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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -18.3% (compared to the benchmark's drawdown of -24.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.1%, compared to a Buy-and-Hold benchmark return of 12.8%. The strategy executed 38 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.
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
DFUS Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 23.12% | 30.14% | 7.10% | 12.80% |
| Sharpe Ratio | 2.29 | 2.17 | 0.70 | 0.68 |
| Max Drawdown | -4.43% | -8.96% | -18.34% | -24.62% |
| % Time Invested | 99.6% | 100.0% | 91.5% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 8.5 | 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 |
| 2026-04-10 | Open | Open | 33.33% | $74.31 | $82.42 | 10.91% | Mark-to-Market |
| 2026-04-10 | Open | Open | 33.33% | $74.31 | $82.42 | 10.91% | 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 |
| 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% | $67.21 | $73.69 | 9.64% | Signal |
| 2025-05-29 | 2026-03-10 | Completed | 33.33% | $63.73 | $73.61 | 15.50% | 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% | $75.04 | $75.11 | 0.09% | 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% | $74.28 | $74.65 | 0.51% | 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% | $73.57 | $71.45 | -2.88% | 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% | $58.61 | $72.77 | 24.17% | 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% | $59.67 | $52.22 | -12.48% | 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% | $49.71 | $60.62 | 21.96% | Signal |
| 2025-03-04 | 2025-03-11 | Completed | 33.33% | $61.95 | $59.66 | -3.70% | 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% | $65.40 | $62.72 | -4.09% | Signal |
| 2024-10-01 | 2025-02-07 | Completed | 33.33% | $61.21 | $65.51 | 7.01% | 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% | $64.70 | $64.04 | -1.01% | 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% | $61.02 | $61.01 | -0.02% | 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% | $59.85 | $59.43 | -0.71% | Signal |
| 2024-06-12 | 2024-09-09 | Completed | 33.33% | $57.51 | $57.80 | 0.51% | 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% | $54.98 | $58.66 | 6.69% | 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% | $46.17 | $56.47 | 22.31% | 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% | $52.81 | $53.79 | 1.84% | 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% | $47.57 | $50.05 | 5.20% | 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% | $42.39 | $45.94 | 8.38% | Signal |
| 2023-10-18 | 2023-10-27 | Completed | 33.33% | $45.94 | $43.72 | -4.83% | 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% | $47.35 | $45.78 | -3.31% | Signal |
| 2023-05-03 | 2023-09-19 | Completed | 33.33% | $43.02 | $46.77 | 8.70% | 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% | $43.54 | $46.84 | 7.60% | 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% | $42.36 | $42.51 | 0.37% | 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% | $42.18 | $42.61 | 1.02% | 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% | $41.32 | $42.00 | 1.66% | 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% | $41.71 | $42.08 | 0.88% | 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% | $39.52 | $40.18 | 1.67% | 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% | $43.22 | $38.01 | -12.05% | Stop |
| 2022-07-08 | 2022-09-02 | Completed | 33.33% | $39.94 | $41.41 | 3.68% | 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% | $42.73 | $38.85 | -9.09% | 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% | $43.60 | $40.93 | -6.11% | 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% | $46.27 | $45.05 | -2.63% | 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% | $46.47 | $44.29 | -4.70% | Stop |
| 2021-12-10 | 2022-02-25 | Completed | 33.33% | $48.44 | $44.29 | -8.57% | 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% | $48.44 | $44.49 | -8.14% | Signal |
| 2021-12-17 | 2022-01-20 | Completed | 33.33% | $47.66 | $46.80 | -1.79% | 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 |