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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.0% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.4%, compared to a Buy-and-Hold benchmark return of 6.1%. 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 | 14.18% | 14.18% | 2.10% | 2.90% | 1.83% | 5.05% | 3.43% | 6.10% |
| Sharpe Ratio | 0.95 | 0.95 | 0.13 | 0.15 | 0.12 | 0.24 | 0.21 | 0.20 |
| Max Drawdown | -8.34% | -8.34% | -31.09% | -34.48% | -31.09% | -42.40% | -37.01% | -73.07% |
| % Time Invested | 100.0% | 100.0% | 79.8% | 100.0% | 76.9% | 100.0% | 75.8% | 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 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $74.76 | $80.03 | 7.00% | 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% | $74.11 | $69.32 | -6.52% | 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% | $67.45 | $76.19 | 12.91% | 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% | $82.48 | $73.20 | -11.29% | 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% | $89.24 | $81.39 | -8.85% | 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% | $73.25 | $85.53 | 16.71% | 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% | $67.12 | $63.57 | -5.33% | 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% | $52.39 | $54.06 | 3.14% | 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% | $62.99 | $67.00 | 6.30% | 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% | $54.61 | $54.50 | -0.26% | 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% | $48.70 | $53.10 | 8.97% | 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% | $42.45 | $48.62 | 14.46% | 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% | $31.27 | $39.02 | 24.71% | 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% | $31.31 | $26.65 | -14.94% | 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% | $25.79 | $28.56 | 10.69% | 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% | $23.27 | $26.63 | 14.38% | 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% | $29.52 | $28.53 | -3.42% | 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% | $29.72 | $26.22 | -11.84% | 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% | $32.94 | $29.93 | -9.20% | 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% | $31.15 | $33.32 | 6.89% | Stop | |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |