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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.1% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.7%, compared to a Buy-and-Hold benchmark return of 5.9%. The strategy executed 19 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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 | 11.63% | 12.53% | 0.18% | 2.45% | 3.46% | 5.55% | 5.69% | 5.87% |
| Sharpe Ratio | 0.91 | 0.89 | 0.01 | 0.13 | 0.26 | 0.26 | 0.38 | 0.19 |
| Max Drawdown | -8.34% | -8.34% | -29.44% | -34.48% | -29.44% | -42.40% | -30.07% | -73.07% |
| % Time Invested | 83.7% | 100.0% | 65.3% | 100.0% | 71.4% | 100.0% | 68.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-08-05 | Open | Open | 100% | $87.31 | $96.79 | 10.86% | Mark-to-Market |
| 2025-04-08 | 2025-08-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $75.42 | $80.74 | 7.05% | Stop |
| 2023-09-26 | 2023-12-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income |
| 2023-07-06 | 2023-09-26 | Completed | 100% | $74.76 | $68.90 | -7.85% | Signal |
| 2023-03-28 | 2023-07-06 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income |
| 2023-03-16 | 2023-03-28 | Completed | 100% | $71.79 | $69.20 | -3.61% | Signal |
| 2022-08-31 | 2023-03-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.25% | Interest Income |
| 2022-08-01 | 2022-08-31 | Completed | 100% | $84.23 | $80.40 | -4.54% | Stop |
| 2022-05-10 | 2022-08-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-05 | 2022-05-10 | Completed | 100% | $87.93 | $82.10 | -6.63% | Signal |
| 2022-02-25 | 2022-05-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2020-10-06 | 2022-02-25 | Completed | 100% | $66.81 | $86.28 | 29.14% | Stop |
| 2020-03-10 | 2020-10-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2018-03-14 | 2020-03-10 | Completed | 100% | $55.25 | $67.59 | 22.33% | Stop |
| 2018-02-05 | 2018-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2017-04-19 | 2018-02-05 | Completed | 100% | $60.05 | $55.83 | -7.03% | Signal |
| 2016-11-04 | 2017-04-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2015-11-30 | 2016-11-04 | Completed | 100% | $52.65 | $53.56 | 1.73% | Stop |
| 2015-06-24 | 2015-11-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2014-02-18 | 2015-06-24 | Completed | 100% | $42.81 | $49.73 | 16.18% | Signal |
| 2013-08-30 | 2014-02-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2013-07-16 | 2013-08-30 | Completed | 100% | $42.83 | $39.13 | -8.64% | Signal |
| 2013-06-21 | 2013-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-01-25 | 2013-06-21 | Completed | 100% | $34.46 | $39.36 | 14.22% | Stop |
| 2011-09-21 | 2012-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-08-30 | 2011-09-21 | Completed | 100% | $31.59 | $31.13 | -1.45% | Signal |
| 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 |
| 2009-07-16 | 2010-05-07 | Completed | 100% | $16.02 | $26.86 | 67.71% | Stop |
| 2008-10-03 | 2009-07-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2008-10-01 | 2008-10-03 | Completed | 100% | $29.37 | $27.49 | -6.38% | Signal |
| 2008-07-02 | 2008-10-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2008-05-15 | 2008-07-02 | Completed | 100% | $32.09 | $28.01 | -12.70% | Stop |
| 2007-06-28 | 2008-05-15 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.71% | Interest Income |
| 2007-06-19 | 2007-06-28 | Completed | 100% | $33.23 | $32.70 | -1.62% | Signal |
| 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 |