DFCF Dimensional Core Fixed Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for DFCF (Dimensional Core Fixed Income ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.0% (compared to the benchmark's drawdown of -4.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.2%, compared to a Buy-and-Hold benchmark return of 6.5%. The strategy executed 4 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
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.
DFCF Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 5.83% | 6.18% | 4.25% | 6.49% |
| Sharpe Ratio | 1.76 | 1.51 | 1.23 | 1.27 |
| Max Drawdown | -2.33% | -2.79% | -3.99% | -4.53% |
| % Time Invested | 100.0% | 100.0% | 93.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-09-02 | Open | Open | 33.33% | $40.98 | $42.30 | 3.22% | Mark-to-Market |
| 2024-08-05 | Open | Open | 33.33% | $39.57 | $42.30 | 6.90% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-17 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2025-05-01 | 2026-03-17 | Completed | 33.33% | $40.07 | $42.13 | 5.14% | Signal |
| 2025-06-03 | 2025-09-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-19 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-12-20 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.53% | Interest Income |
| 2024-04-03 | 2025-03-19 | Completed | 33.33% | $37.72 | $39.78 | 5.44% | Signal |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $39.57 | $38.98 | -1.49% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-09 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-11-09 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 4.96% | Interest Income |
| 2024-01-12 | 2024-05-09 | Completed | 33.33% | $38.25 | $37.70 | -1.43% | Signal |
| 2023-11-09 | 2024-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.88% | Interest Income |
| 2023-11-09 | 2024-01-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income |