DFUS Dimensional U.S. Equity Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for DFUS (Dimensional U.S. Equity Market ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.0% (compared to the benchmark's drawdown of -19.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 16.2%, compared to a Buy-and-Hold benchmark return of 22.7%. The strategy executed 6 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.
DFUS Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 22.44% | 30.14% | 16.22% | 22.73% |
| Sharpe Ratio | 1.80 | 2.17 | 1.23 | 1.36 |
| Max Drawdown | -8.96% | -8.96% | -17.01% | -19.44% |
| % Time Invested | 100.0% | 100.0% | 97.7% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 2.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-13 | Open | Open | 33.33% | $80.28 | $82.42 | 2.67% | Mark-to-Market |
| 2025-09-12 | Open | Open | 33.33% | $71.16 | $82.42 | 15.82% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $58.61 | $82.42 | 40.63% | Mark-to-Market |
| 2026-05-04 | 2026-05-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2026-04-09 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-07-11 | 2026-04-09 | Completed | 33.33% | $67.21 | $73.69 | 9.64% | Signal |
| 2025-07-14 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income |
| 2025-04-30 | 2025-07-14 | Completed | 33.33% | $58.61 | $67.18 | 14.63% | Signal |
| 2025-06-03 | 2025-07-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-28 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 33.33% | $46.17 | $52.22 | 13.10% | Stop |
| 2023-06-08 | 2025-04-07 | Completed | 33.33% | $44.75 | $52.22 | 16.69% | Stop |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $49.71 | $60.62 | 21.96% | Signal |
| 2023-11-06 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2023-06-06 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.51% | Interest Income |
| 2023-06-08 | 2023-11-06 | Completed | 33.33% | $44.75 | $45.94 | 2.65% | Signal |
| 2023-06-06 | 2023-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2023-06-06 | 2023-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |