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 Moving Average (50/200)* 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 11.3%, compared to a Buy-and-Hold benchmark return of 19.3%. The strategy executed 1 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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
0.99
vs 1.63 B&H
Capital Sheltered from Risk
7.8% 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 | 0.66 | 0.66 | 0.82 | 1.20 |
| Sortino Ratio | 2.14 | 2.14 | 0.65 | 0.91 | 0.99 | 1.63 |
| CAGR | 20.08% | 20.08% | 7.25% | 11.79% | 11.33% | 19.31% |
| % Time Invested | 100.0% | 100.0% | 60.0% | 100.0% | 92.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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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 | ||||||||
| 2025-04-07 | 2025-07-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.08% | Interest Income | |
| 2023-06-08 | 2025-04-07 | Completed | 100% | $25.37 | $28.47 | 12.15% | Stop | |
| 2023-06-06 | 2023-06-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |