VTV
Vanguard Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for VTV (Vanguard Value Index Fund ETF) using the Excess Return MMA* 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 9.6%. The strategy executed 45 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 25.30% | 26.67% | 9.74% | 12.67% | 11.92% | 12.63% | 9.98% | 9.57% |
| Sharpe Ratio | 2.29 | 2.32 | 0.88 | 0.87 | 0.99 | 0.72 | 0.84 | 0.48 |
| Max Drawdown | -6.35% | -6.35% | -11.69% | -17.04% | -14.94% | -36.78% | -17.54% | -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 | 2.2 | 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 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 | ||||||||
| 2025-06-03 | 2025-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income | |
| 2025-03-04 | 2025-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2025-05-01 | 2025-06-03 | Completed | 33.33% | $161.73 | $166.89 | 3.14% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-15 | 2025-04-08 | Completed | 33.33% | $139.48 | $156.37 | 12.06% | Stop | |
| 2023-04-04 | 2025-04-08 | Completed | 33.33% | $129.26 | $156.37 | 20.91% | Stop | |
| 2024-01-16 | 2025-03-04 | Completed | 33.33% | $140.75 | $169.91 | 20.66% | Signal | |
| 2023-10-31 | 2024-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.09% | Interest Income | |
| 2023-09-28 | 2023-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.18% | Interest Income | |
| 2023-07-31 | 2023-10-31 | Completed | 33.33% | $137.17 | $125.31 | -8.69% | Signal | |
| 2023-03-21 | 2023-09-28 | Completed | 33.33% | $125.47 | $129.88 | 3.46% | Signal | |
| 2023-04-19 | 2023-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2022-12-15 | 2023-04-19 | Completed | 33.33% | $130.01 | $130.57 | 0.38% | Signal | |
| 2023-01-25 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2022-07-28 | 2023-03-21 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.56% | Interest Income | |
| 2022-10-19 | 2023-01-25 | Completed | 33.33% | $118.51 | $130.66 | 10.20% | Signal | |
| 2022-09-01 | 2022-12-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income | |
| 2022-09-27 | 2022-10-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2021-01-14 | 2022-09-27 | Completed | 33.33% | $108.37 | $115.07 | 6.13% | Stop | |
| 2022-08-16 | 2022-09-01 | Completed | 33.33% | $129.51 | $121.98 | -5.86% | Stop | |
| 2022-06-03 | 2022-08-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2022-07-11 | 2022-07-28 | Completed | 33.33% | $120.21 | $124.00 | 3.10% | Signal | |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2020-10-29 | 2022-06-15 | Completed | 33.33% | $88.54 | $119.57 | 34.99% | Stop | |
| 2020-07-14 | 2022-06-03 | Completed | 33.33% | $86.73 | $129.23 | 48.93% | Signal | |
| 2020-12-16 | 2021-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-01 | 2020-12-16 | Completed | 33.33% | $73.56 | $103.46 | 40.58% | Signal | |
| 2020-05-11 | 2020-10-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-30 | 2020-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-03-24 | 2020-05-11 | Completed | 33.33% | $68.60 | $83.13 | 21.12% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-30 | Completed | 33.33% | $68.60 | $76.12 | 10.91% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-18 | 2020-03-10 | Completed | 33.33% | $85.65 | $86.31 | 0.72% | Stop | |
| 2019-06-21 | 2020-03-02 | Completed | 33.33% | $93.18 | $90.24 | -3.20% | Stop | |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $87.11 | $90.24 | 3.54% | Stop | |
| 2019-03-01 | 2019-06-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2019-01-15 | 2019-03-01 | Completed | 33.33% | $83.39 | $89.91 | 7.77% | Signal | |
| 2018-12-17 | 2019-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-08-23 | 2018-12-26 | Completed | 33.33% | $68.62 | $76.84 | 11.93% | Stop | |
| 2016-06-03 | 2018-12-20 | Completed | 33.33% | $65.46 | $80.74 | 23.27% | Stop | |
| 2018-07-27 | 2018-12-17 | Completed | 33.33% | $88.67 | $83.65 | -5.72% | Signal | |
| 2018-05-03 | 2018-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2016-04-26 | 2018-05-03 | Completed | 33.33% | $65.13 | $82.93 | 27.27% | Signal | |
| 2016-06-16 | 2016-08-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2015-09-17 | 2016-06-16 | Completed | 33.33% | $60.44 | $64.52 | 6.69% | Signal | |
| 2015-10-09 | 2016-06-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-26 | 2016-04-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2015-12-18 | 2016-02-26 | Completed | 33.33% | $62.27 | $60.72 | -2.53% | Signal | |
| 2015-08-25 | 2015-12-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-09-17 | 2015-10-09 | Completed | 33.33% | $60.44 | $61.71 | 2.05% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-08-29 | 2015-08-25 | Completed | 33.33% | $40.48 | $58.24 | 43.81% | Stop | |
| 2012-03-16 | 2015-08-25 | Completed | 33.33% | $40.40 | $58.24 | 44.09% | Stop | |
| 2011-08-31 | 2015-08-25 | Completed | 33.33% | $34.94 | $58.24 | 66.58% | Stop | |
| 2012-07-03 | 2012-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-27 | 2012-07-03 | Completed | 33.33% | $36.66 | $39.42 | 7.50% | Signal | |
| 2011-10-13 | 2012-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-08-01 | 2011-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-29 | 2011-10-13 | Completed | 33.33% | $34.08 | $34.16 | 0.18% | Signal | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 33.33% | $31.05 | $32.48 | 4.57% | Stop | |
| 2010-11-30 | 2011-08-05 | Completed | 33.33% | $33.32 | $34.75 | 4.26% | Stop | |
| 2010-10-12 | 2011-08-01 | Completed | 33.33% | $33.45 | $37.51 | 12.07% | Signal | |
| 2010-10-14 | 2010-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2010-10-14 | Completed | 33.33% | $31.05 | $33.81 | 8.85% | Signal | |
| 2010-07-19 | 2010-10-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-19 | Completed | 33.33% | $31.05 | $30.73 | -1.07% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-23 | 2010-05-07 | Completed | 33.33% | $33.29 | $32.27 | -3.10% | Stop | |
| 2009-08-24 | 2010-05-07 | Completed | 33.33% | $29.46 | $32.27 | 9.49% | Stop | |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $26.44 | $32.27 | 22.01% | Stop | |
| 2008-06-23 | 2010-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2007-12-06 | 2009-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income | |
| 2007-09-11 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.58% | Interest Income | |
| 2008-02-12 | 2008-06-23 | Completed | 33.33% | $38.03 | $36.11 | -5.09% | Signal | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2006-01-25 | 2008-01-18 | Completed | 33.33% | $34.34 | $37.79 | 10.00% | Stop | |
| 2006-01-25 | 2007-12-06 | Completed | 33.33% | $34.34 | $41.40 | 20.52% | Signal | |
| 2006-09-06 | 2007-09-11 | Completed | 33.33% | $37.35 | $41.82 | 11.92% | 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% | $34.34 | $36.52 | 6.32% | 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 | |