VOO
Vanguard 500 Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
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 -20.1% (compared to the benchmark's drawdown of -34.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VOO:
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 Model
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.
Switch to MMA to enable
🛡️ VOO Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-20.1% (vs -34.0% B&H)
+13.9% shallower drawdown
Downside Efficiency
1.07 Sortino
+0.08 vs 0.99 B&H
Capital Sheltered from Risk
14.7% 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% | -20.10% | -24.52% | -20.10% | -33.99% | -20.10% | -33.99% |
| Sharpe Ratio | 1.27 | 1.27 | 0.86 | 0.72 | 1.02 | 0.79 | 0.93 | 0.83 |
| Sortino Ratio | 1.84 | 1.84 | 1.02 | 0.98 | 1.16 | 0.93 | 1.07 | 0.99 |
| CAGR | 17.59% | 17.59% | 11.68% | 12.95% | 13.88% | 15.37% | 12.31% | 14.84% |
| % Time Invested | 100.0% | 100.0% | 81.3% | 100.0% | 84.7% | 100.0% | 85.3% | 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
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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.
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|---|---|---|---|
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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 | ||||||||
| 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% | $353.75 | $442.93 | 25.14% | 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% | $265.77 | $373.95 | 40.63% | 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% | $197.51 | $208.04 | 5.28% | 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% | $231.09 | $248.93 | 7.66% | 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% | $162.54 | $216.79 | 33.31% | 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% | $157.21 | $146.15 | -7.08% | 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% | $101.42 | $146.74 | 44.61% | Signal | |
| 2012-08-29 | 2012-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |