VTV Vanguard Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VTV (Vanguard Value 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 -17.5% (compared to the benchmark's drawdown of -59.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.0%, compared to a Buy-and-Hold benchmark return of 9.3%. The strategy executed 45 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.
VTV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 22.04% | 26.48% | 8.51% | 11.28% | 11.76% | 12.43% | 10.03% | 9.35% |
| Sharpe Ratio | 2.19 | 2.34 | 0.76 | 0.77 | 0.97 | 0.70 | 0.84 | 0.47 |
| Max Drawdown | -6.35% | -6.35% | -11.95% | -17.04% | -14.72% | -36.78% | -17.49% | -59.27% |
| % Time Invested | 100.0% | 100.0% | 97.5% | 100.0% | 97.8% | 100.0% | 93.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.3 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-01 | Open | Open | 33.33% | $184.16 | $211.85 | 15.03% | Mark-to-Market |
| 2025-07-22 | Open | Open | 33.33% | $174.54 | $211.85 | 21.38% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $162.52 | $211.85 | 30.35% | Mark-to-Market |
| 2025-06-03 | 2025-10-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.84% | Interest Income |
| 2025-06-03 | 2025-07-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2025-05-01 | 2025-06-03 | Completed | 33.33% | $162.52 | $167.71 | 3.19% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-03-04 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2023-12-15 | 2025-04-08 | Completed | 33.33% | $140.16 | $157.14 | 12.11% | Stop |
| 2023-04-04 | 2025-04-08 | Completed | 33.33% | $129.90 | $157.14 | 20.97% | Stop |
| 2024-01-16 | 2025-03-04 | Completed | 33.33% | $141.44 | $170.75 | 20.72% | Signal |
| 2023-10-31 | 2024-01-16 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income |
| 2023-09-28 | 2023-12-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income |
| 2023-07-31 | 2023-10-31 | Completed | 33.33% | $137.85 | $125.93 | -8.65% | Signal |
| 2023-03-21 | 2023-09-28 | Completed | 33.33% | $126.09 | $130.52 | 3.51% | Signal |
| 2023-06-02 | 2023-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income |
| 2023-04-19 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2022-12-15 | 2023-04-19 | Completed | 33.33% | $130.65 | $131.21 | 0.43% | Signal |
| 2023-01-25 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2022-12-02 | 2023-03-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income |
| 2022-10-19 | 2023-01-25 | Completed | 33.33% | $119.10 | $131.31 | 10.25% | Signal |
| 2022-12-02 | 2022-12-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-10-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-27 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.30% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2021-01-14 | 2022-09-27 | Completed | 33.33% | $108.91 | $115.64 | 6.18% | Stop |
| 2022-09-01 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-08-16 | 2022-09-01 | Completed | 33.33% | $130.15 | $122.58 | -5.82% | Stop |
| 2022-07-28 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2022-06-03 | 2022-08-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2022-07-11 | 2022-07-28 | Completed | 33.33% | $120.81 | $124.61 | 3.15% | Signal |
| 2022-06-15 | 2022-07-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-10-29 | 2022-06-15 | Completed | 33.33% | $88.97 | $120.16 | 35.05% | Stop |
| 2020-07-14 | 2022-06-03 | Completed | 33.33% | $87.16 | $129.87 | 49.00% | Signal |
| 2020-12-16 | 2021-01-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2020-04-01 | 2020-12-16 | Completed | 33.33% | $73.92 | $103.97 | 40.65% | Signal |
| 2020-06-02 | 2020-10-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2020-06-02 | 2020-07-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2020-05-11 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-03-30 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-24 | 2020-05-11 | Completed | 33.33% | $68.94 | $83.54 | 21.18% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2020-03-30 | Completed | 33.33% | $68.94 | $76.50 | 10.96% | Signal |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-18 | 2020-03-10 | Completed | 33.33% | $86.08 | $86.74 | 0.77% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-21 | 2020-03-02 | Completed | 33.33% | $93.64 | $90.69 | -3.15% | Stop |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $87.54 | $90.69 | 3.59% | Stop |
| 2019-03-04 | 2019-06-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2019-03-01 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-01-15 | 2019-03-01 | Completed | 33.33% | $83.80 | $90.36 | 7.82% | Signal |
| 2018-12-17 | 2019-02-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2018-12-26 | 2019-01-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-20 | 2019-01-15 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2016-08-23 | 2018-12-26 | Completed | 33.33% | $68.96 | $77.22 | 11.98% | Stop |
| 2016-06-03 | 2018-12-20 | Completed | 33.33% | $65.79 | $81.14 | 23.33% | Stop |
| 2018-07-27 | 2018-12-17 | Completed | 33.33% | $89.11 | $84.06 | -5.67% | Signal |
| 2018-05-03 | 2018-07-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2016-04-26 | 2018-05-03 | Completed | 33.33% | $65.45 | $83.34 | 27.33% | Signal |
| 2016-06-16 | 2016-08-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2015-09-17 | 2016-06-16 | Completed | 33.33% | $60.74 | $64.84 | 6.75% | Signal |
| 2016-04-04 | 2016-06-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2016-04-04 | 2016-04-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-26 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-12-18 | 2016-02-26 | Completed | 33.33% | $62.58 | $61.02 | -2.48% | Signal |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2015-12-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2015-10-09 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-09 | Completed | 33.33% | $60.74 | $62.02 | 2.10% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-08-29 | 2015-08-25 | Completed | 33.33% | $40.68 | $58.53 | 43.88% | Stop |
| 2012-03-16 | 2015-08-25 | Completed | 33.33% | $40.60 | $58.53 | 44.16% | Stop |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $35.12 | $58.53 | 66.67% | Stop |
| 2012-07-03 | 2012-08-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2011-12-27 | 2012-07-03 | Completed | 33.33% | $36.84 | $39.62 | 7.55% | Signal |
| 2012-01-04 | 2012-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.79% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2011-10-13 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-02 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-29 | 2011-10-13 | Completed | 33.33% | $34.25 | $34.33 | 0.23% | Signal |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-05 | 2011-08-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $31.20 | $32.64 | 4.62% | Stop |
| 2010-11-30 | 2011-08-05 | Completed | 33.33% | $33.48 | $34.92 | 4.31% | Stop |
| 2011-08-01 | 2011-08-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-10-12 | 2011-08-01 | Completed | 33.33% | $33.62 | $37.69 | 12.13% | Signal |
| 2010-11-02 | 2010-11-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-10-14 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2010-06-01 | 2010-10-14 | Completed | 33.33% | $31.20 | $33.98 | 8.91% | Signal |
| 2010-09-02 | 2010-10-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-19 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-06-01 | 2010-07-19 | Completed | 33.33% | $31.20 | $30.88 | -1.02% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-23 | 2010-05-07 | Completed | 33.33% | $33.45 | $32.43 | -3.05% | Stop |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $29.61 | $32.43 | 9.54% | Stop |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $26.57 | $32.43 | 22.07% | Stop |
| 2010-03-02 | 2010-03-23 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-02-02 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-10-02 | 2010-02-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2009-01-05 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-09-03 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2008-06-23 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-06-03 | 2008-09-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2008-02-12 | 2008-06-23 | Completed | 33.33% | $38.22 | $36.29 | -5.04% | Signal |
| 2007-12-06 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.02 | 1.51% | Interest Income |
| 2007-09-11 | 2008-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.03 | 2.77% | Interest Income |
| 2008-01-18 | 2008-02-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2006-01-25 | 2008-01-18 | Completed | 33.33% | $34.51 | $37.98 | 10.06% | Stop |
| 2006-01-25 | 2007-12-06 | Completed | 33.33% | $34.51 | $41.61 | 20.58% | Signal |
| 2006-09-06 | 2007-09-11 | Completed | 33.33% | $37.53 | $42.02 | 11.97% | Signal |
| 2006-08-01 | 2006-09-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2006-01-25 | 2006-08-01 | Completed | 33.33% | $34.51 | $36.70 | 6.37% | Signal |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |