VTV
Vanguard Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-12
Executive Summary
The quantitative backtest for VTV (Vanguard Value 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 -59.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.4%, compared to a Buy-and-Hold benchmark return of 9.5%. The strategy executed 12 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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VTV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 26.91% | 26.91% | 11.48% | 11.89% | 13.85% | 12.75% | 10.38% | 9.47% |
| Sharpe Ratio | 2.31 | 2.31 | 0.83 | 0.81 | 0.94 | 0.72 | 0.73 | 0.47 |
| Max Drawdown | -6.35% | -6.35% | -18.39% | -17.04% | -18.39% | -36.78% | -24.05% | -59.27% |
| % Time Invested | 100.0% | 100.0% | 94.8% | 100.0% | 93.6% | 100.0% | 86.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.6 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 100% | $162.52 | $217.09 | 33.57% | Mark-to-Market |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-04-04 | 2025-04-08 | Completed | 100% | $129.90 | $157.14 | 20.97% | Stop |
| 2023-02-15 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.62% | Interest Income |
| 2022-07-13 | 2023-02-15 | Completed | 100% | $118.96 | $132.90 | 11.72% | Signal |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2021-01-14 | 2022-06-17 | Completed | 100% | $108.91 | $116.89 | 7.33% | Stop |
| 2020-12-10 | 2021-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-24 | 2020-12-10 | Completed | 100% | $68.94 | $103.86 | 50.65% | Signal |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-01-17 | 2020-03-02 | Completed | 100% | $84.51 | $90.69 | 7.31% | Stop |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-08-22 | 2018-12-24 | Completed | 100% | $68.75 | $78.57 | 14.29% | Stop |
| 2016-06-22 | 2016-08-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2015-09-17 | 2016-06-22 | Completed | 100% | $60.74 | $66.00 | 8.66% | Signal |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-30 | 2015-08-25 | Completed | 100% | $34.68 | $58.53 | 68.78% | Stop |
| 2011-08-08 | 2011-08-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-08 | Completed | 100% | $31.20 | $33.47 | 7.26% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-03-23 | 2010-05-07 | Completed | 100% | $33.45 | $32.43 | -3.05% | Stop |
| 2008-06-13 | 2010-03-23 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.73% | Interest Income |
| 2008-02-12 | 2008-06-13 | Completed | 100% | $38.22 | $37.24 | -2.56% | Signal |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2006-01-25 | 2008-01-18 | Completed | 100% | $34.51 | $37.98 | 10.06% | Stop |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |