DFSD
Dimensional Short-duration Fixed Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for DFSD (Dimensional Short-duration 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 -1.2% (compared to the benchmark's drawdown of -4.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.9%, compared to a Buy-and-Hold benchmark return of 3.8%. 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
DFSD Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 3.39% | 3.24% | 3.94% | 3.82% |
| Sharpe Ratio | 2.68 | 1.64 | 2.82 | 1.43 |
| Max Drawdown | -1.17% | -1.47% | -1.20% | -4.33% |
| % Time Invested | 75.0% | 100.0% | 74.2% | 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 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% | $47.22 | $47.05 | -0.40% | Signal | |
| 2026-03-17 | 2026-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-04-07 | 2026-03-31 | Completed | 33.33% | $44.86 | $46.95 | 4.61% | Signal | |
| 2026-01-06 | 2026-03-23 | Completed | 33.33% | $47.00 | $46.84 | -0.38% | Signal | |
| 2026-02-27 | 2026-03-17 | Completed | 33.33% | $47.42 | $47.04 | -0.85% | Signal | |
| 2026-02-04 | 2026-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-16 | 2026-02-04 | Completed | 33.33% | $46.79 | $47.09 | 0.58% | Signal | |
| 2025-11-24 | 2026-01-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2025-11-14 | 2025-12-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2025-06-05 | 2025-11-24 | Completed | 33.33% | $45.36 | $46.76 | 3.03% | Signal | |
| 2025-11-05 | 2025-11-14 | Completed | 33.33% | $46.59 | $46.65 | 0.10% | Signal | |
| 2025-10-14 | 2025-11-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-05-08 | 2025-10-14 | Completed | 33.33% | $45.13 | $46.54 | 3.07% | Signal | |
| 2025-05-13 | 2025-06-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-02-25 | 2025-05-13 | Completed | 33.33% | $44.61 | $45.04 | 0.92% | Signal | |
| 2025-04-14 | 2025-05-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2025-02-06 | 2025-04-14 | Completed | 33.33% | $44.38 | $44.59 | 0.44% | Signal | |
| 2025-01-03 | 2025-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.07% | Interest Income | |
| 2025-01-14 | 2025-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2025-01-03 | 2025-02-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2025-01-07 | 2025-01-14 | Completed | 33.33% | $44.01 | $43.89 | -0.33% | Signal | |
| 2024-10-28 | 2025-01-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2024-12-10 | 2025-01-03 | Completed | 33.33% | $44.17 | $44.06 | -0.30% | Signal | |
| 2024-08-07 | 2025-01-03 | Completed | 33.33% | $43.47 | $44.06 | 1.30% | Signal | |
| 2024-10-15 | 2024-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2024-06-10 | 2024-10-28 | Completed | 33.33% | $42.69 | $43.85 | 2.67% | Signal | |
| 2024-05-21 | 2024-10-15 | Completed | 33.33% | $42.60 | $43.84 | 2.87% | Signal | |
| 2024-05-13 | 2024-08-07 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2024-02-23 | 2024-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.57% | Interest Income | |
| 2024-04-05 | 2024-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2023-12-28 | 2024-05-13 | Completed | 33.33% | $41.99 | $42.54 | 1.25% | Signal | |
| 2024-03-27 | 2024-04-05 | Completed | 33.33% | $42.40 | $42.37 | -0.13% | Signal | |
| 2024-01-31 | 2024-03-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2023-11-28 | 2024-02-23 | Completed | 33.33% | $41.38 | $42.08 | 1.65% | Signal | |
| 2023-11-14 | 2024-01-31 | Completed | 33.33% | $41.17 | $42.19 | 2.41% | Signal | |
| 2023-05-10 | 2023-12-28 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.46% | Interest Income | |
| 2023-05-25 | 2023-11-28 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.77% | Interest Income | |
| 2023-08-17 | 2023-11-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.34% | Interest Income | |
| 2023-08-01 | 2023-08-17 | Completed | 33.33% | $40.68 | $40.68 | -0.05% | Signal | |
| 2023-05-03 | 2023-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.28% | Interest Income | |
| 2023-04-17 | 2023-05-25 | Completed | 33.33% | $40.35 | $40.30 | -0.17% | Signal | |
| 2023-02-23 | 2023-05-10 | Completed | 33.33% | $39.96 | $40.52 | 1.35% | Signal | |
| 2023-03-29 | 2023-05-03 | Completed | 33.33% | $40.09 | $40.54 | 1.05% | Signal | |
| 2023-03-01 | 2023-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2023-02-22 | 2023-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2022-12-05 | 2023-03-01 | Completed | 33.33% | $39.72 | $39.87 | 0.32% | Signal | |
| 2022-05-26 | 2023-02-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.52% | Interest Income | |
| 2022-11-17 | 2023-02-22 | Completed | 33.33% | $39.47 | $39.90 | 1.03% | Signal | |
| 2022-09-12 | 2022-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.90% | Interest Income | |
| 2022-08-31 | 2022-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2022-08-08 | 2022-09-12 | Completed | 33.33% | $40.11 | $39.80 | -0.84% | Signal | |
| 2022-07-22 | 2022-08-31 | Completed | 33.33% | $40.11 | $39.87 | -0.65% | Signal | |
| 2022-05-26 | 2022-08-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-06-15 | 2022-07-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income | |
| 2022-06-01 | 2022-06-15 | Completed | 33.33% | $40.25 | $39.34 | -2.30% | Signal | |
| 2022-05-26 | 2022-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |