DFUS
Dimensional U.S. Equity Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 -17.1% (compared to the benchmark's drawdown of -19.4%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 14.6%, compared to a Buy-and-Hold benchmark return of 20.8%. 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 | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.89% | 18.44% | 8.92% | 12.16% | 14.60% | 20.80% |
| Sharpe Ratio | 1.05 | 1.30 | 0.87 | 0.67 | 1.10 | 1.26 |
| Max Drawdown | -8.96% | -8.96% | -17.05% | -24.62% | -17.05% | -19.44% |
| % Time Invested | 100.0% | 100.0% | 61.2% | 100.0% | 97.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.9 | 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 | ||||||||
| 2026-05-04 | 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% | $67.05 | $73.51 | 9.58% | 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% | $58.47 | $67.02 | 14.57% | 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% | $46.06 | $52.09 | 13.05% | Stop | |
| 2023-06-08 | 2025-04-07 | Completed | 33.33% | $44.65 | $52.09 | 16.63% | Stop | |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $49.58 | $60.47 | 21.90% | 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% | $44.65 | $45.83 | 2.60% | 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 | |