VXF
Vanguard Extended Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VXF (Vanguard Extended Market 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 -37.4% (compared to the benchmark's drawdown of -58.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.8%, compared to a Buy-and-Hold benchmark return of 10.2%. The strategy executed 19 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.
Switch to MMA to enable
VXF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 19.95% | 19.95% | -0.36% | 6.09% | 9.21% | 11.68% | 8.77% | 10.19% |
| Sharpe Ratio | 1.03 | 1.03 | -0.02 | 0.27 | 0.51 | 0.50 | 0.51 | 0.43 |
| Max Drawdown | -10.21% | -10.21% | -37.39% | -36.39% | -37.39% | -41.72% | -37.39% | -58.04% |
| % Time Invested | 100.0% | 100.0% | 66.8% | 100.0% | 75.3% | 100.0% | 81.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.1 | 0.0 | 0.8 | 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 | |
| 2025-04-01 | 2025-04-08 | Completed | 100% | $169.55 | $157.22 | -7.32% | Stop | |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-02-28 | 2025-03-10 | Completed | 100% | $163.99 | $173.09 | 5.49% | Stop | |
| 2023-03-13 | 2024-02-28 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.19% | Interest Income | |
| 2023-01-18 | 2023-03-13 | Completed | 100% | $137.03 | $128.08 | -6.58% | Stop | |
| 2022-09-01 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.48% | Interest Income | |
| 2022-07-13 | 2022-09-01 | Completed | 100% | $124.31 | $133.08 | 7.01% | Signal | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2022-06-01 | 2022-06-17 | Completed | 100% | $137.99 | $120.52 | -12.70% | Stop | |
| 2022-05-09 | 2022-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-10 | 2022-05-09 | Completed | 100% | $158.44 | $134.42 | -15.20% | Stop | |
| 2022-01-19 | 2022-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2022-01-19 | Completed | 100% | $75.35 | $160.28 | 112.61% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-12-20 | 2020-03-02 | Completed | 100% | $116.28 | $107.44 | -7.65% | Stop | |
| 2019-09-03 | 2019-12-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2019-01-17 | 2019-09-03 | Completed | 100% | $97.44 | $105.01 | 7.71% | Signal | |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-21 | 2018-12-24 | Completed | 100% | $97.62 | $86.52 | -11.42% | Stop | |
| 2018-10-30 | 2018-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-11-15 | 2018-10-30 | Completed | 100% | $81.72 | $97.09 | 18.75% | Stop | |
| 2016-04-22 | 2016-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2016-02-09 | 2016-04-22 | Completed | 100% | $61.61 | $74.07 | 20.17% | Signal | |
| 2016-01-15 | 2016-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-15 | Completed | 100% | $75.64 | $64.66 | -14.56% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2015-08-25 | Completed | 100% | $42.54 | $73.74 | 73.25% | Stop | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-29 | 2011-10-04 | Completed | 100% | $40.85 | $35.51 | -13.12% | Stop | |
| 2011-08-05 | 2011-08-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-05 | Completed | 100% | $36.53 | $42.46 | 16.19% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-09-15 | 2010-05-07 | Completed | 100% | $32.88 | $37.30 | 13.37% | Stop | |
| 2008-07-09 | 2009-09-15 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2008-02-04 | 2008-07-09 | Completed | 100% | $39.79 | $37.33 | -6.23% | Signal | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2003-12-30 | 2008-01-10 | Completed | 100% | $26.43 | $38.09 | 44.03% | Stop | |
| 2003-12-26 | 2003-12-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |