VNQ
Vanguard Real Estate ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-07
Executive Summary
The quantitative backtest for VNQ (Vanguard Real Estate ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.6% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.0%, compared to a Buy-and-Hold benchmark return of 5.9%. The strategy executed 74 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.
VNQ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 10.81% | 12.53% | 1.36% | 2.45% | 4.86% | 5.55% | 4.97% | 5.87% |
| Sharpe Ratio | 0.93 | 0.89 | 0.11 | 0.13 | 0.38 | 0.26 | 0.36 | 0.19 |
| Max Drawdown | -8.34% | -8.34% | -24.91% | -34.48% | -24.91% | -42.40% | -31.64% | -73.07% |
| % Time Invested | 100.0% | 100.0% | 84.5% | 100.0% | 90.3% | 100.0% | 88.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 3.6 | 0.0 | 3.3 | 0.0 | 3.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-01-20 | Open | Open | 33.33% | $90.85 | $96.79 | 6.54% | Mark-to-Market |
| 2025-11-05 | Open | Open | 33.33% | $87.73 | $96.79 | 10.32% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $85.25 | $96.79 | 13.54% | Mark-to-Market |
| 2025-12-15 | 2026-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-07-29 | 2025-12-15 | Completed | 33.33% | $88.16 | $88.07 | -0.10% | Signal |
| 2025-05-13 | 2025-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.03% | Interest Income |
| 2025-01-17 | 2025-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.24% | Interest Income |
| 2025-05-01 | 2025-05-13 | Completed | 33.33% | $85.25 | $86.15 | 1.06% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $75.42 | $80.74 | 7.05% | Stop |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $75.42 | $80.74 | 7.05% | Stop |
| 2024-07-29 | 2025-01-17 | Completed | 33.33% | $83.88 | $85.65 | 2.11% | Signal |
| 2024-05-10 | 2024-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-12-04 | 2024-05-10 | Completed | 33.33% | $75.42 | $76.88 | 1.94% | Signal |
| 2023-09-28 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.99% | Interest Income |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2023-07-06 | 2023-09-28 | Completed | 33.33% | $74.76 | $67.84 | -9.26% | Stop |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $74.76 | $69.93 | -6.47% | Stop |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $74.76 | $69.93 | -6.47% | Stop |
| 2023-05-02 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income |
| 2022-12-06 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.80% | Interest Income |
| 2022-08-31 | 2023-07-06 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.83% | Interest Income |
| 2023-04-17 | 2023-05-02 | Completed | 33.33% | $71.92 | $73.05 | 1.58% | Signal |
| 2023-03-23 | 2023-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2023-02-06 | 2023-03-23 | Completed | 33.33% | $79.63 | $68.83 | -13.57% | Stop |
| 2022-08-31 | 2023-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income |
| 2022-10-17 | 2022-12-06 | Completed | 33.33% | $67.06 | $74.55 | 11.17% | Signal |
| 2022-09-23 | 2022-10-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-06-02 | 2022-09-23 | Completed | 33.33% | $83.21 | $72.38 | -13.01% | Stop |
| 2022-08-01 | 2022-08-31 | Completed | 33.33% | $84.23 | $80.40 | -4.54% | Stop |
| 2022-08-01 | 2022-08-31 | Completed | 33.33% | $84.23 | $80.40 | -4.54% | Stop |
| 2022-06-09 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2022-03-28 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2022-06-02 | 2022-06-09 | Completed | 33.33% | $83.21 | $82.13 | -1.30% | Signal |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-02-23 | 2022-05-10 | Completed | 33.33% | $86.66 | $82.10 | -5.26% | Stop |
| 2021-02-16 | 2022-05-10 | Completed | 33.33% | $73.89 | $82.10 | 11.11% | Stop |
| 2022-02-23 | 2022-03-28 | Completed | 33.33% | $86.66 | $90.39 | 4.30% | Signal |
| 2022-01-31 | 2022-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-01-31 | 2022-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-11-10 | 2022-01-31 | Completed | 33.33% | $67.00 | $88.41 | 31.95% | Stop |
| 2020-07-14 | 2022-01-31 | Completed | 33.33% | $61.92 | $88.41 | 42.78% | Stop |
| 2020-11-02 | 2021-02-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-04-20 | 2020-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-06-09 | 2020-11-02 | Completed | 33.33% | $67.71 | $62.60 | -7.56% | Signal |
| 2020-03-02 | 2020-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-05-15 | 2020-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-01 | 2020-05-15 | Completed | 33.33% | $52.85 | $54.54 | 3.19% | Stop |
| 2020-03-24 | 2020-04-20 | Completed | 33.33% | $47.37 | $59.23 | 25.05% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-02-01 | 2020-03-10 | Completed | 33.33% | $63.55 | $67.59 | 6.36% | Stop |
| 2019-02-01 | 2020-03-02 | Completed | 33.33% | $63.55 | $69.11 | 8.76% | Stop |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $60.33 | $69.11 | 14.56% | Stop |
| 2018-11-23 | 2019-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2018-04-04 | 2019-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.77% | Interest Income |
| 2018-12-27 | 2019-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-03-14 | 2018-12-27 | Completed | 33.33% | $55.25 | $56.01 | 1.38% | Stop |
| 2018-03-14 | 2018-11-23 | Completed | 33.33% | $55.25 | $60.08 | 8.74% | Signal |
| 2016-12-06 | 2018-04-04 | Completed | 33.33% | $55.21 | $54.87 | -0.62% | Signal |
| 2018-02-07 | 2018-03-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-01-24 | 2018-03-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2017-05-26 | 2018-02-07 | Completed | 33.33% | $58.49 | $54.43 | -6.94% | Stop |
| 2017-02-23 | 2018-01-24 | Completed | 33.33% | $59.15 | $58.53 | -1.05% | Signal |
| 2017-02-10 | 2017-05-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2016-10-28 | 2017-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2016-11-21 | 2017-02-10 | Completed | 33.33% | $54.10 | $58.04 | 7.27% | Signal |
| 2016-11-11 | 2016-12-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2016-10-28 | 2016-11-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-09-17 | 2016-11-11 | Completed | 33.33% | $49.13 | $53.30 | 8.48% | Stop |
| 2016-03-02 | 2016-10-28 | Completed | 33.33% | $52.25 | $54.93 | 5.13% | Stop |
| 2015-12-09 | 2016-10-28 | Completed | 33.33% | $51.51 | $54.93 | 6.64% | Stop |
| 2015-09-11 | 2016-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-11-16 | 2015-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-05 | 2015-11-16 | Completed | 33.33% | $52.76 | $50.03 | -5.18% | Signal |
| 2015-05-26 | 2015-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-06-30 | 2015-09-11 | Completed | 33.33% | $48.79 | $47.15 | -3.37% | Signal |
| 2013-07-16 | 2015-08-25 | Completed | 33.33% | $42.83 | $49.05 | 14.52% | Stop |
| 2015-06-08 | 2015-06-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-18 | 2015-06-08 | Completed | 33.33% | $42.81 | $49.64 | 15.95% | Stop |
| 2014-02-24 | 2015-05-26 | Completed | 33.33% | $43.03 | $51.44 | 19.52% | Signal |
| 2014-01-30 | 2014-02-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-11-13 | 2014-02-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2014-01-13 | 2014-01-30 | Completed | 33.33% | $40.65 | $40.72 | 0.17% | Signal |
| 2013-12-18 | 2014-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-12-12 | 2013-12-18 | Completed | 33.33% | $39.03 | $39.30 | 0.70% | Signal |
| 2013-08-14 | 2013-12-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2013-07-08 | 2013-11-13 | Completed | 33.33% | $41.45 | $40.14 | -3.17% | Signal |
| 2013-07-08 | 2013-08-14 | Completed | 33.33% | $41.45 | $40.44 | -2.45% | Signal |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-06-13 | 2013-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-06-13 | 2013-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-27 | 2013-06-21 | Completed | 33.33% | $32.57 | $39.36 | 20.85% | Stop |
| 2013-01-29 | 2013-06-13 | Completed | 33.33% | $40.79 | $40.33 | -1.14% | Stop |
| 2012-01-25 | 2013-06-13 | Completed | 33.33% | $34.46 | $40.33 | 17.03% | Stop |
| 2012-12-12 | 2013-01-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-01-04 | 2012-12-12 | Completed | 33.33% | $33.05 | $38.18 | 15.54% | Signal |
| 2011-11-25 | 2012-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-09-09 | 2012-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-26 | 2011-11-25 | Completed | 33.33% | $31.55 | $29.25 | -7.28% | Signal |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-10-05 | Completed | 33.33% | $31.59 | $28.45 | -9.93% | Stop |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $30.99 | $26.88 | -13.26% | Stop |
| 2011-08-29 | 2011-09-09 | Completed | 33.33% | $30.99 | $31.38 | 1.24% | Signal |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $26.01 | $28.81 | 10.75% | Stop |
| 2010-09-27 | 2011-08-05 | Completed | 33.33% | $28.74 | $30.90 | 7.51% | Stop |
| 2010-07-29 | 2011-08-05 | Completed | 33.33% | $27.70 | $30.90 | 11.57% | Stop |
| 2010-09-02 | 2010-09-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-29 | 2010-09-02 | Completed | 33.33% | $27.70 | $27.95 | 0.93% | Signal |
| 2010-07-07 | 2010-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-07 | 2010-07-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-06-01 | 2010-07-07 | Completed | 33.33% | $26.01 | $23.93 | -8.03% | Stop |
| 2010-06-01 | 2010-07-07 | Completed | 33.33% | $26.01 | $23.93 | -8.03% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-22 | 2010-05-07 | Completed | 33.33% | $23.47 | $26.86 | 14.43% | Stop |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $20.31 | $26.86 | 32.28% | Stop |
| 2009-07-16 | 2010-05-07 | Completed | 33.33% | $16.02 | $26.86 | 67.71% | Stop |
| 2008-03-04 | 2010-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2008-10-03 | 2009-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2009-06-23 | 2009-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-06-02 | 2009-06-23 | Completed | 33.33% | $17.16 | $15.35 | -10.58% | Stop |
| 2008-08-14 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2008-09-08 | 2008-10-03 | Completed | 33.33% | $30.42 | $27.49 | -9.62% | Stop |
| 2007-07-30 | 2008-09-08 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.87% | Interest Income |
| 2008-07-22 | 2008-08-14 | Completed | 33.33% | $28.12 | $29.34 | 4.33% | Signal |
| 2008-06-27 | 2008-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2008-04-24 | 2008-06-27 | Completed | 33.33% | $31.46 | $28.24 | -10.24% | Stop |
| 2007-12-19 | 2008-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2008-02-04 | 2008-03-04 | Completed | 33.33% | $29.78 | $27.52 | -7.59% | Signal |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2007-12-14 | 2008-01-10 | Completed | 33.33% | $29.17 | $26.45 | -9.32% | Stop |
| 2007-12-03 | 2007-12-19 | Completed | 33.33% | $30.59 | $28.59 | -6.52% | Stop |
| 2007-11-21 | 2007-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2007-05-18 | 2007-12-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.30% | Interest Income |
| 2007-07-16 | 2007-11-21 | Completed | 33.33% | $33.31 | $28.98 | -13.01% | Stop |
| 2007-06-12 | 2007-07-30 | Completed | 33.33% | $33.77 | $29.68 | -12.10% | Stop |
| 2007-06-21 | 2007-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2006-09-22 | 2007-06-21 | Completed | 33.33% | $31.43 | $32.60 | 3.74% | Stop |
| 2007-05-18 | 2007-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2006-09-22 | 2007-05-18 | Completed | 33.33% | $31.43 | $33.90 | 7.88% | Stop |
| 2006-09-22 | 2007-05-18 | Completed | 33.33% | $31.43 | $33.90 | 7.88% | Stop |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |