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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.5% (compared to the benchmark's drawdown of -23.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 11.7%. The strategy executed 36 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
DFAC Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 21.41% | 30.15% | 6.14% | 11.72% |
| Sharpe Ratio | 1.94 | 2.18 | 0.60 | 0.64 |
| Max Drawdown | -5.32% | -8.49% | -16.49% | -23.11% |
| % Time Invested | 100.0% | 100.0% | 91.1% | 100.0% |
| Trades / Year | 3.0 | 0.0 | 8.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-05 | Open | Open | 33.33% | $42.46 | $44.19 | 4.07% | Mark-to-Market |
| 2026-04-10 | Open | Open | 33.33% | $40.71 | $44.19 | 8.55% | Mark-to-Market |
| 2025-07-15 | Open | Open | 33.33% | $36.30 | $44.19 | 21.75% | Mark-to-Market |
| 2026-05-04 | 2026-05-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2026-03-26 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2026-03-03 | 2026-04-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2025-05-29 | 2026-03-26 | Completed | 33.33% | $34.12 | $38.94 | 14.14% | Signal |
| 2026-03-02 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2025-12-11 | 2026-03-02 | Completed | 33.33% | $39.64 | $40.48 | 2.12% | Signal |
| 2025-11-18 | 2025-12-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2025-11-10 | 2025-11-18 | Completed | 33.33% | $38.81 | $37.72 | -2.82% | Signal |
| 2025-10-17 | 2025-11-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-10-17 | Completed | 33.33% | $31.58 | $37.87 | 19.89% | Signal |
| 2025-06-03 | 2025-07-15 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-02 | 2025-05-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2025-01-28 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.93% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-01 | 2025-04-07 | Completed | 33.33% | $32.52 | $28.54 | -12.26% | Stop |
| 2025-02-18 | 2025-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2024-01-09 | 2025-03-17 | Completed | 33.33% | $28.16 | $32.67 | 16.00% | Signal |
| 2025-01-22 | 2025-02-18 | Completed | 33.33% | $35.51 | $35.54 | 0.08% | Signal |
| 2024-10-11 | 2025-01-28 | Completed | 33.33% | $33.79 | $35.18 | 4.11% | Signal |
| 2024-12-20 | 2025-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2024-11-27 | 2024-12-20 | Completed | 33.33% | $35.85 | $33.87 | -5.53% | Signal |
| 2024-11-05 | 2024-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-10-07 | 2024-11-05 | Completed | 33.33% | $33.62 | $33.60 | -0.06% | Signal |
| 2024-10-02 | 2024-10-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2024-10-02 | 2024-10-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2024-09-19 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2024-09-13 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2024-06-14 | 2024-09-19 | Completed | 33.33% | $31.39 | $33.59 | 7.01% | Signal |
| 2024-08-27 | 2024-09-13 | Completed | 33.33% | $32.95 | $32.69 | -0.80% | Signal |
| 2024-08-05 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2024-07-02 | 2024-08-05 | Completed | 33.33% | $31.52 | $30.23 | -4.08% | Signal |
| 2024-06-07 | 2024-07-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2024-05-22 | 2024-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2024-05-08 | 2024-06-07 | Completed | 33.33% | $30.58 | $31.19 | 1.98% | Signal |
| 2023-12-07 | 2024-05-22 | Completed | 33.33% | $27.02 | $31.37 | 16.10% | Signal |
| 2024-04-16 | 2024-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2024-02-08 | 2024-04-16 | Completed | 33.33% | $29.18 | $29.87 | 2.36% | Signal |
| 2024-01-17 | 2024-02-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2023-11-17 | 2024-01-17 | Completed | 33.33% | $26.41 | $27.86 | 5.50% | Signal |
| 2023-11-02 | 2024-01-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income |
| 2023-09-20 | 2023-12-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2023-10-26 | 2023-11-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2023-06-16 | 2023-11-02 | Completed | 33.33% | $26.26 | $25.05 | -4.63% | Signal |
| 2023-10-20 | 2023-10-26 | Completed | 33.33% | $25.17 | $24.55 | -2.47% | Signal |
| 2023-09-21 | 2023-10-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2023-09-07 | 2023-09-21 | Completed | 33.33% | $26.32 | $25.87 | -1.67% | Signal |
| 2023-05-17 | 2023-09-20 | Completed | 33.33% | $24.41 | $26.31 | 7.80% | Signal |
| 2023-08-14 | 2023-09-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-25 | 2023-08-14 | Completed | 33.33% | $24.46 | $26.65 | 8.99% | Signal |
| 2023-06-02 | 2023-06-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2023-05-12 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-05-03 | 2023-05-25 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-05-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2023-01-13 | 2023-05-12 | Completed | 33.33% | $24.28 | $24.47 | 0.76% | Signal |
| 2023-04-04 | 2023-05-03 | Completed | 33.33% | $24.73 | $24.48 | -1.02% | Signal |
| 2023-02-27 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2022-11-22 | 2023-04-04 | Completed | 33.33% | $24.17 | $24.73 | 2.32% | Signal |
| 2023-01-12 | 2023-02-27 | Completed | 33.33% | $24.39 | $24.70 | 1.26% | Signal |
| 2022-12-02 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2022-12-16 | 2023-01-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2022-10-19 | 2022-12-16 | Completed | 33.33% | $22.28 | $23.36 | 4.86% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-11-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2022-10-04 | 2022-10-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2022-09-26 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 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 |
| 2022-08-12 | 2022-09-26 | Completed | 33.33% | $24.89 | $21.69 | -12.85% | Stop |
| 2022-07-08 | 2022-09-02 | Completed | 33.33% | $22.81 | $23.66 | 3.73% | Signal |
| 2022-03-15 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-05-10 | 2022-08-12 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-05-31 | 2022-06-14 | Completed | 33.33% | $24.50 | $22.42 | -8.47% | Stop |
| 2022-04-18 | 2022-05-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-04-25 | 2022-05-10 | Completed | 33.33% | $24.83 | $23.85 | -3.95% | Signal |
| 2022-03-02 | 2022-04-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-23 | 2022-04-18 | Completed | 33.33% | $26.31 | $25.53 | -2.97% | Signal |
| 2022-03-02 | 2022-03-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-12-10 | 2022-03-15 | Completed | 33.33% | $27.09 | $24.70 | -8.82% | Signal |
| 2022-02-28 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-01-27 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2022-02-14 | 2022-02-28 | Completed | 33.33% | $25.81 | $25.42 | -1.51% | Signal |
| 2022-01-21 | 2022-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-12-10 | 2022-01-27 | Completed | 33.33% | $27.09 | $25.47 | -5.98% | Signal |
| 2021-12-20 | 2022-01-21 | Completed | 33.33% | $26.26 | $25.86 | -1.52% | Signal |
| 2021-12-08 | 2021-12-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-12-08 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-12-08 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |