VTV
Vanguard Value Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for VTV (Vanguard Value 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 -22.1% (compared to the benchmark's drawdown of -59.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.5%, compared to a Buy-and-Hold benchmark return of 9.5%. The strategy executed 13 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for VTV:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for VTV:
🛡️ Long-Term Investing Active Horizon
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.
Switch to MMA to enable
🛡️ VTV Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-22.1% (vs -59.3% B&H)
+37.2% shallower drawdown
Downside Efficiency
0.78 Sortino
+0.22 vs 0.56 B&H
Capital Sheltered from Risk
22.0% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 VTV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -6.35% | -6.35% | -22.05% | -17.04% | -22.05% | -36.78% | -22.05% | -59.27% |
| Sharpe Ratio | 2.03 | 2.03 | 0.48 | 0.86 | 0.67 | 0.72 | 0.70 | 0.48 |
| Sortino Ratio | 3.21 | 3.21 | 0.57 | 1.20 | 0.77 | 0.84 | 0.78 | 0.56 |
| CAGR | 22.91% | 22.91% | 5.75% | 12.57% | 8.12% | 12.64% | 8.47% | 9.54% |
| % Time Invested | 100.0% | 100.0% | 83.8% | 100.0% | 85.2% | 100.0% | 78.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 | 0.6 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for VTV... Top Diversifiers for VTV
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2025-04-08 | 2025-07-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.06% | Interest Income | |
| 2023-12-14 | 2025-04-08 | Completed | 100% | $139.89 | $156.37 | 11.73% | Stop | |
| 2023-11-03 | 2023-12-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2022-12-16 | 2023-11-03 | Completed | 100% | $127.89 | $130.06 | 1.65% | Signal | |
| 2022-09-01 | 2022-12-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.12% | Interest Income | |
| 2022-08-16 | 2022-09-01 | Completed | 100% | $129.51 | $121.98 | -5.86% | Stop | |
| 2022-06-17 | 2022-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2020-09-14 | 2022-06-17 | Completed | 100% | $92.41 | $116.31 | 25.80% | Stop | |
| 2020-03-02 | 2020-09-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2019-02-07 | 2020-03-02 | Completed | 100% | $87.11 | $90.24 | 3.54% | Stop | |
| 2018-12-20 | 2019-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2016-04-18 | 2018-12-20 | Completed | 100% | $64.17 | $80.74 | 25.75% | Signal | |
| 2016-01-12 | 2016-04-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-12-24 | 2016-01-12 | Completed | 100% | $63.34 | $59.57 | -6.00% | Signal | |
| 2015-08-25 | 2015-12-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-02-01 | 2015-08-25 | Completed | 100% | $38.03 | $58.24 | 53.06% | Stop | |
| 2011-08-08 | 2012-02-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-18 | 2011-08-08 | Completed | 100% | $33.44 | $33.30 | -0.47% | Stop | |
| 2010-07-12 | 2010-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-12 | Completed | 100% | $31.05 | $31.07 | 0.02% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-26 | 2010-05-07 | Completed | 100% | $25.55 | $32.27 | 26.24% | Stop | |
| 2007-11-30 | 2009-06-26 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.74% | Interest Income | |
| 2007-10-26 | 2007-11-30 | Completed | 100% | $43.31 | $42.12 | -2.79% | Signal | |
| 2007-10-04 | 2007-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-01-25 | 2007-10-04 | Completed | 100% | $34.34 | $44.34 | 29.06% | Signal | |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |