
| 2018-12-07 | 2021-03-26 | Completed | 33.33% | $41.24 | $45.49 | 10.31% | Signal |
| 2020-12-02 | 2021-01-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2020-11-23 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2018-12-07 | 2020-11-23 | Completed | 33.33% | $41.24 | $45.79 | 11.02% | Signal |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-12-04 | 2018-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-11-02 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2018-10-12 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2018-02-22 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2017-08-30 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.50% | Interest Income |
| 2018-08-20 | 2018-10-12 | Completed | 33.33% | $41.14 | $40.69 | -1.09% | Signal |
| 2017-12-27 | 2018-08-20 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.65% | Interest Income |
| 2017-08-11 | 2018-02-22 | Completed | 33.33% | $41.26 | $40.54 | -1.73% | Signal |
| 2017-05-08 | 2017-12-27 | Completed | 33.33% | $40.85 | $41.30 | 1.09% | Signal |
| 2014-07-08 | 2017-08-30 | Completed | 33.33% | $38.46 | $41.40 | 7.64% | Signal |
| 2017-05-02 | 2017-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2017-05-02 | 2017-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-04-04 | 2017-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2017-02-01 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2016-12-06 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2014-02-13 | 2017-02-01 | Completed | 33.33% | $37.64 | $40.30 | 7.08% | Signal |
| 2015-09-30 | 2016-12-06 | Completed | 33.33% | $39.87 | $40.40 | 1.34% | Signal |
| 2015-09-02 | 2015-09-30 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-08-04 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2015-07-28 | 2015-08-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-11-14 | 2015-07-28 | Completed | 33.33% | $37.27 | $39.54 | 6.09% | Signal |
| 2014-05-02 | 2014-07-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2014-04-02 | 2014-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-03-04 | 2014-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-04 | 2014-03-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-02-04 | 2014-02-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2014-01-03 | 2014-02-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-12-03 | 2014-01-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-11-15 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2013-08-02 | 2013-12-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2011-11-16 | 2013-11-15 | Completed | 33.33% | $36.45 | $37.34 | 2.45% | Signal |
| 2013-08-02 | 2013-11-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-07-02 | 2013-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2013-06-13 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2013-05-13 | 2013-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.08% | Interest Income |
| 2013-05-08 | 2013-06-13 | Completed | 33.33% | $37.66 | $37.02 | -1.72% | Signal |
| 2011-11-16 | 2013-05-13 | Completed | 33.33% | $36.45 | $37.52 | 2.94% | Signal |
| 2013-01-15 | 2013-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2011-11-16 | 2013-01-15 | Completed | 33.33% | $36.45 | $37.61 | 3.19% | Signal |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-14 | 2011-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |