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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.2% (compared to the benchmark's drawdown of -23.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.6%, compared to a Buy-and-Hold benchmark return of 11.5%. The strategy executed 39 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.
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
🎯 Trading Horizon
Select risk profile & execution style for DFAC:
🛡️ Long-Term Investing
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading Active Horizon
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
-16.2% (vs -23.1% B&H)
+6.9% shallower drawdown
Drawdown Shield
6.9% Cut
Protected capital vs -23.1% B&H
Capital Sheltered from Risk
34.9% 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 | -5.36% | -8.49% | -16.19% | -23.11% | -16.19% | -23.11% |
| Sharpe Ratio | 1.12 | 1.47 | 0.54 | 0.66 | 0.56 | 0.64 |
| Sortino Ratio | 1.48 | 2.14 | 0.68 | 0.91 | 0.72 | 0.89 |
| CAGR | 12.21% | 20.08% | 5.36% | 11.79% | 5.64% | 11.53% |
| % Time Invested | 83.5% | 100.0% | 61.8% | 100.0% | 65.1% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 7.8 | 0.0 | 8.2 | 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 | ||||||||
| 2026-04-10 | 2026-06-23 | Completed | 33.33% | $40.61 | $43.50 | 7.06% | Signal | |
| 2026-03-26 | 2026-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2026-03-02 | 2026-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2025-05-29 | 2026-03-26 | Completed | 33.33% | $34.03 | $38.84 | 14.08% | Signal | |
| 2025-12-11 | 2026-03-02 | Completed | 33.33% | $39.54 | $40.38 | 2.07% | Signal | |
| 2025-11-18 | 2025-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2025-11-10 | 2025-11-18 | Completed | 33.33% | $38.72 | $37.63 | -2.87% | Signal | |
| 2025-10-17 | 2025-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-04-30 | 2025-10-17 | Completed | 33.33% | $31.51 | $37.77 | 19.83% | Signal | |
| 2025-03-17 | 2025-07-15 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.40% | Interest Income | |
| 2025-01-28 | 2025-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.42% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-01 | 2025-04-07 | Completed | 33.33% | $32.44 | $28.47 | -12.30% | Stop | |
| 2025-02-18 | 2025-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2024-01-09 | 2025-03-17 | Completed | 33.33% | $28.10 | $32.59 | 15.95% | Signal | |
| 2025-01-22 | 2025-02-18 | Completed | 33.33% | $35.43 | $35.46 | 0.03% | Signal | |
| 2024-10-11 | 2025-01-28 | Completed | 33.33% | $33.71 | $35.09 | 4.05% | Signal | |
| 2024-12-20 | 2025-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-11-27 | 2024-12-20 | Completed | 33.33% | $35.76 | $33.78 | -5.58% | Signal | |
| 2024-11-05 | 2024-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-10-07 | 2024-11-05 | Completed | 33.33% | $33.54 | $33.52 | -0.11% | Signal | |
| 2024-09-19 | 2024-10-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-09-13 | 2024-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2024-06-14 | 2024-09-19 | Completed | 33.33% | $31.32 | $33.51 | 6.96% | Signal | |
| 2024-08-27 | 2024-09-13 | Completed | 33.33% | $32.87 | $32.61 | -0.85% | Signal | |
| 2024-08-05 | 2024-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-07-02 | 2024-08-05 | Completed | 33.33% | $31.44 | $30.16 | -4.13% | Signal | |
| 2024-06-07 | 2024-07-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-05-22 | 2024-06-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-05-08 | 2024-06-07 | Completed | 33.33% | $30.51 | $31.11 | 1.93% | Signal | |
| 2023-12-07 | 2024-05-22 | Completed | 33.33% | $26.96 | $31.30 | 16.04% | Signal | |
| 2024-04-16 | 2024-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-02-08 | 2024-04-16 | Completed | 33.33% | $29.11 | $29.79 | 2.30% | Signal | |
| 2024-01-17 | 2024-02-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-11-17 | 2024-01-17 | Completed | 33.33% | $26.35 | $27.79 | 5.44% | Signal | |
| 2023-11-02 | 2024-01-09 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2023-09-20 | 2023-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2023-10-26 | 2023-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-06-16 | 2023-11-02 | Completed | 33.33% | $26.20 | $24.99 | -4.68% | Signal | |
| 2023-10-20 | 2023-10-26 | Completed | 33.33% | $25.11 | $24.49 | -2.52% | Signal | |
| 2023-09-21 | 2023-10-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2023-09-07 | 2023-09-21 | Completed | 33.33% | $26.25 | $25.81 | -1.72% | Signal | |
| 2023-05-17 | 2023-09-20 | Completed | 33.33% | $24.35 | $26.25 | 7.75% | Signal | |
| 2023-08-14 | 2023-09-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2023-05-25 | 2023-08-14 | Completed | 33.33% | $24.40 | $26.59 | 8.93% | Signal | |
| 2023-05-12 | 2023-06-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2023-05-03 | 2023-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-04-04 | 2023-05-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2023-01-13 | 2023-05-12 | Completed | 33.33% | $24.22 | $24.41 | 0.71% | Signal | |
| 2023-04-04 | 2023-05-03 | Completed | 33.33% | $24.67 | $24.42 | -1.07% | Signal | |
| 2023-02-27 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2022-11-22 | 2023-04-04 | Completed | 33.33% | $24.11 | $24.67 | 2.27% | Signal | |
| 2023-01-12 | 2023-02-27 | Completed | 33.33% | $24.33 | $24.64 | 1.21% | Signal | |
| 2022-03-15 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.18% | Interest Income | |
| 2022-12-16 | 2023-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-10-19 | 2022-12-16 | Completed | 33.33% | $22.22 | $23.30 | 4.81% | Signal | |
| 2022-09-26 | 2022-11-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2022-09-02 | 2022-10-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2022-08-12 | 2022-09-26 | Completed | 33.33% | $24.83 | $21.64 | -12.89% | Stop | |
| 2022-07-08 | 2022-09-02 | Completed | 33.33% | $22.75 | $23.60 | 3.68% | Signal | |
| 2022-05-10 | 2022-08-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-05-31 | 2022-06-14 | Completed | 33.33% | $24.44 | $22.37 | -8.52% | Stop | |
| 2022-04-18 | 2022-05-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-04-25 | 2022-05-10 | Completed | 33.33% | $24.77 | $23.79 | -4.00% | Signal | |
| 2022-01-27 | 2022-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-03-23 | 2022-04-18 | Completed | 33.33% | $26.24 | $25.47 | -3.02% | Signal | |
| 2022-02-28 | 2022-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-12-10 | 2022-03-15 | Completed | 33.33% | $27.02 | $24.64 | -8.87% | Signal | |
| 2022-02-14 | 2022-02-28 | Completed | 33.33% | $25.75 | $25.36 | -1.56% | Signal | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-10 | 2022-01-27 | Completed | 33.33% | $27.02 | $25.41 | -6.03% | Signal | |
| 2021-12-20 | 2022-01-21 | Completed | 33.33% | $26.19 | $25.80 | -1.57% | Signal | |
| 2021-12-08 | 2021-12-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |