VO
Vanguard Mid-Cap Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VO (Vanguard Mid-Cap 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 -33.6% (compared to the benchmark's drawdown of -58.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.3%, compared to a Buy-and-Hold benchmark return of 9.5%. The strategy executed 17 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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VO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.73% | 13.73% | -0.69% | 7.77% | 10.03% | 11.34% | 8.32% | 9.53% |
| Sharpe Ratio | 1.02 | 1.02 | -0.05 | 0.43 | 0.65 | 0.57 | 0.53 | 0.43 |
| Max Drawdown | -8.17% | -8.17% | -32.10% | -27.57% | -32.10% | -39.37% | -33.62% | -58.88% |
| % Time Invested | 100.0% | 100.0% | 70.0% | 100.0% | 80.6% | 100.0% | 82.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.8 | 0.0 | 0.8 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-03-20 | 2025-04-07 | Completed | 100% | $58.74 | $55.78 | -5.09% | Stop | |
| 2023-03-13 | 2024-03-20 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.52% | Interest Income | |
| 2023-01-18 | 2023-03-13 | Completed | 100% | $51.09 | $47.59 | -6.90% | Stop | |
| 2022-10-27 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2022-10-18 | 2022-10-27 | Completed | 100% | $46.06 | $47.35 | 2.75% | 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% | $50.45 | $45.06 | -10.73% | Stop | |
| 2022-05-10 | 2022-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2022-02-16 | 2022-05-10 | Completed | 100% | $54.94 | $49.26 | -10.39% | Stop | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2022-01-25 | Completed | 100% | $26.88 | $53.28 | 98.10% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-11 | 2020-03-02 | Completed | 100% | $32.17 | $36.93 | 14.74% | Stop | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-12-18 | Completed | 100% | $27.78 | $31.56 | 13.57% | Stop | |
| 2016-06-09 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2016-02-12 | 2016-06-09 | Completed | 100% | $22.34 | $26.83 | 20.07% | Signal | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $26.01 | $22.76 | -12.56% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2015-08-25 | Completed | 100% | $14.93 | $25.05 | 67.73% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-30 | 2011-10-05 | Completed | 100% | $14.13 | $12.84 | -9.14% | Stop | |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $12.16 | $13.35 | 9.73% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $10.92 | $12.41 | 13.58% | Stop | |
| 2008-07-14 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2008-02-04 | 2008-07-14 | Completed | 100% | $13.86 | $12.81 | -7.63% | Signal | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2007-09-11 | 2008-01-10 | Completed | 100% | $14.27 | $13.36 | -6.42% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-01-25 | 2007-08-17 | Completed | 100% | $12.50 | $14.26 | 14.07% | Stop | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |