VOO
Vanguard 500 Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-19
Executive Summary
The quantitative backtest for VOO (Vanguard 500 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 -17.4% (compared to the benchmark's drawdown of -34.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.6%, compared to a Buy-and-Hold benchmark return of 14.9%. The strategy executed 26 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VOO:
Excess Return MMA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for VOO:
🛡️ Long-Term Investing Active Horizon
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.
🛡️ VOO Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-17.4% (vs -34.0% B&H)
+16.6% shallower drawdown
Downside Efficiency
1.28 Sortino
+0.29 vs 0.99 B&H
Capital Sheltered from Risk
14.5% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 VOO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.90% | -8.90% | -17.35% | -24.52% | -17.35% | -33.99% | -17.35% | -33.99% |
| Sharpe Ratio | 1.17 | 1.48 | 0.78 | 0.75 | 1.03 | 0.79 | 1.04 | 0.83 |
| Sortino Ratio | 1.59 | 2.12 | 0.97 | 1.01 | 1.24 | 0.93 | 1.28 | 0.99 |
| CAGR | 15.39% | 20.71% | 9.52% | 13.40% | 13.94% | 15.28% | 13.60% | 14.95% |
| % Time Invested | 94.3% | 100.0% | 75.6% | 100.0% | 83.7% | 100.0% | 85.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.8 | 0.0 | 1.9 | 0.0 | 1.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for VOO... Top Diversifiers for VOO
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2026-04-07 | 2026-05-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $507.55 | $601.83 | 18.52% | Signal | |
| 2025-07-17 | 2025-09-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2025-04-30 | 2025-07-17 | Completed | 33.33% | $495.85 | $567.32 | 14.36% | Signal | |
| 2025-03-28 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 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 | |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $387.98 | $442.93 | 14.10% | Stop | |
| 2023-04-19 | 2025-04-07 | Completed | 33.33% | $362.72 | $442.93 | 22.05% | Stop | |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $417.05 | $512.11 | 22.73% | Signal | |
| 2023-11-03 | 2024-01-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2022-11-18 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 4.95% | Interest Income | |
| 2023-01-27 | 2023-11-03 | Completed | 33.33% | $353.75 | $384.05 | 8.51% | Signal | |
| 2022-05-10 | 2023-04-19 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.32% | Interest Income | |
| 2022-02-25 | 2023-01-27 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.36% | Interest Income | |
| 2022-10-25 | 2022-11-18 | Completed | 33.33% | $330.39 | $346.91 | 4.95% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-06-02 | 2022-10-03 | Completed | 33.33% | $354.29 | $314.95 | -11.15% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-03-21 | 2022-05-10 | Completed | 33.33% | $384.46 | $350.04 | -9.00% | Stop | |
| 2020-04-01 | 2022-05-10 | Completed | 33.33% | $208.04 | $350.04 | 68.18% | Stop | |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-08-11 | 2022-02-25 | Completed | 33.33% | $283.99 | $370.49 | 30.40% | Stop | |
| 2020-06-25 | 2022-02-25 | Completed | 33.33% | $255.81 | $370.49 | 44.76% | Stop | |
| 2020-06-29 | 2020-08-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-06-29 | Completed | 33.33% | $197.51 | $254.05 | 28.56% | Signal | |
| 2020-04-08 | 2020-06-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-08 | Completed | 33.33% | $197.51 | $224.76 | 13.74% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | 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 | |
| 2019-01-16 | 2020-03-10 | Completed | 33.33% | $213.39 | $237.76 | 11.36% | Stop | |
| 2019-04-08 | 2020-03-02 | Completed | 33.33% | $236.84 | $248.93 | 5.05% | Stop | |
| 2019-03-28 | 2020-03-02 | Completed | 33.33% | $230.46 | $248.93 | 7.96% | Stop | |
| 2019-02-14 | 2019-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2018-12-06 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2019-01-11 | 2019-02-14 | Completed | 33.33% | $210.84 | $224.01 | 6.20% | Signal | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2012-08-31 | 2018-12-21 | Completed | 33.33% | $101.42 | $201.84 | 98.92% | Stop | |
| 2016-06-27 | 2018-12-18 | Completed | 33.33% | $156.87 | $209.19 | 33.28% | Stop | |
| 2018-07-10 | 2018-12-06 | Completed | 33.33% | $225.42 | $216.40 | -4.05% | Signal | |
| 2018-05-21 | 2018-07-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2016-04-28 | 2018-05-21 | Completed | 33.33% | $161.29 | $220.00 | 36.33% | Signal | |
| 2015-11-03 | 2016-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2016-02-25 | 2016-04-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-12-15 | 2016-02-25 | Completed | 33.33% | $156.58 | $149.08 | -4.84% | Signal | |
| 2015-08-25 | 2015-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-11-03 | Completed | 33.33% | $152.15 | $160.58 | 5.49% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $101.42 | $148.63 | 46.48% | Stop | |
| 2012-08-31 | 2015-08-25 | Completed | 33.33% | $101.42 | $148.63 | 46.48% | Stop | |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |