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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -1.7% (compared to the benchmark's drawdown of -4.3%). 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 4.0%. 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
DFSD Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 4.18% | 4.54% | 4.15% | 4.03% |
| Sharpe Ratio | 2.88 | 2.35 | 2.42 | 1.49 |
| Max Drawdown | -1.15% | -1.47% | -1.66% | -4.33% |
| % Time Invested | 89.3% | 100.0% | 76.8% | 100.0% |
| Trades / Year | 6.0 | 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 |
|---|---|---|---|---|---|---|---|
| 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% | $47.80 | $47.63 | -0.35% | Signal |
| 2026-03-31 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2026-03-23 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2026-03-17 | 2026-04-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2025-04-07 | 2026-03-31 | Completed | 33.33% | $45.41 | $47.52 | 4.66% | Signal |
| 2026-01-06 | 2026-03-23 | Completed | 33.33% | $47.57 | $47.41 | -0.33% | Signal |
| 2026-02-27 | 2026-03-17 | Completed | 33.33% | $48.00 | $47.61 | -0.81% | Signal |
| 2026-02-04 | 2026-02-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-12-16 | 2026-02-04 | Completed | 33.33% | $47.36 | $47.66 | 0.63% | Signal |
| 2025-11-24 | 2026-01-06 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2025-11-14 | 2025-12-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2025-06-05 | 2025-11-24 | Completed | 33.33% | $45.92 | $47.33 | 3.08% | Signal |
| 2025-11-05 | 2025-11-14 | Completed | 33.33% | $47.15 | $47.22 | 0.15% | Signal |
| 2025-10-14 | 2025-11-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-05-08 | 2025-10-14 | Completed | 33.33% | $45.68 | $47.11 | 3.12% | Signal |
| 2025-06-03 | 2025-06-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2025-05-13 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-02-25 | 2025-05-13 | Completed | 33.33% | $45.15 | $45.59 | 0.97% | Signal |
| 2025-05-02 | 2025-05-08 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2025-04-14 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2025-02-06 | 2025-04-14 | Completed | 33.33% | $44.92 | $45.14 | 0.49% | Signal |
| 2025-01-03 | 2025-04-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2025-01-14 | 2025-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2025-01-03 | 2025-02-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2025-01-07 | 2025-01-14 | Completed | 33.33% | $44.55 | $44.42 | -0.28% | Signal |
| 2024-10-28 | 2025-01-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income |
| 2024-12-10 | 2025-01-03 | Completed | 33.33% | $44.70 | $44.59 | -0.25% | Signal |
| 2024-08-07 | 2025-01-03 | Completed | 33.33% | $44.00 | $44.59 | 1.35% | Signal |
| 2024-10-15 | 2024-12-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2024-06-10 | 2024-10-28 | Completed | 33.33% | $43.21 | $44.39 | 2.72% | Signal |
| 2024-05-21 | 2024-10-15 | Completed | 33.33% | $43.12 | $44.38 | 2.92% | Signal |
| 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 |
| 2024-02-23 | 2024-06-10 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2024-04-05 | 2024-05-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.77% | Interest Income |
| 2023-12-28 | 2024-05-13 | Completed | 33.33% | $42.51 | $43.06 | 1.30% | Signal |
| 2024-03-27 | 2024-04-05 | Completed | 33.33% | $42.92 | $42.88 | -0.09% | Signal |
| 2024-01-31 | 2024-03-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2023-11-28 | 2024-02-23 | Completed | 33.33% | $41.88 | $42.59 | 1.70% | Signal |
| 2023-11-14 | 2024-01-31 | Completed | 33.33% | $41.68 | $42.70 | 2.46% | Signal |
| 2023-06-02 | 2023-12-28 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.62% | Interest Income |
| 2023-06-02 | 2023-11-28 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.06% | Interest Income |
| 2023-08-17 | 2023-11-14 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.44% | Interest Income |
| 2023-08-01 | 2023-08-17 | Completed | 33.33% | $41.18 | $41.18 | -0.00% | Signal |
| 2023-06-02 | 2023-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.16% | Interest Income |
| 2023-05-25 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-05-10 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-05-03 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-04-17 | 2023-05-25 | Completed | 33.33% | $40.84 | $40.79 | -0.12% | Signal |
| 2023-02-23 | 2023-05-10 | Completed | 33.33% | $40.45 | $41.01 | 1.40% | Signal |
| 2023-03-29 | 2023-05-03 | Completed | 33.33% | $40.58 | $41.03 | 1.10% | Signal |
| 2023-04-04 | 2023-04-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2023-03-01 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | Interest Income |
| 2023-02-22 | 2023-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.43% | Interest Income |
| 2022-12-05 | 2023-03-01 | Completed | 33.33% | $40.20 | $40.35 | 0.37% | Signal |
| 2022-12-02 | 2023-02-23 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.83% | Interest Income |
| 2022-11-17 | 2023-02-22 | Completed | 33.33% | $39.95 | $40.39 | 1.08% | Signal |
| 2022-12-02 | 2022-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-10-04 | 2022-12-01 | 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 |
| 2022-09-12 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.30% | 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 |
| 2022-08-08 | 2022-09-12 | Completed | 33.33% | $40.60 | $40.28 | -0.79% | 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 |
| 2022-07-22 | 2022-08-31 | Completed | 33.33% | $40.59 | $40.35 | -0.60% | Signal |
| 2022-05-26 | 2022-08-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income |
| 2022-06-15 | 2022-07-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2022-06-01 | 2022-06-15 | Completed | 33.33% | $40.74 | $39.82 | -2.25% | Signal |
| 2022-05-26 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |