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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -3.5% (compared to the benchmark's drawdown of -10.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.6%, compared to a Buy-and-Hold benchmark return of 2.5%. The strategy executed 29 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.
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 | 2.46% | 3.42% | 2.61% | 2.49% |
| Sharpe Ratio | 0.84 | 0.85 | 0.79 | 0.39 |
| Max Drawdown | -2.70% | -2.79% | -3.46% | -10.65% |
| % Time Invested | 88.5% | 100.0% | 74.9% | 100.0% |
| Trades / Year | 7.0 | 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 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 | ||||||||
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $41.89 | $41.52 | -0.92% | Signal | |
| 2026-03-19 | 2026-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2026-02-18 | 2026-03-27 | Completed | 33.33% | $42.23 | $41.16 | -2.60% | Signal | |
| 2026-02-26 | 2026-03-19 | Completed | 33.33% | $42.30 | $41.54 | -1.86% | Signal | |
| 2025-04-30 | 2026-03-18 | Completed | 33.33% | $39.68 | $41.79 | 5.26% | Signal | |
| 2026-02-03 | 2026-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-01-26 | 2026-02-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-01-21 | 2026-02-03 | Completed | 33.33% | $41.63 | $41.71 | 0.14% | Signal | |
| 2026-01-22 | 2026-01-26 | Completed | 33.33% | $41.70 | $41.84 | 0.30% | Signal | |
| 2025-12-02 | 2026-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2025-12-26 | 2026-01-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-17 | 2025-12-26 | Completed | 33.33% | $41.59 | $41.79 | 0.44% | Signal | |
| 2025-11-18 | 2025-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2025-06-24 | 2025-12-02 | Completed | 33.33% | $39.95 | $41.60 | 4.08% | Signal | |
| 2025-06-18 | 2025-11-18 | Completed | 33.33% | $39.91 | $41.44 | 3.79% | Signal | |
| 2025-04-23 | 2025-06-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2025-05-27 | 2025-06-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-05-19 | 2025-05-27 | Completed | 33.33% | $39.16 | $39.39 | 0.54% | Signal | |
| 2025-04-10 | 2025-05-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2024-12-23 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2025-02-27 | 2025-04-23 | Completed | 33.33% | $39.49 | $39.46 | -0.10% | Signal | |
| 2025-02-07 | 2025-04-10 | Completed | 33.33% | $38.97 | $39.09 | 0.26% | Signal | |
| 2024-10-25 | 2025-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.44% | Interest Income | |
| 2024-12-31 | 2025-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $39.30 | $38.72 | -1.52% | Signal | |
| 2024-08-05 | 2024-12-23 | Completed | 33.33% | $39.25 | $38.63 | -1.64% | Signal | |
| 2024-10-14 | 2024-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income | |
| 2024-06-10 | 2024-10-25 | Completed | 33.33% | $37.66 | $39.00 | 3.52% | Signal | |
| 2024-05-21 | 2024-10-14 | Completed | 33.33% | $37.65 | $39.14 | 3.90% | Signal | |
| 2024-05-09 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2024-02-21 | 2024-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income | |
| 2024-04-08 | 2024-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2024-01-12 | 2024-05-09 | Completed | 33.33% | $37.94 | $37.40 | -1.48% | Signal | |
| 2024-03-26 | 2024-04-08 | Completed | 33.33% | $37.75 | $37.42 | -0.93% | Signal | |
| 2024-01-30 | 2024-03-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2023-11-29 | 2024-02-21 | Completed | 33.33% | $36.68 | $37.41 | 1.94% | Signal | |
| 2023-11-15 | 2024-01-30 | Completed | 33.33% | $35.98 | $37.77 | 4.93% | Signal | |
| 2023-05-24 | 2024-01-12 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.46% | Interest Income | |
| 2023-05-25 | 2023-11-29 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.79% | Interest Income | |
| 2023-05-03 | 2023-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.93% | Interest Income | |
| 2023-04-13 | 2023-05-25 | Completed | 33.33% | $36.84 | $36.09 | -2.10% | Signal | |
| 2023-02-09 | 2023-05-24 | Completed | 33.33% | $36.47 | $36.30 | -0.51% | Signal | |
| 2023-03-27 | 2023-05-03 | Completed | 33.33% | $36.49 | $36.86 | 0.95% | Signal | |
| 2023-03-07 | 2023-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2023-02-23 | 2023-03-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2022-12-02 | 2023-03-07 | Completed | 33.33% | $35.62 | $35.60 | -0.12% | Signal | |
| 2022-11-17 | 2023-02-23 | Completed | 33.33% | $35.13 | $35.72 | 1.62% | Signal | |
| 2022-05-26 | 2023-02-09 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.35% | Interest Income | |
| 2022-09-13 | 2022-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income | |
| 2022-08-31 | 2022-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2022-08-04 | 2022-09-13 | Completed | 33.33% | $37.30 | $35.56 | -4.71% | Signal | |
| 2022-07-21 | 2022-08-31 | Completed | 33.33% | $36.51 | $36.27 | -0.69% | Signal | |
| 2022-05-26 | 2022-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2022-06-16 | 2022-07-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2022-06-06 | 2022-06-16 | Completed | 33.33% | $36.95 | $35.50 | -3.97% | Signal | |
| 2022-05-26 | 2022-06-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |