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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -20.8% (compared to the benchmark's drawdown of -20.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.8%, compared to a Buy-and-Hold benchmark return of 19.3%. The strategy executed 1 total trades.

* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for DFAC:

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 Model

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.

Switch to MMA to enable

🛡️ DFAC Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-20.8% (vs -20.0% B&H)

-0.8% shallower drawdown

Sortino Ratio

1.06

vs 1.63 B&H

Capital Sheltered from Risk

18.8% 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%	-20.81%	-23.11%	-20.81%	-20.02%
Sharpe Ratio	1.47	1.47	0.77	0.66	0.96	1.20
Sortino Ratio	2.14	2.14	0.69	0.91	1.06	1.63
CAGR	20.08%	20.08%	8.17%	11.79%	12.80%	19.31%
% Time Invested	100.0%	100.0%	52.8%	100.0%	81.2%	100.0%
Trades / Year	0.0	0.0	0.2	0.0	0.3	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of DFAC under the Excess Return SMA strategy (Investing) versus Buy & Hold. The strategy produced a 12.8% CAGR with a -20.8% Max Drawdown across 1 trade signals (compared to Buy & Hold's 19.3% CAGR and -20.0% Max Drawdown).

Histogram of monthly return distribution for DFAC under Excess Return SMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **DFAC** under **Excess Return SMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for DFAC

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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
2025-04-07	2025-04-30	Interest (CASH)	100%	$1.00	$1.00	0.27%	Interest Income
2023-12-22	2025-04-07	Completed	100%	$28.38	$28.47	0.26%	Stop
2023-06-06	2023-12-22	Interest (CASH)	100%	$1.00	$1.03	2.99%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where DFAC ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with DFAC → ⚖️ Compare DFAC vs Non-Correlated Assets →