VNQ
Vanguard Real Estate ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 -31.9% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.1%, compared to a Buy-and-Hold benchmark return of 6.1%. 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 | 14.55% | 14.18% | 1.66% | 2.90% | 4.24% | 5.05% | 5.06% | 6.10% |
| Sharpe Ratio | 1.08 | 0.95 | 0.13 | 0.15 | 0.33 | 0.24 | 0.37 | 0.20 |
| Max Drawdown | -8.34% | -8.34% | -25.29% | -34.48% | -25.29% | -42.40% | -31.87% | -73.07% |
| % Time Invested | 100.0% | 100.0% | 84.5% | 100.0% | 90.3% | 100.0% | 88.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 3.6 | 0.0 | 3.3 | 0.0 | 3.7 | 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 | ||||||||
| 2025-12-15 | 2026-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2025-07-29 | 2025-12-15 | Completed | 33.33% | $87.39 | $87.30 | -0.15% | 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% | $84.50 | $85.40 | 1.01% | 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% | $74.76 | $80.03 | 7.00% | Stop | |
| 2023-12-04 | 2025-04-08 | Completed | 33.33% | $74.76 | $80.03 | 7.00% | Stop | |
| 2024-07-29 | 2025-01-17 | Completed | 33.33% | $83.14 | $84.90 | 2.06% | 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% | $74.76 | $76.21 | 1.89% | 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% | $74.11 | $67.25 | -9.31% | Stop | |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $74.11 | $69.32 | -6.52% | Stop | |
| 2023-07-06 | 2023-09-22 | Completed | 33.33% | $74.11 | $69.32 | -6.52% | 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% | $71.29 | $72.41 | 1.53% | 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% | $78.94 | $68.23 | -13.61% | 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% | $66.48 | $73.90 | 11.11% | 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% | $82.48 | $71.75 | -13.05% | Stop | |
| 2022-08-01 | 2022-08-31 | Completed | 33.33% | $83.49 | $79.70 | -4.59% | Stop | |
| 2022-08-01 | 2022-08-31 | Completed | 33.33% | $83.49 | $79.70 | -4.59% | 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% | $82.48 | $81.41 | -1.35% | 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% | $85.90 | $81.39 | -5.31% | Stop | |
| 2021-02-16 | 2022-05-10 | Completed | 33.33% | $73.25 | $81.39 | 11.06% | Stop | |
| 2022-02-23 | 2022-03-28 | Completed | 33.33% | $85.90 | $89.60 | 4.25% | 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% | $66.42 | $87.64 | 31.88% | Stop | |
| 2020-07-14 | 2022-01-31 | Completed | 33.33% | $61.38 | $87.64 | 42.71% | 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% | $67.12 | $62.05 | -7.60% | 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% | $52.39 | $54.06 | 3.14% | Stop | |
| 2020-03-24 | 2020-04-20 | Completed | 33.33% | $46.96 | $58.72 | 24.98% | 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% | $62.99 | $67.00 | 6.30% | Stop | |
| 2019-02-01 | 2020-03-02 | Completed | 33.33% | $62.99 | $68.51 | 8.71% | Stop | |
| 2019-01-22 | 2020-03-02 | Completed | 33.33% | $59.80 | $68.51 | 14.51% | 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% | $54.77 | $55.52 | 1.32% | Stop | |
| 2018-03-14 | 2018-11-23 | Completed | 33.33% | $54.77 | $59.56 | 8.69% | Signal | |
| 2016-12-06 | 2018-04-04 | Completed | 33.33% | $54.73 | $54.39 | -0.67% | 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% | $57.98 | $53.95 | -6.99% | Stop | |
| 2017-02-23 | 2018-01-24 | Completed | 33.33% | $58.64 | $58.02 | -1.10% | 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% | $53.63 | $57.53 | 7.22% | 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% | $48.70 | $52.83 | 8.42% | Stop | |
| 2016-03-02 | 2016-10-28 | Completed | 33.33% | $51.79 | $54.45 | 5.07% | Stop | |
| 2015-12-09 | 2016-10-28 | Completed | 33.33% | $51.06 | $54.45 | 6.58% | 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% | $52.30 | $49.59 | -5.23% | 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% | $48.37 | $46.74 | -3.42% | Signal | |
| 2013-07-16 | 2015-08-25 | Completed | 33.33% | $42.45 | $48.62 | 14.46% | 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% | $42.43 | $49.20 | 15.90% | Stop | |
| 2014-02-24 | 2015-05-26 | Completed | 33.33% | $42.66 | $50.99 | 19.46% | 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% | $40.29 | $40.36 | 0.12% | 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% | $38.69 | $38.96 | 0.65% | 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% | $41.09 | $39.79 | -3.22% | Signal | |
| 2013-07-08 | 2013-08-14 | Completed | 33.33% | $41.09 | $40.09 | -2.49% | 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% | $32.29 | $39.02 | 20.79% | Stop | |
| 2013-01-29 | 2013-06-13 | Completed | 33.33% | $40.44 | $39.98 | -1.19% | Stop | |
| 2012-01-25 | 2013-06-13 | Completed | 33.33% | $34.16 | $39.98 | 16.97% | 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% | $32.76 | $37.85 | 15.49% | 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% | $31.27 | $29.00 | -7.32% | 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% | $31.31 | $28.21 | -9.97% | Stop | |
| 2011-08-29 | 2011-10-04 | Completed | 33.33% | $30.72 | $26.65 | -13.30% | Stop | |
| 2011-08-29 | 2011-09-09 | Completed | 33.33% | $30.72 | $31.10 | 1.19% | 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% | $25.79 | $28.56 | 10.69% | Stop | |
| 2010-09-27 | 2011-08-05 | Completed | 33.33% | $28.49 | $30.63 | 7.45% | Stop | |
| 2010-07-29 | 2011-08-05 | Completed | 33.33% | $27.45 | $30.63 | 11.51% | 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% | $27.45 | $27.71 | 0.88% | 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% | $25.79 | $23.72 | -8.07% | Stop | |
| 2010-06-01 | 2010-07-07 | Completed | 33.33% | $25.79 | $23.72 | -8.07% | 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% | $23.27 | $26.63 | 14.38% | Stop | |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $20.13 | $26.63 | 32.21% | Stop | |
| 2009-07-16 | 2010-05-07 | Completed | 33.33% | $15.88 | $26.63 | 67.62% | 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% | $17.01 | $15.21 | -10.62% | 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% | $30.16 | $27.25 | -9.67% | 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% | $27.87 | $29.08 | 4.28% | 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% | $31.19 | $28.00 | -10.28% | 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% | $29.52 | $27.28 | -7.64% | 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% | $28.91 | $26.22 | -9.37% | Stop | |
| 2007-12-03 | 2007-12-19 | Completed | 33.33% | $30.32 | $28.34 | -6.57% | 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% | $33.02 | $28.72 | -13.06% | Stop | |
| 2007-06-12 | 2007-07-30 | Completed | 33.33% | $33.47 | $29.42 | -12.15% | 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% | $31.15 | $32.32 | 3.69% | 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% | $31.15 | $33.61 | 7.83% | Stop | |
| 2006-09-22 | 2007-05-18 | Completed | 33.33% | $31.15 | $33.61 | 7.83% | 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 | |