VTEB
Vanguard Tax-exempt Bond Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VTEB (Vanguard Tax-exempt Bond 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 -24.1% (compared to the benchmark's drawdown of -17.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of -0.3%, compared to a Buy-and-Hold benchmark return of 2.0%. The strategy executed 5 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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VTEB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.81% | 5.81% | -0.25% | 0.51% | -0.24% | 1.88% | -0.26% | 2.01% |
| Sharpe Ratio | 2.03 | 2.03 | -0.07 | 0.13 | -0.05 | 0.35 | -0.06 | 0.36 |
| Max Drawdown | -2.71% | -2.71% | -13.77% | -12.62% | -24.11% | -17.00% | -24.11% | -17.00% |
| % Time Invested | 100.0% | 100.0% | 92.8% | 100.0% | 81.8% | 100.0% | 91.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | 0.0 | 0.6 | 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 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 | ||||||||
| 2022-09-26 | 2022-11-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2022-08-04 | 2022-09-26 | Completed | 100% | $45.36 | $42.98 | -5.30% | Stop | |
| 2022-05-26 | 2022-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2020-04-14 | 2022-05-26 | Completed | 100% | $45.34 | $44.53 | -1.84% | Signal | |
| 2020-03-20 | 2020-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-11-19 | 2020-03-20 | Completed | 100% | $41.37 | $38.67 | -6.59% | Stop | |
| 2018-10-26 | 2018-11-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-12-28 | 2018-10-26 | Completed | 100% | $41.75 | $41.27 | -1.20% | Signal | |
| 2017-09-26 | 2017-12-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2017-08-18 | 2017-09-26 | Completed | 100% | $41.54 | $41.64 | 0.18% | Signal | |
| 2017-08-16 | 2017-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |