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* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -17.9% (compared to the benchmark's drawdown of -24.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 11.9%. The strategy executed 39 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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 | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.59% | 18.44% | 5.66% | 12.16% | 6.13% | 11.91% |
| Sharpe Ratio | 1.24 | 1.30 | 0.58 | 0.67 | 0.60 | 0.64 |
| Max Drawdown | -4.46% | -8.96% | -17.91% | -24.62% | -17.91% | -24.62% |
| % Time Invested | 99.6% | 100.0% | 84.8% | 100.0% | 91.8% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 7.8 | 0.0 | 8.4 | 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 | ||||||||
| 2026-04-09 | 2026-05-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2026-03-10 | 2026-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2026-02-04 | 2026-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.65% | 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 | |
| 2026-01-23 | 2026-02-04 | Completed | 33.33% | $74.86 | $74.93 | 0.04% | Signal | |
| 2025-12-30 | 2026-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.24% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-04-30 | 2025-10-22 | Completed | 33.33% | $58.47 | $72.60 | 24.10% | Signal | |
| 2025-03-28 | 2025-07-11 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2025-03-11 | 2025-05-29 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.93% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-10-07 | 2024-11-05 | Completed | 33.33% | $60.88 | $60.87 | -0.07% | Signal | |
| 2024-09-13 | 2024-10-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2024-09-09 | 2024-10-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | 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 | |
| 2024-07-31 | 2024-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | 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 (CASH) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2023-10-27 | 2023-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2023-09-19 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.39% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.43% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-11-28 | 2023-01-31 | Completed | 33.33% | $41.61 | $41.98 | 0.83% | Signal | |
| 2022-02-25 | 2023-01-27 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.36% | Interest Income | |
| 2022-12-19 | 2023-01-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-10-25 | 2022-12-19 | Completed | 33.33% | $39.42 | $40.08 | 1.62% | Signal | |
| 2022-09-26 | 2022-11-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2022-09-02 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | 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 | |
| 2022-05-11 | 2022-08-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income | |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-04-25 | 2022-05-11 | Completed | 33.33% | $43.49 | $40.83 | -6.16% | Signal | |
| 2022-01-28 | 2022-04-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2022-03-23 | 2022-04-19 | Completed | 33.33% | $46.16 | $44.94 | -2.68% | Signal | |
| 2022-02-25 | 2022-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | 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 (CASH) | 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 (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-12-08 | 2021-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |