VOE
Vanguard Mid-Cap Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VOE (Vanguard Mid-Cap Value Index Fund ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.2% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.7%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 40 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 22.01% | 23.37% | 5.94% | 10.24% | 9.18% | 10.75% | 9.67% | 10.84% |
| Sharpe Ratio | 1.84 | 1.86 | 0.55 | 0.62 | 0.77 | 0.54 | 0.78 | 0.48 |
| Max Drawdown | -6.93% | -6.93% | -13.82% | -19.70% | -14.00% | -43.18% | -21.19% | -51.29% |
| % Time Invested | 100.0% | 100.0% | 87.2% | 100.0% | 92.4% | 100.0% | 90.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.2 | 0.0 | 2.2 | 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 | ||||||||
| 2025-05-23 | 2025-10-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.55% | Interest Income | |
| 2025-02-25 | 2025-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income | |
| 2025-04-30 | 2025-05-23 | Completed | 33.33% | $150.62 | $154.38 | 2.45% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-03 | 2025-04-07 | Completed | 33.33% | $143.66 | $139.07 | -3.24% | Stop | |
| 2024-02-22 | 2025-04-07 | Completed | 33.33% | $138.76 | $139.07 | 0.18% | Stop | |
| 2024-01-16 | 2025-02-25 | Completed | 33.33% | $135.24 | $160.29 | 18.46% | Signal | |
| 2022-12-19 | 2024-05-03 | Interest (CASH) | 33.33% | $1.00 | $1.07 | 7.30% | Interest Income | |
| 2023-06-26 | 2024-02-22 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.60% | Interest Income | |
| 2023-10-25 | 2024-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.17% | Interest Income | |
| 2023-08-04 | 2023-10-25 | Completed | 33.33% | $132.68 | $118.19 | -10.96% | Signal | |
| 2023-04-26 | 2023-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.45% | Interest Income | |
| 2023-04-06 | 2023-06-26 | Completed | 33.33% | $123.20 | $125.04 | 1.44% | Signal | |
| 2023-04-10 | 2023-04-26 | Completed | 33.33% | $122.95 | $123.27 | 0.21% | Signal | |
| 2023-03-16 | 2023-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-06-14 | 2023-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.04% | Interest Income | |
| 2023-01-10 | 2023-03-16 | Completed | 33.33% | $128.80 | $118.54 | -8.02% | Stop | |
| 2022-04-13 | 2023-01-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2022-10-25 | 2022-12-19 | Completed | 33.33% | $117.31 | $124.45 | 6.03% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-07-13 | 2022-10-03 | Completed | 33.33% | $117.65 | $113.20 | -3.83% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-03-26 | 2022-06-17 | Completed | 33.33% | $120.40 | $114.94 | -4.59% | Stop | |
| 2020-10-23 | 2022-06-14 | Completed | 33.33% | $94.86 | $119.76 | 26.19% | Stop | |
| 2020-07-09 | 2022-04-13 | Completed | 33.33% | $83.58 | $134.94 | 61.37% | Signal | |
| 2020-07-16 | 2021-03-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-04-23 | 2020-10-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-24 | 2020-07-16 | Completed | 33.33% | $62.45 | $86.62 | 38.63% | Signal | |
| 2020-03-26 | 2020-07-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-04-23 | Completed | 33.33% | $62.45 | $75.35 | 20.58% | Signal | |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $62.45 | $69.60 | 11.38% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-09-13 | 2020-03-02 | Completed | 33.33% | $97.61 | $91.08 | -6.73% | Stop | |
| 2019-07-01 | 2020-03-02 | Completed | 33.33% | $95.90 | $91.08 | -5.07% | Stop | |
| 2019-03-29 | 2020-03-02 | Completed | 33.33% | $91.58 | $91.08 | -0.60% | Stop | |
| 2019-06-14 | 2019-09-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2018-11-23 | 2019-07-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2019-01-15 | 2019-06-14 | Completed | 33.33% | $83.95 | $93.07 | 10.81% | Signal | |
| 2018-11-06 | 2019-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-16 | 2018-12-20 | Completed | 33.33% | $76.51 | $80.79 | 5.55% | Stop | |
| 2016-07-13 | 2018-11-23 | Completed | 33.33% | $73.31 | $87.56 | 19.37% | Signal | |
| 2018-06-12 | 2018-11-06 | Completed | 33.33% | $93.40 | $89.86 | -3.84% | Signal | |
| 2018-05-04 | 2018-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2016-04-28 | 2018-05-04 | Completed | 33.33% | $70.53 | $89.32 | 26.58% | Signal | |
| 2016-05-26 | 2016-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-10-26 | 2016-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-12 | 2016-05-26 | Completed | 33.33% | $60.13 | $70.47 | 17.13% | Signal | |
| 2016-01-20 | 2016-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 33.33% | $68.58 | $60.50 | -11.83% | Stop | |
| 2015-12-30 | 2016-01-20 | Completed | 33.33% | $69.04 | $60.24 | -12.78% | Signal | |
| 2015-08-10 | 2015-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-09-17 | 2015-10-26 | Completed | 33.33% | $68.58 | $69.63 | 1.48% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-03-19 | 2015-08-25 | Completed | 33.33% | $42.45 | $66.17 | 55.81% | Stop | |
| 2011-08-30 | 2015-08-25 | Completed | 33.33% | $36.09 | $66.17 | 83.25% | Stop | |
| 2012-09-10 | 2015-08-10 | Completed | 33.33% | $42.85 | $70.77 | 65.07% | Signal | |
| 2012-06-27 | 2012-09-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-27 | 2012-06-27 | Completed | 33.33% | $38.24 | $39.03 | 2.02% | Signal | |
| 2011-10-05 | 2012-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-04 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-29 | 2011-10-05 | Completed | 33.33% | $35.55 | $33.13 | -6.86% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 33.33% | $32.65 | $34.12 | 4.46% | Stop | |
| 2010-06-01 | 2011-08-05 | Completed | 33.33% | $32.65 | $36.13 | 10.62% | Stop | |
| 2010-10-14 | 2011-08-04 | Completed | 33.33% | $35.47 | $37.32 | 5.17% | Signal | |
| 2010-07-29 | 2010-10-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-29 | Completed | 33.33% | $32.65 | $33.56 | 2.72% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-05-07 | Completed | 33.33% | $32.03 | $33.35 | 4.06% | Stop | |
| 2009-08-10 | 2010-05-07 | Completed | 33.33% | $27.52 | $33.35 | 21.11% | Stop | |
| 2009-05-21 | 2010-05-07 | Completed | 33.33% | $23.01 | $33.35 | 44.87% | Stop | |
| 2008-08-19 | 2010-02-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2008-08-19 | 2009-08-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2008-08-19 | 2009-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |