DFAC Dimensional U.S. Core Equity 2 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for DFAC (Dimensional U.S. Core Equity 2 ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.0% (compared to the benchmark's drawdown of -20.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.7%, compared to a Buy-and-Hold benchmark return of 20.4%. The strategy executed 5 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.
DFAC Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 23.71% | 30.15% | 13.73% | 20.38% |
| Sharpe Ratio | 1.91 | 2.18 | 1.09 | 1.24 |
| Max Drawdown | -8.49% | -8.49% | -15.98% | -20.02% |
| % Time Invested | 100.0% | 100.0% | 97.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.7 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-09-26 | Open | Open | 33.33% | $38.03 | $44.19 | 16.21% | Mark-to-Market |
| 2025-07-15 | Open | Open | 33.33% | $36.30 | $44.19 | 21.75% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $31.58 | $44.19 | 39.91% | Mark-to-Market |
| 2025-06-03 | 2025-09-26 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.70% | Interest Income |
| 2025-06-03 | 2025-07-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2025-04-29 | 2025-06-03 | Completed | 33.33% | $31.69 | $34.03 | 7.37% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-04 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2023-12-27 | 2025-04-07 | Completed | 33.33% | $28.67 | $28.54 | -0.47% | Stop |
| 2023-06-08 | 2025-04-04 | Completed | 33.33% | $25.43 | $30.38 | 19.44% | Stop |
| 2024-01-09 | 2025-03-17 | Completed | 33.33% | $28.16 | $32.67 | 16.00% | Signal |
| 2023-11-03 | 2024-01-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2023-06-06 | 2023-12-27 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.41% | Interest Income |
| 2023-06-16 | 2023-11-03 | Completed | 33.33% | $26.26 | $25.52 | -2.81% | Signal |
| 2023-06-06 | 2023-06-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2023-06-06 | 2023-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |