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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.9% (compared to the benchmark's drawdown of -59.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.4%, 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.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
Switch to MMA to enable
VTV Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.89% | 26.91% | 5.19% | 11.89% | 8.28% | 12.75% | 8.45% | 9.47% |
| Sharpe Ratio | 2.13 | 2.31 | 0.43 | 0.81 | 0.68 | 0.72 | 0.70 | 0.47 |
| Max Drawdown | -6.35% | -6.35% | -21.90% | -17.04% | -21.90% | -36.78% | -21.90% | -59.27% |
| % Time Invested | 93.2% | 100.0% | 83.8% | 100.0% | 85.2% | 100.0% | 77.7% | 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
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 |
|---|---|---|---|---|---|---|---|
| 2025-07-09 | Open | Open | 100% | $175.73 | $217.09 | 23.54% | Mark-to-Market |
| 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% | $140.58 | $157.14 | 11.78% | 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% | $128.52 | $130.71 | 1.70% | 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% | $130.15 | $122.58 | -5.82% | 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% | $92.87 | $116.89 | 25.87% | 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% | $87.54 | $90.69 | 3.59% | 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% | $64.49 | $81.14 | 25.82% | 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% | $63.66 | $59.87 | -5.95% | 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% | $38.22 | $58.53 | 53.14% | 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% | $33.61 | $33.47 | -0.42% | 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% | $31.20 | $31.22 | 0.07% | 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% | $25.68 | $32.43 | 26.30% | 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% | $43.52 | $42.33 | -2.74% | 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% | $34.51 | $44.56 | 29.13% | Signal |
| 2006-01-23 | 2006-01-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |