DFUS
Dimensional U.S. Equity Market ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
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 15.1%, compared to a Buy-and-Hold benchmark return of 21.0%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for DFUS:
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for DFUS:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ DFUS Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-17.1% (vs -19.4% B&H)
+2.4% shallower drawdown
Drawdown Shield
2.4% Cut
Protected capital vs -19.4% B&H
Capital Sheltered from Risk
13.0% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 DFUS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -8.96% | -8.96% | -17.05% | -24.62% | -17.05% | -19.44% |
| Sharpe Ratio | 1.08 | 1.30 | 0.91 | 0.68 | 1.13 | 1.28 |
| Sortino Ratio | 1.52 | 1.87 | 0.92 | 0.94 | 1.42 | 1.68 |
| CAGR | 14.93% | 18.60% | 9.57% | 12.43% | 15.05% | 21.01% |
| % Time Invested | 96.4% | 100.0% | 56.6% | 100.0% | 87.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for DFUS... Top Diversifiers for DFUS
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe 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 | |