DFCF
Dimensional Core Fixed Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for DFCF (Dimensional Core Fixed Income ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.1% (compared to the benchmark's drawdown of -4.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.5%, compared to a Buy-and-Hold benchmark return of 5.7%. The strategy executed 5 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
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)
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 | 3.88% | 3.42% | 3.46% | 5.68% |
| Sharpe Ratio | 1.16 | 0.85 | 1.06 | 1.13 |
| Max Drawdown | -2.35% | -2.79% | -4.07% | -4.53% |
| % Time Invested | 100.0% | 100.0% | 93.8% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.9 | 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 | ||||||||
| 2025-05-01 | 2026-03-17 | Completed | 33.33% | $39.75 | $41.79 | 5.09% | Signal | |
| 2025-03-19 | 2025-09-02 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.95% | Interest Income | |
| 2024-12-20 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.49% | Interest Income | |
| 2024-04-03 | 2025-03-19 | Completed | 33.33% | $37.42 | $39.46 | 5.39% | Signal | |
| 2024-08-05 | 2024-12-20 | Completed | 33.33% | $39.25 | $38.66 | -1.54% | Signal | |
| 2024-05-09 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2023-11-09 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.91% | Interest Income | |
| 2024-01-12 | 2024-05-09 | Completed | 33.33% | $37.94 | $37.40 | -1.48% | Signal | |
| 2023-11-09 | 2024-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2023-11-09 | 2024-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |