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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -3.7% (compared to the benchmark's drawdown of -10.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 2.9%. The strategy executed 28 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.
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
DFCF Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 4.68% | 6.18% | 3.20% | 2.87% |
| Sharpe Ratio | 1.58 | 1.51 | 0.93 | 0.45 |
| Max Drawdown | -2.17% | -2.79% | -3.70% | -10.65% |
| % Time Invested | 88.5% | 100.0% | 73.9% | 100.0% |
| Trades / Year | 8.0 | 0.0 | 7.0 | 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 |
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2026-05-15 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $42.23 | $41.86 | -0.87% | Signal |
| 2026-03-27 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2026-03-18 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income |
| 2026-03-19 | 2026-04-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2026-02-18 | 2026-03-27 | Completed | 33.33% | $42.58 | $41.49 | -2.55% | Signal |
| 2026-02-26 | 2026-03-19 | Completed | 33.33% | $42.65 | $41.87 | -1.81% | Signal |
| 2025-04-30 | 2026-03-18 | Completed | 33.33% | $40.00 | $42.13 | 5.32% | Signal |
| 2026-02-03 | 2026-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2026-01-26 | 2026-02-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.28% | Interest Income |
| 2026-01-21 | 2026-02-03 | Completed | 33.33% | $41.97 | $42.05 | 0.19% | Signal |
| 2026-01-22 | 2026-01-26 | Completed | 33.33% | $42.04 | $42.19 | 0.35% | Signal |
| 2025-12-02 | 2026-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2025-12-26 | 2026-01-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-12-17 | 2025-12-26 | Completed | 33.33% | $41.92 | $42.13 | 0.49% | Signal |
| 2025-11-18 | 2025-12-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2025-06-24 | 2025-12-02 | Completed | 33.33% | $40.27 | $41.93 | 4.13% | Signal |
| 2025-06-18 | 2025-11-18 | Completed | 33.33% | $40.23 | $41.78 | 3.84% | Signal |
| 2025-06-03 | 2025-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-06-03 | 2025-06-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-05-27 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-19 | 2025-05-27 | Completed | 33.33% | $39.48 | $39.71 | 0.59% | Signal |
| 2025-05-02 | 2025-05-19 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2025-04-23 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income |
| 2025-04-10 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income |
| 2024-12-23 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.43% | Interest Income |
| 2025-02-27 | 2025-04-23 | Completed | 33.33% | $39.81 | $39.79 | -0.05% | Signal |
| 2025-02-07 | 2025-04-10 | Completed | 33.33% | $39.28 | $39.40 | 0.31% | Signal |
| 2024-10-25 | 2025-02-27 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2024-12-31 | 2025-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $39.62 | $39.04 | -1.47% | Signal |
| 2024-08-05 | 2024-12-23 | Completed | 33.33% | $39.57 | $38.94 | -1.59% | Signal |
| 2024-10-14 | 2024-12-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2024-06-10 | 2024-10-25 | Completed | 33.33% | $37.96 | $39.32 | 3.57% | Signal |
| 2024-05-21 | 2024-10-14 | Completed | 33.33% | $37.95 | $39.45 | 3.95% | Signal |
| 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 |
| 2024-02-21 | 2024-06-10 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.01% | Interest Income |
| 2024-04-08 | 2024-05-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.75% | Interest Income |
| 2024-01-12 | 2024-05-09 | Completed | 33.33% | $38.25 | $37.70 | -1.43% | Signal |
| 2024-03-26 | 2024-04-08 | Completed | 33.33% | $38.06 | $37.72 | -0.88% | Signal |
| 2024-01-30 | 2024-03-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-11-29 | 2024-02-21 | Completed | 33.33% | $36.98 | $37.72 | 1.99% | Signal |
| 2023-11-15 | 2024-01-30 | Completed | 33.33% | $36.27 | $38.08 | 4.99% | Signal |
| 2023-06-02 | 2024-01-12 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.05% | Interest Income |
| 2023-06-02 | 2023-11-29 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.08% | Interest Income |
| 2023-06-02 | 2023-11-15 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.89% | Interest Income |
| 2023-05-25 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-05-24 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-05-03 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-04-13 | 2023-05-25 | Completed | 33.33% | $37.14 | $36.38 | -2.06% | Signal |
| 2023-02-09 | 2023-05-24 | Completed | 33.33% | $36.77 | $36.60 | -0.46% | Signal |
| 2023-03-27 | 2023-05-03 | Completed | 33.33% | $36.79 | $37.16 | 1.00% | Signal |
| 2023-04-04 | 2023-04-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2023-03-07 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.41% | Interest Income |
| 2023-02-23 | 2023-03-27 | Interest (FLOT) | 33.33% | $1.00 | $0.99 | -0.63% | Interest Income |
| 2022-12-02 | 2023-03-07 | Completed | 33.33% | $35.91 | $35.89 | -0.07% | Signal |
| 2022-11-17 | 2023-02-23 | Completed | 33.33% | $35.42 | $36.01 | 1.67% | Signal |
| 2022-12-02 | 2023-02-09 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.55% | Interest Income |
| 2022-10-04 | 2022-12-02 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-11-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-09-13 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.28% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-04 | 2022-09-13 | Completed | 33.33% | $37.60 | $35.85 | -4.67% | Signal |
| 2022-08-31 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-05-26 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2022-07-21 | 2022-08-31 | Completed | 33.33% | $36.80 | $36.57 | -0.64% | Signal |
| 2022-05-26 | 2022-08-04 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-06-16 | 2022-07-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-06-06 | 2022-06-16 | Completed | 33.33% | $37.25 | $35.79 | -3.92% | Signal |
| 2022-05-26 | 2022-06-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |