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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -36.8% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.3%, compared to a Buy-and-Hold benchmark return of 5.9%. The strategy executed 20 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.
Switch to MMA to enable
VNQ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 12.53% | 12.53% | 1.78% | 2.45% | 2.43% | 5.55% | 3.30% | 5.87% |
| Sharpe Ratio | 0.89 | 0.89 | 0.11 | 0.13 | 0.15 | 0.26 | 0.20 | 0.19 |
| Max Drawdown | -8.34% | -8.34% | -30.89% | -34.48% | -30.89% | -42.40% | -36.82% | -73.07% |
| % Time Invested | 100.0% | 100.0% | 79.9% | 100.0% | 76.9% | 100.0% | 75.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.0 | 0.0 | 1.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $85.25 | $96.79 | 13.54% | Mark-to-Market |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $75.42 | $80.74 | 7.05% | Stop |
| 2023-09-22 | 2023-12-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income |
| 2023-07-06 | 2023-09-22 | Completed | 100% | $74.76 | $69.93 | -6.47% | Stop |
| 2022-12-13 | 2023-07-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.71% | Interest Income |
| 2022-10-14 | 2022-12-13 | Completed | 100% | $68.04 | $76.86 | 12.96% | Signal |
| 2022-09-22 | 2022-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-06-02 | 2022-09-22 | Completed | 100% | $83.21 | $73.85 | -11.25% | Stop |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 100% | $90.03 | $82.10 | -8.80% | Stop |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-02-16 | 2022-02-25 | Completed | 100% | $73.89 | $86.28 | 16.77% | Stop |
| 2020-10-27 | 2021-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-06-09 | 2020-10-27 | Completed | 100% | $67.71 | $64.13 | -5.29% | Signal |
| 2020-05-15 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-01 | 2020-05-15 | Completed | 100% | $52.85 | $54.54 | 3.19% | Stop |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-02-01 | 2020-03-10 | Completed | 100% | $63.55 | $67.59 | 6.36% | Stop |
| 2018-04-11 | 2019-02-01 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.73% | Interest Income |
| 2016-11-29 | 2018-04-11 | Completed | 100% | $55.09 | $54.98 | -0.21% | Signal |
| 2016-11-04 | 2016-11-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2015-09-17 | 2016-11-04 | Completed | 100% | $49.13 | $53.56 | 9.02% | Stop |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-07-16 | 2015-08-25 | Completed | 100% | $42.83 | $49.05 | 14.52% | Stop |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-26 | 2013-06-21 | Completed | 100% | $31.55 | $39.36 | 24.77% | Stop |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2011-10-04 | Completed | 100% | $31.59 | $26.88 | -14.90% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $26.01 | $28.81 | 10.75% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-02-22 | 2010-05-07 | Completed | 100% | $23.47 | $26.86 | 14.43% | Stop |
| 2008-02-27 | 2010-02-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.17% | Interest Income |
| 2008-02-04 | 2008-02-27 | Completed | 100% | $29.78 | $28.78 | -3.37% | Signal |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2007-12-13 | 2008-01-10 | Completed | 100% | $29.98 | $26.45 | -11.79% | Stop |
| 2007-11-20 | 2007-12-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2007-06-19 | 2007-11-20 | Completed | 100% | $33.23 | $30.19 | -9.16% | Stop |
| 2007-05-25 | 2007-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2006-09-22 | 2007-05-25 | Completed | 100% | $31.43 | $33.61 | 6.95% | Stop |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |