VOO
Vanguard 500 Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-13
Executive Summary
The quantitative backtest for VOO (Vanguard 500 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 -25.1% (compared to the benchmark's drawdown of -34.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 14.5%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 6 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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VOO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.38% | 24.38% | 8.65% | 13.39% | 15.07% | 15.48% | 14.51% | 14.85% |
| Sharpe Ratio | 1.78 | 1.78 | 0.58 | 0.75 | 0.96 | 0.80 | 0.96 | 0.82 |
| Max Drawdown | -8.90% | -8.90% | -25.11% | -24.52% | -25.11% | -33.99% | -25.11% | -33.99% |
| % Time Invested | 100.0% | 100.0% | 77.4% | 100.0% | 87.4% | 100.0% | 90.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 100% | $497.30 | $681.95 | 37.13% | Mark-to-Market |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $389.11 | $444.22 | 14.16% | Stop |
| 2022-11-30 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.83% | Interest Income |
| 2022-10-18 | 2022-11-30 | Completed | 100% | $328.14 | $346.01 | 5.45% | Signal |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-06-02 | 2022-09-26 | Completed | 100% | $355.32 | $320.59 | -9.77% | Stop |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2022-05-10 | Completed | 100% | $198.09 | $351.06 | 77.23% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-01-16 | 2020-03-02 | Completed | 100% | $214.01 | $249.65 | 16.65% | Stop |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2012-08-31 | 2018-12-21 | Completed | 100% | $101.71 | $202.42 | 99.02% | Stop |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |