DYNF iShares U.S. Equity Factor Rotation Active ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for DYNF (iShares U.S. Equity Factor Rotation Active ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -19.5% (compared to the benchmark's drawdown of -27.0%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.4%, compared to a Buy-and-Hold benchmark return of 16.2%. The strategy executed 14 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.
DYNF Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 25.91% | 31.17% | 10.79% | 15.71% | 11.44% | 16.19% |
| Sharpe Ratio | 1.97 | 2.19 | 0.83 | 0.84 | 0.88 | 0.87 |
| Max Drawdown | -8.67% | -8.67% | -19.54% | -26.97% | -19.54% | -26.97% |
| % Time Invested | 100.0% | 100.0% | 92.0% | 100.0% | 92.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.2 | 0.0 | 2.7 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-07 | Open | Open | 33.33% | $65.65 | $67.47 | 2.77% | Mark-to-Market |
| 2025-09-03 | Open | Open | 33.33% | $56.78 | $67.47 | 18.82% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $47.51 | $67.47 | 42.02% | Mark-to-Market |
| 2026-05-04 | 2026-05-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2026-04-07 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $48.62 | $58.81 | 20.97% | Signal |
| 2025-07-30 | 2025-09-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2025-04-30 | 2025-07-30 | Completed | 33.33% | $47.51 | $55.61 | 17.06% | Signal |
| 2025-03-31 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | 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% | $35.02 | $42.19 | 20.47% | Stop |
| 2023-04-11 | 2025-04-07 | Completed | 33.33% | $31.60 | $42.19 | 33.52% | Stop |
| 2023-12-18 | 2025-03-31 | Completed | 33.33% | $38.73 | $47.49 | 22.63% | Signal |
| 2023-11-13 | 2023-12-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2023-01-25 | 2023-11-13 | Completed | 33.33% | $29.56 | $35.45 | 19.94% | Signal |
| 2023-09-27 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2023-09-06 | 2023-09-27 | Completed | 33.33% | $35.86 | $33.91 | -5.43% | Stop |
| 2023-06-02 | 2023-09-06 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.72% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.14% | Interest Income |
| 2022-10-14 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-06-15 | 2022-10-14 | Completed | 33.33% | $27.92 | $26.81 | -3.95% | Stop |
| 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 |
| 2022-05-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-23 | 2022-06-15 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2022-03-21 | 2022-05-23 | Completed | 33.33% | $32.61 | $29.33 | -10.06% | Stop |
| 2022-02-16 | 2022-05-02 | Completed | 33.33% | $32.52 | $30.21 | -7.10% | Signal |
| 2022-03-02 | 2022-03-21 | 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 |
| 2022-02-22 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2021-03-16 | 2022-02-25 | Completed | 33.33% | $30.91 | $31.41 | 1.63% | Stop |
| 2022-02-16 | 2022-02-22 | Completed | 33.33% | $32.52 | $31.53 | -3.04% | Signal |
| 2022-01-25 | 2022-02-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2022-01-25 | 2022-02-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-03-16 | 2022-01-25 | Completed | 33.33% | $30.91 | $31.73 | 2.67% | Stop |
| 2021-03-16 | 2022-01-25 | Completed | 33.33% | $30.91 | $31.73 | 2.67% | Stop |
| 2021-03-12 | 2021-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-03-12 | 2021-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2021-03-12 | 2021-03-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |