VOE Vanguard Mid-Cap Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VOE (Vanguard Mid-Cap Value Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.1% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.8%, compared to a Buy-and-Hold benchmark return of 10.6%. The strategy executed 40 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
VOE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 18.78% | 23.29% | 4.71% | 8.41% | 9.26% | 10.58% | 9.83% | 10.59% |
| Sharpe Ratio | 1.69 | 1.84 | 0.42 | 0.51 | 0.78 | 0.53 | 0.79 | 0.47 |
| Max Drawdown | -6.93% | -6.93% | -14.14% | -19.70% | -14.14% | -43.18% | -21.13% | -51.29% |
| % Time Invested | 100.0% | 100.0% | 87.2% | 100.0% | 92.4% | 100.0% | 90.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.3 | 0.0 | 2.3 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-06 | Open | Open | 33.33% | $173.84 | $194.55 | 11.92% | Mark-to-Market |
| 2025-07-18 | Open | Open | 33.33% | $164.91 | $194.55 | 17.97% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $151.32 | $194.55 | 28.57% | Mark-to-Market |
| 2025-06-03 | 2025-10-06 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.92% | Interest Income |
| 2025-06-03 | 2025-07-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income |
| 2025-05-23 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-05-23 | Completed | 33.33% | $151.32 | $155.10 | 2.50% | Signal |
| 2025-02-25 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2024-05-03 | 2025-04-07 | Completed | 33.33% | $144.32 | $139.71 | -3.20% | Stop |
| 2024-02-22 | 2025-04-07 | Completed | 33.33% | $139.40 | $139.71 | 0.23% | Stop |
| 2024-01-16 | 2025-02-25 | Completed | 33.33% | $135.87 | $161.03 | 18.52% | Signal |
| 2023-06-02 | 2024-05-03 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.33% | Interest Income |
| 2023-06-26 | 2024-02-22 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.39% | Interest Income |
| 2023-10-25 | 2024-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.43% | Interest Income |
| 2023-08-04 | 2023-10-25 | Completed | 33.33% | $133.29 | $118.74 | -10.92% | Signal |
| 2023-06-02 | 2023-08-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2023-04-06 | 2023-06-26 | Completed | 33.33% | $123.77 | $125.62 | 1.49% | Signal |
| 2023-04-26 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-10 | 2023-04-26 | Completed | 33.33% | $123.52 | $123.84 | 0.26% | Signal |
| 2023-04-04 | 2023-04-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-04-04 | 2023-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2023-03-16 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income |
| 2022-12-19 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.56% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-01-10 | 2023-03-16 | Completed | 33.33% | $129.40 | $119.08 | -7.97% | Stop |
| 2022-12-02 | 2023-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |
| 2022-10-25 | 2022-12-19 | Completed | 33.33% | $117.86 | $125.03 | 6.09% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-10-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-10-03 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-07-13 | 2022-10-03 | Completed | 33.33% | $118.19 | $113.73 | -3.78% | Stop |
| 2022-06-14 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2022-04-13 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-06-17 | 2022-07-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-03-26 | 2022-06-17 | Completed | 33.33% | $120.96 | $115.47 | -4.54% | Stop |
| 2020-10-23 | 2022-06-14 | Completed | 33.33% | $95.30 | $120.31 | 26.25% | Stop |
| 2020-07-09 | 2022-04-13 | Completed | 33.33% | $83.97 | $135.56 | 61.45% | Signal |
| 2020-12-02 | 2021-03-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2020-11-03 | 2020-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-07-16 | 2020-11-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2020-06-02 | 2020-10-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-03-24 | 2020-07-16 | Completed | 33.33% | $62.74 | $87.02 | 38.70% | Signal |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2020-04-23 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-26 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-23 | Completed | 33.33% | $62.74 | $75.69 | 20.64% | Signal |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $62.74 | $69.92 | 11.44% | Signal |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-09-13 | 2020-03-02 | Completed | 33.33% | $98.06 | $91.50 | -6.69% | Stop |
| 2019-07-01 | 2020-03-02 | Completed | 33.33% | $96.34 | $91.50 | -5.03% | Stop |
| 2019-03-29 | 2020-03-02 | Completed | 33.33% | $92.00 | $91.50 | -0.55% | Stop |
| 2019-06-14 | 2019-09-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income |
| 2019-03-04 | 2019-07-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2019-01-15 | 2019-06-14 | Completed | 33.33% | $84.34 | $93.50 | 10.87% | Signal |
| 2019-03-04 | 2019-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2018-12-20 | 2019-01-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2016-11-16 | 2018-12-20 | Completed | 33.33% | $76.86 | $81.17 | 5.60% | Stop |
| 2018-11-23 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2018-11-06 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-07-13 | 2018-11-23 | Completed | 33.33% | $73.65 | $87.96 | 19.43% | Signal |
| 2018-06-12 | 2018-11-06 | Completed | 33.33% | $93.83 | $90.28 | -3.79% | Signal |
| 2018-05-04 | 2018-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-04-28 | 2018-05-04 | Completed | 33.33% | $70.86 | $89.73 | 26.64% | Signal |
| 2016-11-02 | 2016-11-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2016-10-04 | 2016-11-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-05-26 | 2016-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2016-04-04 | 2016-07-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2016-02-12 | 2016-05-26 | Completed | 33.33% | $60.41 | $70.79 | 17.19% | Signal |
| 2016-04-04 | 2016-04-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-02-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-01-21 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2016-01-20 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-09-17 | 2016-01-21 | Completed | 33.33% | $68.89 | $60.77 | -11.78% | Stop |
| 2015-12-30 | 2016-01-20 | Completed | 33.33% | $69.35 | $60.52 | -12.74% | Signal |
| 2015-11-03 | 2015-12-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2015-10-26 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-26 | Completed | 33.33% | $68.89 | $69.95 | 1.53% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-10 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-03-19 | 2015-08-25 | Completed | 33.33% | $42.65 | $66.48 | 55.88% | Stop |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $36.26 | $66.48 | 83.35% | Stop |
| 2012-09-10 | 2015-08-10 | Completed | 33.33% | $43.05 | $71.10 | 65.15% | Signal |
| 2012-07-03 | 2012-09-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income |
| 2012-06-27 | 2012-07-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-12-27 | 2012-06-27 | Completed | 33.33% | $38.42 | $39.22 | 2.07% | Signal |
| 2012-01-04 | 2012-03-19 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.81% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2011-10-05 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2011-08-04 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-29 | 2011-10-05 | Completed | 33.33% | $35.71 | $33.28 | -6.81% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $32.80 | $34.28 | 4.51% | Stop |
| 2010-06-01 | 2011-08-05 | Completed | 33.33% | $32.80 | $36.30 | 10.67% | Stop |
| 2010-10-14 | 2011-08-04 | Completed | 33.33% | $35.63 | $37.49 | 5.22% | Signal |
| 2010-09-02 | 2010-10-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2010-07-29 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2010-07-29 | Completed | 33.33% | $32.80 | $33.71 | 2.77% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-02-19 | 2010-05-07 | Completed | 33.33% | $32.18 | $33.50 | 4.11% | Stop |
| 2009-08-10 | 2010-05-07 | Completed | 33.33% | $27.65 | $33.50 | 21.17% | Stop |
| 2009-05-21 | 2010-05-07 | Completed | 33.33% | $23.12 | $33.50 | 44.94% | Stop |
| 2010-02-02 | 2010-02-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2009-10-02 | 2010-02-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-05-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.13% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-08-19 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2008-08-19 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2008-08-19 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |