VTEB Vanguard Tax-exempt Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VTEB (Vanguard Tax-exempt Bond Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -9.3% (compared to the benchmark's drawdown of -17.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.4%, compared to a Buy-and-Hold benchmark return of 2.2%. The strategy executed 23 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
VTEB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.62% | 6.58% | 1.36% | 0.89% | 2.08% | 2.09% | 2.37% | 2.16% |
| Sharpe Ratio | 2.43 | 2.35 | 0.50 | 0.23 | 0.66 | 0.39 | 0.71 | 0.39 |
| Max Drawdown | -2.71% | -2.71% | -9.27% | -12.64% | -9.27% | -17.00% | -9.27% | -17.00% |
| % Time Invested | 100.0% | 100.0% | 96.1% | 100.0% | 85.2% | 100.0% | 97.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.3 | 0.0 | 2.6 | 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 |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-05-01 | Open | Open | 33.33% | $47.53 | $50.36 | 5.95% | Mark-to-Market |
| 2022-11-25 | Open | Open | 33.33% | $44.42 | $50.36 | 13.38% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-29 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2025-05-01 | 2026-04-29 | Completed | 33.33% | $47.53 | $50.21 | 5.63% | Signal |
| 2024-12-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.52% | Interest Income |
| 2024-10-02 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.80% | Interest Income |
| 2024-09-11 | 2024-12-17 | Completed | 33.33% | $48.27 | $48.20 | -0.15% | Signal |
| 2024-09-11 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-02 | 2024-09-11 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2024-04-10 | 2024-09-11 | Completed | 33.33% | $46.59 | $48.27 | 3.61% | Signal |
| 2024-05-15 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2024-01-18 | 2024-05-15 | Completed | 33.33% | $46.95 | $47.16 | 0.45% | Signal |
| 2023-09-14 | 2024-04-10 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.94% | Interest Income |
| 2023-06-02 | 2024-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.11% | Interest Income |
| 2022-11-25 | 2023-09-14 | Completed | 33.33% | $44.42 | $45.06 | 1.45% | Signal |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2022-11-25 | 2023-05-23 | Completed | 33.33% | $44.42 | $45.11 | 1.56% | Signal |
| 2022-10-24 | 2022-11-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-10-24 | 2022-11-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-10-04 | 2022-11-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2022-05-31 | 2022-10-24 | Completed | 33.33% | $45.14 | $42.77 | -5.25% | Stop |
| 2022-05-31 | 2022-10-24 | Completed | 33.33% | $45.14 | $42.77 | -5.25% | Stop |
| 2022-09-26 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2022-08-04 | 2022-09-26 | Completed | 33.33% | $45.62 | $43.22 | -5.26% | Stop |
| 2022-05-16 | 2022-08-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2022-03-02 | 2022-05-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-03-02 | 2022-05-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-05-03 | 2022-05-16 | Completed | 33.33% | $44.39 | $43.77 | -1.38% | Signal |
| 2022-04-08 | 2022-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-06 | 2022-04-08 | Completed | 33.33% | $44.54 | $45.22 | 1.52% | Stop |
| 2022-02-10 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-06 | 2022-02-10 | Completed | 33.33% | $44.54 | $47.24 | 6.05% | Signal |
| 2021-11-03 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-06-17 | 2021-11-03 | Completed | 33.33% | $48.32 | $48.06 | -0.55% | Signal |
| 2021-05-25 | 2021-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-05-21 | 2021-05-25 | Completed | 33.33% | $45.86 | $48.09 | 4.86% | Signal |
| 2020-04-24 | 2020-05-21 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-06 | 2020-04-24 | Completed | 33.33% | $44.54 | $45.00 | 1.02% | Signal |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2020-03-13 | 2020-04-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-16 | 2020-03-13 | Completed | 33.33% | $41.55 | $44.33 | 6.69% | Stop |
| 2018-11-16 | 2020-03-13 | Completed | 33.33% | $41.55 | $44.33 | 6.69% | Stop |
| 2018-05-07 | 2020-03-13 | Completed | 33.33% | $41.45 | $44.33 | 6.93% | Stop |
| 2018-11-02 | 2018-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-10-17 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2018-10-04 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2018-05-07 | 2018-10-17 | Completed | 33.33% | $41.45 | $41.34 | -0.27% | Signal |
| 2018-01-10 | 2018-10-04 | Completed | 33.33% | $41.75 | $41.49 | -0.63% | Signal |
| 2018-03-22 | 2018-05-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2018-01-19 | 2018-05-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2017-08-18 | 2018-03-22 | Completed | 33.33% | $41.78 | $41.35 | -1.02% | Signal |
| 2017-08-18 | 2018-01-19 | Completed | 33.33% | $41.78 | $41.79 | 0.04% | Signal |
| 2017-08-22 | 2018-01-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income |
| 2017-08-18 | 2017-08-22 | Completed | 33.33% | $41.78 | $41.78 | 0.00% | Signal |
| 2017-08-16 | 2017-08-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2017-08-16 | 2017-08-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2017-08-16 | 2017-08-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |