VYM Vanguard High Dividend Yield Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for VYM (Vanguard High Dividend Yield Index Fund ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.3% (compared to the benchmark's drawdown of -35.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.1%, compared to a Buy-and-Hold benchmark return of 12.7%. The strategy executed 46 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
VYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 23.46% | 26.79% | 7.96% | 11.50% | 10.33% | 11.87% | 10.12% | 12.67% |
| Sharpe Ratio | 2.20 | 2.33 | 0.72 | 0.78 | 0.86 | 0.69 | 0.86 | 0.69 |
| Max Drawdown | -6.69% | -6.69% | -10.95% | -15.84% | -14.27% | -35.21% | -17.27% | -35.21% |
| % Time Invested | 100.0% | 100.0% | 93.3% | 100.0% | 95.7% | 100.0% | 93.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.4 | 0.0 | 2.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-09-19 | Open | Open | 33.33% | $139.09 | $159.19 | 14.45% | Mark-to-Market |
| 2025-07-18 | Open | Open | 33.33% | $132.89 | $159.19 | 19.79% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $121.08 | $159.19 | 31.48% | Mark-to-Market |
| 2025-07-29 | 2025-09-19 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2025-04-30 | 2025-07-29 | Completed | 33.33% | $120.50 | $133.79 | 11.03% | Signal |
| 2025-06-03 | 2025-07-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-03-24 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2024-04-15 | 2025-04-08 | Completed | 33.33% | $110.83 | $116.89 | 5.47% | Stop |
| 2024-02-01 | 2025-04-07 | Completed | 33.33% | $105.96 | $111.20 | 4.94% | Stop |
| 2024-01-17 | 2025-03-24 | Completed | 33.33% | $103.49 | $126.09 | 21.84% | Signal |
| 2023-10-30 | 2024-04-15 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.23% | Interest Income |
| 2023-07-05 | 2024-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.71% | Interest Income |
| 2023-10-30 | 2024-01-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.39% | Interest Income |
| 2023-08-15 | 2023-10-30 | Completed | 33.33% | $100.08 | $92.57 | -7.51% | Signal |
| 2023-04-04 | 2023-10-30 | Completed | 33.33% | $97.71 | $92.57 | -5.27% | Stop |
| 2023-06-02 | 2023-08-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income |
| 2023-03-16 | 2023-07-05 | Completed | 33.33% | $92.55 | $98.26 | 6.17% | Signal |
| 2023-04-14 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2022-12-08 | 2023-04-14 | Completed | 33.33% | $99.70 | $98.47 | -1.23% | Signal |
| 2023-02-14 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2022-12-02 | 2023-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2022-11-07 | 2023-02-14 | Completed | 33.33% | $96.60 | $101.01 | 4.57% | Signal |
| 2022-12-02 | 2022-12-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-14 | 2022-11-07 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2021-01-14 | 2022-10-14 | Completed | 33.33% | $81.77 | $89.79 | 9.81% | Stop |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-01 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-08-16 | 2022-09-01 | Completed | 33.33% | $98.09 | $92.65 | -5.55% | Stop |
| 2022-08-11 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2022-06-06 | 2022-08-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2022-07-13 | 2022-08-11 | Completed | 33.33% | $90.11 | $96.82 | 7.44% | Signal |
| 2022-06-17 | 2022-07-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-11-03 | 2022-06-17 | Completed | 33.33% | $69.85 | $88.82 | 27.16% | Stop |
| 2020-07-14 | 2022-06-06 | Completed | 33.33% | $66.65 | $99.03 | 48.59% | Signal |
| 2020-12-02 | 2021-01-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2020-04-01 | 2020-12-02 | Completed | 33.33% | $56.67 | $76.61 | 35.20% | Signal |
| 2020-06-12 | 2020-11-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.91% | Interest Income |
| 2020-06-12 | 2020-07-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $71.55 | $67.57 | -5.56% | Stop |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $71.55 | $67.57 | -5.56% | Stop |
| 2020-06-02 | 2020-06-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2020-06-02 | 2020-06-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2020-05-06 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-03-26 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2020-03-24 | 2020-05-06 | Completed | 33.33% | $53.66 | $63.98 | 19.23% | Signal |
| 2020-03-10 | 2020-04-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $53.66 | $56.66 | 5.58% | Signal |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-18 | 2020-03-10 | Completed | 33.33% | $65.49 | $66.07 | 0.88% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $70.08 | $68.76 | -1.89% | Stop |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $66.72 | $68.76 | 3.05% | Stop |
| 2019-03-04 | 2019-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2019-02-13 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2019-01-16 | 2019-02-13 | Completed | 33.33% | $64.56 | $67.61 | 4.72% | Signal |
| 2018-12-13 | 2019-02-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2018-12-26 | 2019-01-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2018-12-21 | 2019-01-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2015-09-17 | 2018-12-26 | Completed | 33.33% | $46.40 | $59.38 | 27.99% | Stop |
| 2016-03-28 | 2018-12-21 | Completed | 33.33% | $50.49 | $61.65 | 22.10% | Stop |
| 2018-06-12 | 2018-12-13 | Completed | 33.33% | $67.37 | $65.93 | -2.14% | Signal |
| 2018-04-30 | 2018-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2016-04-15 | 2018-04-30 | Completed | 33.33% | $51.25 | $65.47 | 27.75% | Signal |
| 2016-04-04 | 2016-04-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2016-03-10 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-12-09 | 2016-03-10 | Completed | 33.33% | $48.56 | $49.62 | 2.20% | Signal |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-11-03 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-11-03 | 2015-12-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2015-10-01 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2015-09-02 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-17 | 2015-10-01 | Completed | 33.33% | $46.40 | $45.46 | -2.01% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-14 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2012-02-10 | 2015-08-25 | Completed | 33.33% | $30.22 | $45.72 | 51.28% | Stop |
| 2011-09-01 | 2015-08-25 | Completed | 33.33% | $27.11 | $45.72 | 68.63% | Stop |
| 2012-08-24 | 2015-08-14 | Completed | 33.33% | $32.25 | $48.59 | 50.69% | Signal |
| 2012-08-02 | 2012-08-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2011-12-07 | 2012-08-02 | Completed | 33.33% | $28.47 | $31.95 | 12.23% | Signal |
| 2012-01-04 | 2012-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.38% | Interest Income |
| 2011-12-02 | 2012-01-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-12-02 | 2011-12-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-11-14 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2011-08-09 | 2011-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2011-08-31 | 2011-11-14 | Completed | 33.33% | $27.15 | $28.38 | 4.52% | Signal |
| 2011-08-10 | 2011-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-09 | 2011-08-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-10 | Completed | 33.33% | $22.54 | $25.48 | 13.06% | Stop |
| 2010-11-15 | 2011-08-09 | Completed | 33.33% | $25.35 | $25.26 | -0.38% | Stop |
| 2010-10-05 | 2011-08-09 | Completed | 33.33% | $24.39 | $25.26 | 3.56% | Stop |
| 2010-11-02 | 2010-11-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-10-15 | 2010-11-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $22.54 | $25.07 | 11.23% | Signal |
| 2010-09-02 | 2010-10-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2010-07-15 | 2010-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2010-06-01 | 2010-07-15 | Completed | 33.33% | $22.54 | $23.01 | 2.08% | Signal |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-05-07 | 2010-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-03-18 | 2010-05-07 | Completed | 33.33% | $24.23 | $23.49 | -3.06% | Stop |
| 2009-08-25 | 2010-05-07 | Completed | 33.33% | $21.71 | $23.49 | 8.20% | Stop |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $19.36 | $23.49 | 21.30% | Stop |
| 2010-03-02 | 2010-03-18 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2010-02-09 | 2010-03-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2009-12-30 | 2010-02-09 | Completed | 33.33% | $23.38 | $22.32 | -4.56% | Stop |
| 2009-10-02 | 2009-12-30 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2009-07-02 | 2009-10-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-07-02 | 2009-08-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-06-02 | 2009-07-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2009-05-04 | 2009-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-05-04 | 2009-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.10% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-04-02 | 2009-05-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2009-03-23 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2009-03-23 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2009-03-23 | 2009-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.66 | $16.38 | -1.69% | Stop |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.66 | $16.38 | -1.69% | Stop |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.66 | $16.38 | -1.69% | Stop |
| 2009-01-05 | 2009-03-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2009-01-05 | 2009-03-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2009-01-05 | 2009-03-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2008-11-10 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2008-11-10 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2008-11-10 | 2009-01-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |