DFSD Dimensional Short-duration Fixed Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for DFSD (Dimensional Short-duration 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 -1.5% (compared to the benchmark's drawdown of -1.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.0%, compared to a Buy-and-Hold benchmark return of 5.7%. The strategy executed 3 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.
DFSD Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 4.44% | 4.54% | 4.97% | 5.67% |
| Sharpe Ratio | 2.45 | 2.35 | 2.86 | 2.64 |
| Max Drawdown | -1.47% | -1.47% | -1.47% | -1.47% |
| % Time Invested | 100.0% | 100.0% | 94.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2024-08-27 | Open | Open | 33.33% | $44.19 | $47.91 | 8.41% | Mark-to-Market |
| 2024-03-05 | Open | Open | 33.33% | $42.73 | $47.91 | 12.13% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-03-30 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-04-08 | 2026-03-30 | Completed | 33.33% | $45.26 | $47.44 | 4.82% | Signal |
| 2024-12-30 | 2025-04-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2024-08-07 | 2024-12-30 | Completed | 33.33% | $44.00 | $44.58 | 1.30% | Signal |
| 2024-08-02 | 2024-08-27 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2024-08-02 | 2024-08-07 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-13 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2023-11-09 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.05 | 4.96% | Interest Income |
| 2023-12-29 | 2024-05-13 | Completed | 33.33% | $42.53 | $43.06 | 1.23% | Signal |
| 2023-11-09 | 2024-03-05 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.32% | Interest Income |
| 2023-11-09 | 2023-12-29 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.86% | Interest Income |