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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.6% (compared to the benchmark's drawdown of -24.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.3%, compared to a Buy-and-Hold benchmark return of 12.3%. The strategy executed 41 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.
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
🎯 Trading Horizon
Select risk profile & execution style for DFUS:
🛡️ Long-Term Investing
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading Active Horizon
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
-18.6% (vs -24.6% B&H)
+6.0% shallower drawdown
Drawdown Shield
6.0% Cut
Protected capital vs -24.6% B&H
Capital Sheltered from Risk
34.2% 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 | -4.46% | -8.96% | -18.65% | -24.62% | -18.65% | -24.62% |
| Sharpe Ratio | 1.16 | 1.30 | 0.60 | 0.68 | 0.62 | 0.67 |
| Sortino Ratio | 1.51 | 1.87 | 0.76 | 0.94 | 0.80 | 0.92 |
| CAGR | 12.27% | 18.60% | 5.98% | 12.43% | 6.31% | 12.28% |
| % Time Invested | 76.6% | 100.0% | 62.4% | 100.0% | 65.8% | 100.0% |
| Trades / Year | 6.0 | 0.0 | 8.2 | 0.0 | 8.6 | 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 | ||||||||
| 2026-04-10 | 2026-06-18 | Completed | 33.33% | $74.13 | $81.86 | 10.37% | Signal | |
| 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 | |
| 2026-03-10 | 2026-04-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2026-03-03 | 2026-04-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2025-07-11 | 2026-04-09 | Completed | 33.33% | $67.05 | $73.51 | 9.58% | Signal | |
| 2025-05-29 | 2026-03-10 | Completed | 33.33% | $63.57 | $73.43 | 15.44% | Signal | |
| 2026-02-04 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2026-01-23 | 2026-02-04 | Completed | 33.33% | $74.86 | $74.93 | 0.04% | Signal | |
| 2025-12-30 | 2026-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-12-11 | 2025-12-30 | Completed | 33.33% | $74.10 | $74.47 | 0.46% | Signal | |
| 2025-11-18 | 2025-12-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2025-11-13 | 2025-11-18 | Completed | 33.33% | $73.39 | $71.27 | -2.93% | Signal | |
| 2025-10-22 | 2025-11-13 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.21% | Interest Income | |
| 2025-04-30 | 2025-10-22 | Completed | 33.33% | $58.47 | $72.60 | 24.10% | 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 | |
| 2025-05-02 | 2025-05-29 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2025-03-28 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2025-03-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income | |
| 2025-04-01 | 2025-04-07 | Completed | 33.33% | $59.52 | $52.09 | -12.53% | Stop | |
| 2025-02-28 | 2025-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2024-01-04 | 2025-03-28 | Completed | 33.33% | $49.58 | $60.47 | 21.90% | Signal | |
| 2025-03-04 | 2025-03-11 | Completed | 33.33% | $61.80 | $59.51 | -3.75% | Signal | |
| 2025-02-07 | 2025-03-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2025-01-22 | 2025-02-28 | Completed | 33.33% | $65.24 | $62.57 | -4.14% | Signal | |
| 2024-10-01 | 2025-02-07 | Completed | 33.33% | $61.06 | $65.35 | 6.96% | Signal | |
| 2024-12-24 | 2025-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2024-11-27 | 2024-12-24 | Completed | 33.33% | $64.54 | $63.89 | -1.06% | Signal | |
| 2024-11-05 | 2024-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2024-10-07 | 2024-11-05 | Completed | 33.33% | $60.88 | $60.87 | -0.07% | Signal | |
| 2024-10-02 | 2024-10-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2024-09-13 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2024-09-09 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-08-22 | 2024-09-13 | Completed | 33.33% | $59.70 | $59.28 | -0.76% | Signal | |
| 2024-06-12 | 2024-09-09 | Completed | 33.33% | $57.37 | $57.66 | 0.46% | Signal | |
| 2024-08-02 | 2024-08-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2024-07-31 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2024-05-08 | 2024-07-31 | Completed | 33.33% | $54.85 | $58.52 | 6.63% | Signal | |
| 2024-05-20 | 2024-06-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2023-11-08 | 2024-05-20 | Completed | 33.33% | $46.06 | $56.33 | 22.25% | Signal | |
| 2024-04-16 | 2024-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2024-02-08 | 2024-04-16 | Completed | 33.33% | $52.69 | $53.66 | 1.79% | Signal | |
| 2024-01-17 | 2024-02-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-11-20 | 2024-01-17 | Completed | 33.33% | $47.46 | $49.93 | 5.15% | Signal | |
| 2023-11-06 | 2024-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income | |
| 2023-10-27 | 2023-11-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2023-09-19 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2023-01-27 | 2023-11-06 | Completed | 33.33% | $42.28 | $45.83 | 8.32% | Signal | |
| 2023-10-18 | 2023-10-27 | Completed | 33.33% | $45.83 | $43.61 | -4.88% | Signal | |
| 2023-09-22 | 2023-10-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2023-09-06 | 2023-09-22 | Completed | 33.33% | $47.23 | $45.67 | -3.35% | Signal | |
| 2023-05-03 | 2023-09-19 | Completed | 33.33% | $42.92 | $46.65 | 8.64% | Signal | |
| 2023-08-11 | 2023-09-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2023-05-26 | 2023-08-11 | Completed | 33.33% | $43.43 | $46.73 | 7.54% | Signal | |
| 2023-05-04 | 2023-05-26 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2023-03-30 | 2023-05-04 | Completed | 33.33% | $42.25 | $42.41 | 0.31% | Signal | |
| 2023-04-06 | 2023-05-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.24% | Interest Income | |
| 2023-02-23 | 2023-04-06 | Completed | 33.33% | $42.07 | $42.50 | 0.97% | Signal | |
| 2023-02-27 | 2023-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.29% | Interest Income | |
| 2023-01-13 | 2023-02-27 | Completed | 33.33% | $41.22 | $41.90 | 1.60% | Signal | |
| 2023-01-31 | 2023-02-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.50% | Interest Income | |
| 2022-11-28 | 2023-01-31 | Completed | 33.33% | $41.61 | $41.98 | 0.83% | Signal | |
| 2022-12-02 | 2023-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income | |
| 2022-12-19 | 2023-01-13 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2022-10-25 | 2022-12-19 | Completed | 33.33% | $39.42 | $40.08 | 1.62% | Signal | |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2022-10-04 | 2022-11-28 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income | |
| 2022-10-04 | 2022-10-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2022-09-26 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | 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 | |
| 2022-08-10 | 2022-09-26 | Completed | 33.33% | $43.11 | $37.92 | -12.10% | Stop | |
| 2022-07-08 | 2022-09-02 | Completed | 33.33% | $39.84 | $41.31 | 3.63% | Stop | |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-05-11 | 2022-08-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2022-06-14 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-06-01 | 2022-06-14 | Completed | 33.33% | $42.63 | $38.75 | -9.13% | Stop | |
| 2022-04-19 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-04-25 | 2022-05-11 | Completed | 33.33% | $43.49 | $40.83 | -6.16% | Signal | |
| 2022-03-02 | 2022-04-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-03-23 | 2022-04-19 | Completed | 33.33% | $46.16 | $44.94 | -2.68% | Signal | |
| 2022-03-02 | 2022-03-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2022-01-28 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-02-11 | 2022-02-25 | Completed | 33.33% | $46.36 | $44.18 | -4.75% | Stop | |
| 2021-12-10 | 2022-02-25 | Completed | 33.33% | $48.32 | $44.18 | -8.62% | Stop | |
| 2022-01-20 | 2022-02-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-10 | 2022-01-28 | Completed | 33.33% | $48.32 | $44.39 | -8.19% | Signal | |
| 2021-12-17 | 2022-01-20 | Completed | 33.33% | $47.54 | $46.69 | -1.84% | Signal | |
| 2021-12-08 | 2021-12-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income | |