VOO Vanguard 500 Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VOO (Vanguard 500 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 -17.6% (compared to the benchmark's drawdown of -34.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.9%, compared to a Buy-and-Hold benchmark return of 15.1%. The strategy executed 26 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.
VOO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.11% | 29.80% | 10.50% | 14.15% | 14.68% | 15.63% | 13.91% | 15.06% |
| Sharpe Ratio | 1.89 | 2.22 | 0.86 | 0.79 | 1.08 | 0.81 | 1.06 | 0.84 |
| Max Drawdown | -8.90% | -8.90% | -17.65% | -24.52% | -17.65% | -33.99% | -17.65% | -33.99% |
| % Time Invested | 100.0% | 100.0% | 92.5% | 100.0% | 95.3% | 100.0% | 96.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 2.0 | 0.0 | 1.9 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-14 | Open | Open | 33.33% | $683.74 | $695.49 | 1.72% | Mark-to-Market |
| 2025-09-10 | Open | Open | 33.33% | $595.64 | $695.49 | 16.76% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $497.30 | $695.49 | 39.85% | Mark-to-Market |
| 2026-05-04 | 2026-05-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2026-04-07 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $509.03 | $603.58 | 18.57% | Signal |
| 2025-07-17 | 2025-09-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2025-04-30 | 2025-07-17 | Completed | 33.33% | $497.30 | $568.97 | 14.41% | Signal |
| 2025-03-28 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | 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 |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $389.11 | $444.22 | 14.16% | Stop |
| 2023-04-19 | 2025-04-07 | Completed | 33.33% | $363.77 | $444.22 | 22.11% | Stop |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $418.26 | $513.60 | 22.79% | Signal |
| 2023-11-03 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-01-27 | 2023-11-03 | Completed | 33.33% | $354.78 | $385.17 | 8.57% | Signal |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2022-11-18 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 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 |
| 2022-10-25 | 2022-11-18 | Completed | 33.33% | $331.35 | $347.92 | 5.00% | Signal |
| 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 |
| 2022-06-02 | 2022-10-03 | Completed | 33.33% | $355.32 | $315.87 | -11.10% | Stop |
| 2022-05-10 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-10 | 2022-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $385.58 | $351.06 | -8.95% | Stop |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $208.64 | $351.06 | 68.26% | Stop |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $284.81 | $371.57 | 30.46% | Stop |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $256.55 | $371.57 | 44.83% | Stop |
| 2020-06-29 | 2020-08-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-24 | 2020-06-29 | Completed | 33.33% | $198.09 | $254.79 | 28.62% | Signal |
| 2020-06-02 | 2020-06-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2020-04-08 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $198.09 | $225.41 | 13.79% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | 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 |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $214.01 | $238.45 | 11.42% | Stop |
| 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 |
| 2019-04-08 | 2020-03-02 | Completed | 33.33% | $237.53 | $249.65 | 5.10% | Stop |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $231.13 | $249.65 | 8.01% | Stop |
| 2019-03-04 | 2019-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2019-03-04 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2019-02-14 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2018-12-06 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-11 | 2019-02-14 | Completed | 33.33% | $211.45 | $224.66 | 6.25% | Signal |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2012-08-31 | 2018-12-21 | Completed | 33.33% | $101.71 | $202.42 | 99.02% | Stop |
| 2016-06-27 | 2018-12-18 | Completed | 33.33% | $157.33 | $209.80 | 33.35% | Stop |
| 2018-07-10 | 2018-12-06 | Completed | 33.33% | $226.07 | $217.03 | -4.00% | Signal |
| 2018-05-21 | 2018-07-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2016-04-28 | 2018-05-21 | Completed | 33.33% | $161.76 | $220.64 | 36.40% | Signal |
| 2016-04-04 | 2016-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 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 |
| 2016-02-25 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-15 | 2016-02-25 | Completed | 33.33% | $157.04 | $149.52 | -4.79% | Signal |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2015-12-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2015-09-17 | 2015-11-03 | Completed | 33.33% | $152.59 | $161.05 | 5.54% | Signal |
| 2015-09-02 | 2015-11-02 | 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 |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $101.71 | $149.06 | 46.55% | Stop |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $101.71 | $149.06 | 46.55% | Stop |
| 2012-08-29 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2012-08-29 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2012-08-29 | 2012-08-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |