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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.5% (compared to the benchmark's drawdown of -17.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of -0.8%, compared to a Buy-and-Hold benchmark return of 2.0%. The strategy executed 9 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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VTEB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 2.31% | 5.81% | -0.75% | 0.51% | -0.69% | 1.88% | -0.78% | 2.01% |
| Sharpe Ratio | 0.94 | 2.03 | -0.23 | 0.13 | -0.16 | 0.35 | -0.17 | 0.36 |
| Max Drawdown | -2.71% | -2.71% | -7.89% | -12.62% | -19.46% | -17.00% | -19.46% | -17.00% |
| % Time Invested | 85.3% | 100.0% | 76.4% | 100.0% | 73.1% | 100.0% | 81.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.9 | 0.0 | 1.0 | 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 | ||||||||
| 2025-04-14 | 2025-09-16 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2023-12-28 | 2025-04-14 | Completed | 100% | $47.10 | $46.61 | -1.09% | Signal | |
| 2023-09-25 | 2023-12-28 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2022-11-25 | 2023-09-25 | Completed | 100% | $44.17 | $44.25 | 0.14% | Signal | |
| 2022-10-24 | 2022-11-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2022-05-31 | 2022-10-24 | Completed | 100% | $44.89 | $42.53 | -5.30% | Stop | |
| 2022-01-27 | 2022-05-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2022-01-04 | 2022-01-27 | Completed | 100% | $48.16 | $47.15 | -2.14% | Signal | |
| 2021-12-10 | 2022-01-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-05-21 | 2021-12-10 | Completed | 100% | $45.61 | $48.17 | 5.56% | Signal | |
| 2020-04-16 | 2020-05-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-14 | 2020-04-16 | Completed | 100% | $45.34 | $45.36 | -0.01% | Signal | |
| 2020-03-20 | 2020-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2018-12-10 | 2020-03-20 | Completed | 100% | $41.88 | $38.67 | -7.71% | Stop | |
| 2018-11-08 | 2018-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2018-05-07 | 2018-11-08 | Completed | 100% | $41.22 | $41.16 | -0.20% | Signal | |
| 2018-02-23 | 2018-05-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2017-08-18 | 2018-02-23 | Completed | 100% | $41.54 | $41.09 | -1.14% | Signal | |
| 2017-08-16 | 2017-08-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |