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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -22.1% (compared to the benchmark's drawdown of -51.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 9.1%, compared to a Buy-and-Hold benchmark return of 10.8%. The strategy executed 10 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.
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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% | 4.32% | 10.24% | 7.55% | 10.75% | 9.11% | 10.84% |
| Sharpe Ratio | 1.86 | 1.86 | 0.34 | 0.62 | 0.59 | 0.54 | 0.68 | 0.48 |
| Max Drawdown | -6.93% | -6.93% | -18.02% | -19.70% | -18.02% | -43.18% | -22.11% | -51.29% |
| % Time Invested | 100.0% | 100.0% | 74.8% | 100.0% | 78.0% | 100.0% | 75.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.6 | 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 | 2025-07-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.16% | Interest Income | |
| 2023-12-22 | 2025-04-07 | Completed | 100% | $136.43 | $139.07 | 1.88% | Stop | |
| 2023-10-12 | 2023-12-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.07% | Interest Income | |
| 2023-07-19 | 2023-10-12 | Completed | 100% | $133.27 | $123.87 | -7.10% | Signal | |
| 2023-04-28 | 2023-07-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.15% | Interest Income | |
| 2023-01-05 | 2023-04-28 | Completed | 100% | $126.18 | $124.09 | -1.70% | Signal | |
| 2022-06-10 | 2023-01-05 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.86% | Interest Income | |
| 2020-09-14 | 2022-06-10 | Completed | 100% | $90.56 | $125.72 | 38.75% | Signal | |
| 2020-03-02 | 2020-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-04-08 | 2020-03-02 | Completed | 100% | $93.88 | $91.08 | -3.03% | Stop | |
| 2018-11-09 | 2019-04-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2016-04-28 | 2018-11-09 | Completed | 100% | $70.53 | $91.00 | 28.96% | Signal | |
| 2015-08-25 | 2016-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2012-02-03 | 2015-08-25 | Completed | 100% | $41.37 | $66.17 | 59.89% | Stop | |
| 2011-08-05 | 2012-02-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-04 | 2011-08-05 | Completed | 100% | $34.35 | $36.13 | 5.13% | Stop | |
| 2010-08-26 | 2010-10-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2010-08-26 | Completed | 100% | $32.65 | $31.63 | -3.17% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-12 | 2010-05-07 | Completed | 100% | $24.66 | $33.35 | 35.20% | Stop | |
| 2008-08-19 | 2009-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |