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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -30.3% (compared to the benchmark's drawdown of -73.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.8%, compared to a Buy-and-Hold benchmark return of 6.1%. 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 | 16.57% | 14.18% | 0.49% | 2.90% | 2.88% | 5.05% | 5.81% | 6.10% |
| Sharpe Ratio | 1.13 | 0.95 | 0.04 | 0.15 | 0.21 | 0.24 | 0.38 | 0.20 |
| Max Drawdown | -8.34% | -8.34% | -29.79% | -34.48% | -29.79% | -42.40% | -30.28% | -73.07% |
| % Time Invested | 96.8% | 100.0% | 65.3% | 100.0% | 71.4% | 100.0% | 68.4% | 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 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 | 2025-08-05 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.39% | Interest Income | |
| 2023-12-04 | 2025-04-08 | Completed | 100% | $74.76 | $80.03 | 7.00% | 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% | $74.11 | $68.29 | -7.89% | 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% | $71.16 | $68.59 | -3.66% | 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% | $83.49 | $79.70 | -4.59% | 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% | $87.17 | $81.39 | -6.68% | 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% | $66.23 | $85.53 | 29.08% | 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% | $54.77 | $67.00 | 22.26% | 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% | $59.52 | $55.34 | -7.08% | 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% | $52.19 | $53.10 | 1.68% | 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% | $42.43 | $49.30 | 16.12% | 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% | $42.45 | $38.79 | -8.69% | 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% | $34.16 | $39.02 | 14.16% | 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% | $31.31 | $30.86 | -1.50% | 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% | $25.79 | $28.56 | 10.69% | 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% | $15.88 | $26.63 | 67.62% | 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% | $29.11 | $27.25 | -6.43% | 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% | $31.81 | $27.77 | -12.75% | 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% | $32.94 | $32.41 | -1.67% | 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% | $31.15 | $33.32 | 6.89% | Stop | |
| 2006-09-20 | 2006-09-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |