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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -24.3% (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 9.6%. 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 | 26.67% | 26.67% | 12.19% | 12.67% | 14.03% | 12.63% | 10.41% | 9.57% |
| Sharpe Ratio | 2.32 | 2.32 | 0.89 | 0.87 | 0.95 | 0.72 | 0.73 | 0.48 |
| Max Drawdown | -6.35% | -6.35% | -18.47% | -17.04% | -18.47% | -36.78% | -24.28% | -59.27% |
| % Time Invested | 100.0% | 100.0% | 94.8% | 100.0% | 94.5% | 100.0% | 87.0% | 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 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-04 | 2025-04-08 | Completed | 100% | $129.26 | $156.37 | 20.91% | 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% | $118.38 | $132.25 | 11.66% | 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% | $108.37 | $116.31 | 7.27% | 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% | $68.60 | $103.35 | 50.57% | 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% | $84.09 | $90.24 | 7.26% | 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% | $68.41 | $78.18 | 14.23% | 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% | $60.44 | $65.68 | 8.61% | 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% | $34.51 | $58.24 | 68.69% | 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% | $31.05 | $33.30 | 7.21% | 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% | $33.29 | $32.27 | -3.10% | 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% | $38.03 | $37.06 | -2.60% | 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% | $34.34 | $37.79 | 10.00% | Stop | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |