DFAC
Dimensional U.S. Core Equity 2 ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 12.6%, compared to a Buy-and-Hold benchmark return of 19.4%. The strategy executed 1 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
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
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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DFAC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.93% | 20.93% | 7.72% | 11.66% | 12.59% | 19.36% |
| Sharpe Ratio | 1.52 | 1.52 | 0.74 | 0.65 | 0.94 | 1.19 |
| Max Drawdown | -8.49% | -8.49% | -20.81% | -23.11% | -20.81% | -20.02% |
| % Time Invested | 100.0% | 100.0% | 50.3% | 100.0% | 80.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 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 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. Upgrade to Pro 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 | |