VYM
Vanguard High Dividend Yield Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VYM (Vanguard High Dividend Yield Index Fund ETF) using the Excess Return MMA* 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 10.0%, compared to a Buy-and-Hold benchmark return of 12.7%. The strategy executed 46 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 20.85% | 22.20% | 8.55% | 12.27% | 9.81% | 11.59% | 9.97% | 12.72% |
| Sharpe Ratio | 1.92 | 1.97 | 0.78 | 0.84 | 0.83 | 0.67 | 0.85 | 0.70 |
| Max Drawdown | -6.69% | -6.69% | -10.74% | -15.84% | -14.50% | -35.21% | -17.33% | -35.21% |
| % Time Invested | 100.0% | 100.0% | 93.3% | 100.0% | 95.7% | 100.0% | 93.5% | 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 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 | ||||||||
| 2025-07-29 | 2025-09-19 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2025-04-30 | 2025-07-29 | Completed | 33.33% | $119.76 | $132.97 | 10.97% | Signal | |
| 2025-03-24 | 2025-07-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-04-15 | 2025-04-08 | Completed | 33.33% | $110.15 | $116.17 | 5.42% | Stop | |
| 2024-02-01 | 2025-04-07 | Completed | 33.33% | $105.30 | $110.51 | 4.89% | Stop | |
| 2024-01-17 | 2025-03-24 | Completed | 33.33% | $102.85 | $125.31 | 21.78% | Signal | |
| 2023-10-30 | 2024-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.44% | Interest Income | |
| 2023-07-05 | 2024-02-01 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.16% | Interest Income | |
| 2023-10-30 | 2024-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income | |
| 2023-08-15 | 2023-10-30 | Completed | 33.33% | $99.47 | $92.00 | -7.56% | Signal | |
| 2023-04-04 | 2023-10-30 | Completed | 33.33% | $97.11 | $92.00 | -5.31% | Stop | |
| 2023-04-14 | 2023-08-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.76% | Interest Income | |
| 2023-03-16 | 2023-07-05 | Completed | 33.33% | $91.98 | $97.65 | 6.12% | Signal | |
| 2022-12-08 | 2023-04-14 | Completed | 33.33% | $99.09 | $97.87 | -1.28% | Signal | |
| 2023-02-14 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2022-08-11 | 2023-03-16 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.41% | Interest Income | |
| 2022-11-07 | 2023-02-14 | Completed | 33.33% | $96.00 | $100.39 | 4.52% | Signal | |
| 2022-09-01 | 2022-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income | |
| 2022-10-14 | 2022-11-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2021-01-14 | 2022-10-14 | Completed | 33.33% | $81.26 | $89.23 | 9.75% | Stop | |
| 2022-08-16 | 2022-09-01 | Completed | 33.33% | $97.49 | $92.08 | -5.60% | Stop | |
| 2022-06-06 | 2022-08-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2022-07-13 | 2022-08-11 | Completed | 33.33% | $89.56 | $96.22 | 7.39% | Signal | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2020-11-03 | 2022-06-17 | Completed | 33.33% | $69.42 | $88.27 | 27.10% | Stop | |
| 2020-07-14 | 2022-06-06 | Completed | 33.33% | $66.23 | $98.42 | 48.52% | Signal | |
| 2020-12-02 | 2021-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-01 | 2020-12-02 | Completed | 33.33% | $56.32 | $76.14 | 35.13% | Signal | |
| 2020-06-12 | 2020-11-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-06-12 | 2020-07-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $71.11 | $67.15 | -5.61% | Stop | |
| 2020-06-09 | 2020-06-12 | Completed | 33.33% | $71.11 | $67.15 | -5.61% | Stop | |
| 2020-05-06 | 2020-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-26 | 2020-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-05-06 | Completed | 33.33% | $53.33 | $63.59 | 19.17% | Signal | |
| 2020-03-10 | 2020-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-03-26 | Completed | 33.33% | $53.33 | $56.31 | 5.53% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-18 | 2020-03-10 | Completed | 33.33% | $65.09 | $65.66 | 0.83% | Stop | |
| 2019-06-12 | 2020-03-02 | Completed | 33.33% | $69.65 | $68.33 | -1.94% | Stop | |
| 2019-02-07 | 2020-03-02 | Completed | 33.33% | $66.31 | $68.33 | 3.00% | Stop | |
| 2019-02-13 | 2019-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2019-01-16 | 2019-02-13 | Completed | 33.33% | $64.16 | $67.19 | 4.67% | Signal | |
| 2018-12-13 | 2019-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-26 | Completed | 33.33% | $46.11 | $59.02 | 27.92% | Stop | |
| 2016-03-28 | 2018-12-21 | Completed | 33.33% | $50.18 | $61.27 | 22.04% | Stop | |
| 2018-06-12 | 2018-12-13 | Completed | 33.33% | $66.96 | $65.53 | -2.19% | Signal | |
| 2018-04-30 | 2018-06-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2016-04-15 | 2018-04-30 | Completed | 33.33% | $50.93 | $65.06 | 27.69% | Signal | |
| 2016-03-10 | 2016-04-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-10-01 | 2016-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-12-09 | 2016-03-10 | Completed | 33.33% | $48.26 | $49.32 | 2.14% | Signal | |
| 2015-08-14 | 2015-12-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-10-01 | Completed | 33.33% | $46.11 | $45.18 | -2.06% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-02-10 | 2015-08-25 | Completed | 33.33% | $30.04 | $45.44 | 51.21% | Stop | |
| 2011-09-01 | 2015-08-25 | Completed | 33.33% | $26.95 | $45.44 | 68.54% | Stop | |
| 2012-08-24 | 2015-08-14 | Completed | 33.33% | $32.05 | $48.30 | 50.62% | Signal | |
| 2012-08-02 | 2012-08-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-12-07 | 2012-08-02 | Completed | 33.33% | $28.29 | $31.76 | 12.18% | Signal | |
| 2011-11-14 | 2012-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-09 | 2011-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-08-31 | 2011-11-14 | Completed | 33.33% | $26.98 | $28.21 | 4.47% | Signal | |
| 2011-08-10 | 2011-09-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-10 | Completed | 33.33% | $22.40 | $25.32 | 13.00% | Stop | |
| 2010-11-15 | 2011-08-09 | Completed | 33.33% | $25.20 | $25.10 | -0.43% | Stop | |
| 2010-10-05 | 2011-08-09 | Completed | 33.33% | $24.24 | $25.10 | 3.51% | Stop | |
| 2010-10-15 | 2010-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-10-15 | Completed | 33.33% | $22.40 | $24.91 | 11.17% | Signal | |
| 2010-07-15 | 2010-10-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-15 | Completed | 33.33% | $22.40 | $22.86 | 2.03% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-18 | 2010-05-07 | Completed | 33.33% | $24.08 | $23.34 | -3.11% | Stop | |
| 2009-08-25 | 2010-05-07 | Completed | 33.33% | $21.57 | $23.34 | 8.15% | Stop | |
| 2009-06-02 | 2010-05-07 | Completed | 33.33% | $19.24 | $23.34 | 21.24% | Stop | |
| 2010-02-09 | 2010-03-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-30 | 2010-02-09 | Completed | 33.33% | $23.24 | $22.18 | -4.61% | Stop | |
| 2009-03-23 | 2009-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2009-03-23 | 2009-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2009-03-23 | 2009-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.56 | $16.28 | -1.74% | Stop | |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.56 | $16.28 | -1.74% | Stop | |
| 2009-03-19 | 2009-03-23 | Completed | 33.33% | $16.56 | $16.28 | -1.74% | Stop | |
| 2008-11-10 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2008-11-10 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2008-11-10 | 2009-03-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |