VXUS
Vanguard Total International Stock Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-19
Executive Summary
The quantitative backtest for VXUS (Vanguard Total International Stock 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 -28.3% (compared to the benchmark's drawdown of -36.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.3%, compared to a Buy-and-Hold benchmark return of 7.7%. The strategy executed 11 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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VXUS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 33.01% | 33.01% | 4.61% | 9.33% | 5.39% | 10.01% | 4.31% | 7.66% |
| Sharpe Ratio | 1.78 | 1.78 | 0.33 | 0.55 | 0.40 | 0.55 | 0.33 | 0.44 |
| Max Drawdown | -11.27% | -11.27% | -28.32% | -29.44% | -28.32% | -35.97% | -28.32% | -35.97% |
| % Time Invested | 100.0% | 100.0% | 74.0% | 100.0% | 74.4% | 100.0% | 74.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 1.0 | 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 / 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 |
|---|---|---|---|---|---|---|---|
| 2023-12-26 | Open | Open | 100% | $53.32 | $86.77 | 62.73% | Mark-to-Market |
| 2023-03-13 | 2023-12-26 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.24% | Interest Income |
| 2023-01-18 | 2023-03-13 | Completed | 100% | $50.60 | $47.54 | -6.10% | Stop |
| 2022-08-30 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2022-07-11 | 2022-08-30 | Completed | 100% | $44.87 | $45.99 | 2.43% | Signal |
| 2022-06-15 | 2022-07-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-03-30 | 2022-06-15 | Completed | 100% | $53.12 | $45.95 | -13.54% | Stop |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-07-22 | 2022-03-08 | Completed | 100% | $43.45 | $48.67 | 11.96% | Stop |
| 2020-06-29 | 2020-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-06-04 | 2020-06-29 | Completed | 100% | $41.30 | $40.79 | -1.29% | Signal |
| 2020-04-20 | 2020-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-04-01 | 2020-04-20 | Completed | 100% | $33.86 | $36.36 | 7.34% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2019-09-13 | 2020-03-10 | Completed | 100% | $42.79 | $39.30 | -8.19% | Stop |
| 2019-08-06 | 2019-09-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2019-04-08 | 2019-08-06 | Completed | 100% | $42.63 | $40.66 | -4.66% | Stop |
| 2019-02-26 | 2019-04-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2018-11-02 | 2019-02-26 | Completed | 100% | $40.25 | $41.57 | 3.23% | Signal |
| 2018-10-11 | 2018-11-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2017-03-08 | 2018-10-11 | Completed | 100% | $36.63 | $40.13 | 9.50% | Stop |
| 2015-08-25 | 2017-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2013-02-25 | 2015-08-25 | Completed | 100% | $32.37 | $33.68 | 3.98% | Stop |
| 2013-01-23 | 2013-02-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |