DFAC
Dimensional U.S. Core Equity 2 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
Executive Summary
The quantitative backtest for DFAC (Dimensional U.S. Core Equity 2 ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -15.3% (compared to the benchmark's drawdown of -20.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.9%, compared to a Buy-and-Hold benchmark return of 19.3%. The strategy executed 5 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for DFAC:
Excess Return MMA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for DFAC:
🛡️ Long-Term Investing Active Horizon
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.
🛡️ DFAC Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-15.3% (vs -20.0% B&H)
+4.8% shallower drawdown
Drawdown Shield
4.8% Cut
Protected capital vs -20.0% B&H
Capital Sheltered from Risk
15.8% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 DFAC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.49% | -8.49% | -15.27% | -23.11% | -15.27% | -20.02% |
| Sharpe Ratio | 1.46 | 1.47 | 0.84 | 0.66 | 1.05 | 1.20 |
| Sortino Ratio | 2.09 | 2.14 | 0.88 | 0.91 | 1.36 | 1.63 |
| CAGR | 19.75% | 20.08% | 8.26% | 11.79% | 12.95% | 19.31% |
| % Time Invested | 98.3% | 100.0% | 54.9% | 100.0% | 84.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 1.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for DFAC... Top Diversifiers for DFAC
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2025-06-03 | 2025-09-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.35% | Interest Income | |
| 2025-03-17 | 2025-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income | |
| 2025-04-29 | 2025-06-03 | Completed | 33.33% | $31.62 | $33.94 | 7.31% | Signal | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-04 | 2025-04-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-12-27 | 2025-04-07 | Completed | 33.33% | $28.60 | $28.47 | -0.52% | Stop | |
| 2023-06-08 | 2025-04-04 | Completed | 33.33% | $25.37 | $30.30 | 19.38% | Stop | |
| 2024-01-09 | 2025-03-17 | Completed | 33.33% | $28.10 | $32.59 | 15.95% | Signal | |
| 2023-11-03 | 2024-01-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income | |
| 2023-06-06 | 2023-12-27 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.03% | Interest Income | |
| 2023-06-16 | 2023-11-03 | Completed | 33.33% | $26.20 | $25.46 | -2.86% | Signal | |
| 2023-06-06 | 2023-06-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2023-06-06 | 2023-06-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |