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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.8% (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 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.
Switch to MMA to enable
VYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 22.20% | 22.20% | 8.06% | 12.27% | 10.23% | 11.59% | 9.97% | 12.72% |
| Sharpe Ratio | 1.97 | 1.97 | 0.65 | 0.84 | 0.74 | 0.67 | 0.75 | 0.70 |
| Max Drawdown | -6.69% | -6.69% | -15.17% | -15.84% | -16.33% | -35.21% | -18.82% | -35.21% |
| % Time Invested | 100.0% | 100.0% | 75.8% | 100.0% | 85.1% | 100.0% | 83.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 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 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 | |
| 2024-04-15 | 2025-04-08 | Completed | 100% | $110.15 | $116.17 | 5.42% | Stop | |
| 2023-03-15 | 2024-04-15 | Interest (CASH) | 100% | $1.00 | $1.06 | 5.86% | Interest Income | |
| 2022-10-20 | 2023-03-15 | Completed | 100% | $89.62 | $92.02 | 2.63% | Signal | |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2021-01-14 | 2022-09-28 | Completed | 100% | $81.26 | $86.56 | 6.46% | Stop | |
| 2020-11-17 | 2021-01-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-24 | 2020-11-17 | Completed | 100% | $53.33 | $75.01 | 40.57% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-18 | 2020-03-02 | Completed | 100% | $65.09 | $68.33 | 4.93% | Stop | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2015-09-17 | 2018-12-26 | Completed | 100% | $46.11 | $59.02 | 27.92% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-09-01 | 2015-08-25 | Completed | 100% | $26.95 | $45.44 | 68.54% | Stop | |
| 2011-08-10 | 2011-09-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-10 | Completed | 100% | $22.40 | $25.32 | 13.00% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-03-18 | 2010-05-07 | Completed | 100% | $24.08 | $23.34 | -3.11% | Stop | |
| 2010-02-09 | 2010-03-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-12-30 | 2010-02-09 | Completed | 100% | $23.24 | $22.18 | -4.61% | Stop | |
| 2009-03-23 | 2009-12-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2009-03-19 | 2009-03-23 | Completed | 100% | $16.56 | $16.28 | -1.74% | Stop | |
| 2008-11-10 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |