VMBS
Vanguard Mortgage-Backed Securities Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VMBS (Vanguard Mortgage-Backed Securities 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 -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 2.6%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 23 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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.
VMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.43% | 4.82% | 3.64% | 0.35% | 2.85% | 1.27% | 2.63% | 1.70% |
| Sharpe Ratio | 1.10 | 1.11 | 1.24 | 0.05 | 0.92 | 0.23 | 0.94 | 0.36 |
| Max Drawdown | -2.73% | -2.68% | -4.41% | -17.12% | -5.08% | -17.46% | -5.08% | -17.46% |
| % Time Invested | 100.0% | 100.0% | 63.9% | 100.0% | 75.5% | 100.0% | 83.3% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 1.5 | 0.0 | 1.6 | 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 | ||||||||
| 2025-08-25 | 2026-05-19 | Completed | 33.33% | $44.70 | $45.73 | 2.26% | Signal | |
| 2025-08-01 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-23 | 2025-08-01 | Completed | 33.33% | $43.43 | $44.42 | 2.23% | Signal | |
| 2025-03-21 | 2025-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2024-12-19 | 2025-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-04-23 | 2025-03-21 | Completed | 33.33% | $40.41 | $43.73 | 8.16% | Signal | |
| 2024-07-12 | 2024-12-19 | Completed | 33.33% | $42.11 | $42.37 | 0.56% | Signal | |
| 2024-05-09 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2021-12-30 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 10.46% | Interest Income | |
| 2024-01-24 | 2024-05-09 | Completed | 33.33% | $41.41 | $40.85 | -1.40% | Signal | |
| 2021-03-26 | 2024-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.09 | 9.22% | Interest Income | |
| 2023-05-17 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.72% | Interest Income | |
| 2023-02-13 | 2023-05-17 | Completed | 33.33% | $40.53 | $40.79 | 0.59% | Signal | |
| 2021-11-09 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2018-12-07 | 2021-12-30 | Completed | 33.33% | $40.95 | $45.01 | 9.85% | Signal | |
| 2021-08-27 | 2021-11-09 | Completed | 33.33% | $45.36 | $45.32 | -0.15% | Signal | |
| 2021-03-30 | 2021-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-01-25 | 2021-03-30 | Completed | 33.33% | $45.62 | $45.12 | -1.15% | Signal | |
| 2018-12-07 | 2021-03-26 | Completed | 33.33% | $40.95 | $45.18 | 10.25% | Signal | |
| 2020-11-23 | 2021-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-07 | 2020-11-23 | Completed | 33.33% | $40.95 | $45.47 | 10.96% | Signal | |
| 2018-10-12 | 2018-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2018-02-22 | 2018-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income | |
| 2017-08-30 | 2018-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.21% | Interest Income | |
| 2018-08-20 | 2018-10-12 | Completed | 33.33% | $40.85 | $40.40 | -1.14% | Signal | |
| 2017-12-27 | 2018-08-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income | |
| 2017-08-11 | 2018-02-22 | Completed | 33.33% | $40.97 | $40.26 | -1.78% | Signal | |
| 2017-05-08 | 2017-12-27 | Completed | 33.33% | $40.56 | $41.01 | 1.04% | Signal | |
| 2014-07-08 | 2017-08-30 | Completed | 33.33% | $38.19 | $41.11 | 7.58% | Signal | |
| 2017-02-01 | 2017-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2016-12-06 | 2017-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2014-02-13 | 2017-02-01 | Completed | 33.33% | $37.37 | $40.02 | 7.02% | Signal | |
| 2015-09-30 | 2016-12-06 | Completed | 33.33% | $39.59 | $40.12 | 1.29% | Signal | |
| 2015-07-28 | 2015-09-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-11-14 | 2015-07-28 | Completed | 33.33% | $37.01 | $39.26 | 6.04% | Signal | |
| 2013-11-15 | 2014-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-05-13 | 2014-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2011-11-16 | 2013-11-15 | Completed | 33.33% | $36.19 | $37.08 | 2.40% | Signal | |
| 2013-06-13 | 2013-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2013-05-08 | 2013-06-13 | Completed | 33.33% | $37.40 | $36.76 | -1.76% | Signal | |
| 2011-11-16 | 2013-05-13 | Completed | 33.33% | $36.19 | $37.26 | 2.88% | Signal | |
| 2013-01-15 | 2013-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-11-16 | 2013-01-15 | Completed | 33.33% | $36.19 | $37.35 | 3.14% | Signal | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |