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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.9% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.2%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 13 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.
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VOE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.37% | 23.37% | 6.97% | 10.24% | 8.05% | 10.75% | 9.19% | 10.84% |
| Sharpe Ratio | 1.86 | 1.86 | 0.52 | 0.62 | 0.56 | 0.54 | 0.64 | 0.48 |
| Max Drawdown | -6.93% | -6.93% | -18.87% | -19.70% | -18.87% | -43.18% | -22.93% | -51.29% |
| % Time Invested | 100.0% | 100.0% | 69.5% | 100.0% | 70.5% | 100.0% | 72.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.8 | 0.0 | 0.7 | 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 | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-03 | 2025-04-07 | Completed | 100% | $143.66 | $139.07 | -3.24% | Stop | |
| 2023-01-03 | 2024-05-03 | Interest (CASH) | 100% | $1.00 | $1.07 | 7.14% | Interest Income | |
| 2022-10-19 | 2023-01-03 | Completed | 100% | $115.91 | $125.81 | 8.48% | Signal | |
| 2022-09-27 | 2022-10-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-11 | 2022-09-27 | Completed | 100% | $118.91 | $114.30 | -3.93% | Stop | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2021-03-26 | 2022-06-15 | Completed | 100% | $120.40 | $119.51 | -0.79% | Stop | |
| 2020-06-29 | 2021-03-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2020-03-24 | 2020-06-29 | Completed | 100% | $62.45 | $81.53 | 30.48% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-09-13 | 2020-03-02 | Completed | 100% | $97.61 | $91.08 | -6.73% | Stop | |
| 2019-06-19 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2019-01-11 | 2019-06-19 | Completed | 100% | $83.98 | $93.61 | 11.41% | Signal | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-16 | 2018-12-18 | Completed | 100% | $76.51 | $83.15 | 8.62% | Stop | |
| 2016-05-31 | 2016-11-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-12 | 2016-05-31 | Completed | 100% | $60.13 | $70.92 | 17.88% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $68.58 | $60.50 | -11.83% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2015-08-25 | Completed | 100% | $35.55 | $66.17 | 86.04% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $32.65 | $36.13 | 10.62% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-02-19 | 2010-05-07 | Completed | 100% | $32.03 | $33.35 | 4.06% | Stop | |
| 2008-08-19 | 2010-02-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.39% | Interest Income | |