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 SMA* 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 2.7%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 3 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.
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VMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.82% | 4.82% | 3.52% | 0.35% | 3.09% | 1.27% | 2.67% | 1.70% |
| Sharpe Ratio | 1.11 | 1.11 | 1.05 | 0.05 | 0.92 | 0.23 | 0.86 | 0.36 |
| Max Drawdown | -2.68% | -2.68% | -4.80% | -17.12% | -5.08% | -17.46% | -5.08% | -17.46% |
| % Time Invested | 100.0% | 100.0% | 50.2% | 100.0% | 63.6% | 100.0% | 71.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.2 | 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 | ||||||||
| 2022-01-13 | 2024-07-12 | Interest (CASH) | 100% | $1.00 | $1.10 | 10.46% | Interest Income | |
| 2018-12-07 | 2022-01-13 | Completed | 100% | $40.95 | $44.59 | 8.81% | Signal | |
| 2017-10-11 | 2018-12-07 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.09% | Interest Income | |
| 2014-07-15 | 2017-10-11 | Completed | 100% | $38.17 | $41.09 | 7.59% | Signal | |
| 2013-12-03 | 2014-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2011-11-16 | 2013-12-03 | Completed | 100% | $36.19 | $36.89 | 1.87% | Signal | |
| 2011-11-14 | 2011-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |