VOO
Vanguard 500 Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for VOO (Vanguard 500 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 -20.0% (compared to the benchmark's drawdown of -34.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.3%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 7 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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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% | 12.15% | 13.39% | 14.05% | 15.48% | 12.34% | 14.85% |
| Sharpe Ratio | 1.78 | 1.78 | 0.90 | 0.75 | 1.03 | 0.80 | 0.93 | 0.82 |
| Max Drawdown | -8.90% | -8.90% | -20.02% | -24.52% | -20.02% | -33.99% | -20.02% | -33.99% |
| % Time Invested | 100.0% | 100.0% | 81.4% | 100.0% | 84.7% | 100.0% | 85.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $509.03 | $681.95 | 33.97% | Mark-to-Market |
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2023-01-27 | 2025-04-07 | Completed | 100% | $354.78 | $444.22 | 25.21% | Stop |
| 2022-03-17 | 2023-01-27 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.34% | Interest Income |
| 2020-07-07 | 2022-03-17 | Completed | 100% | $266.55 | $375.04 | 40.70% | Signal |
| 2020-04-01 | 2020-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-03-24 | 2020-04-01 | Completed | 100% | $198.09 | $208.64 | 5.33% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-27 | 2020-03-02 | Completed | 100% | $231.76 | $249.65 | 7.72% | Stop |
| 2018-12-13 | 2019-03-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2016-04-21 | 2018-12-13 | Completed | 100% | $163.01 | $217.42 | 33.38% | Signal |
| 2016-01-19 | 2016-04-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2015-12-10 | 2016-01-19 | Completed | 100% | $157.67 | $146.57 | -7.04% | Signal |
| 2015-09-04 | 2015-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-08-31 | 2015-09-04 | Completed | 100% | $101.71 | $147.16 | 44.69% | Signal |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |