Dimensional ETF Trust

10-Year Study

DCOR.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 21.1% annually over the last 10 years, with a maximum drawdown of 9.8% and an annualized volatility of 15.3%.

1Y CAGR
+23.6%
3Y CAGR
+21.1%
5Y CAGR
+21.1%
10Y CAGR
+21.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
9.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.37
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.96
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
12.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +21.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 4.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.40.5-4.96.9————————4.6%
20253.1-1.8-5.4-1.76.14.82.32.92.61.30.90.316.0%
20240.65.13.8-4.54.51.93.01.71.9-0.76.9-4.221.2%
2023—————————-3.38.86.011.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 72.9% of variance. Idiosyncratic stock-specific factors contribute 0.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-09-0110000
2023-10-019665.548424427176
2023-11-0110514.611249502748
2023-12-0111145.86147552666
2024-01-0111213.402739516214
2024-02-0111788.66285315572
2024-03-0112241.83814347679
2024-04-0111690.786520678264
2024-05-0112220.969488366949
2024-06-0112453.864530306351
2024-07-0112822.118647132527
2024-08-0113041.824528859797
2024-09-0113287.228000161673
2024-10-0113190.734402222586
2024-11-0114099.063356896548
2024-12-0113507.976251002483
2025-01-0113931.135565421424
2025-02-0113676.393317775799
2025-03-0112941.693275442847
2025-04-0112720.115383879018
2025-05-0113496.659100626912
2025-06-0114146.58687933833
2025-07-0114466.126194735822
2025-08-0114881.967652520938
2025-09-0115264.921301131928
2025-10-0115466.502723987041
2025-11-0115608.6691073704
2025-12-0115663.191393860232
2026-01-0116045.038854840528
2026-02-0116120.557433474514
2026-03-0115333.462388556916
2026-04-0116386.467921622352
Annual Return Matrix
YearAnnual Return
20240.21192751952483846
20250.15955129790058686
20260.046176830096428256
Total Factor Risk
0.1534349258130094
VTI.US Exposure
0.7292405888175
VEA.US Exposure
0.0015029960876511846
VWO.US Exposure
-0.001716227265003999
QQQ.US Exposure
-0.11495124553422827
VTV.US Exposure
0.018686557543408602
IJR.US Exposure
0.07294146999194287
QUAL.US Exposure
0.020986288598591384
SHV.US Exposure
0.29100759538555904
TLT.US Exposure
0.004479715894534585
LQD.US Exposure
-0.02056147591509009
HYG.US Exposure
0.031809151765050774
GLD.US Exposure
0.001306698000770014
USO.US Exposure
-0.00015561351813106556
VNQ.US Exposure
-0.03555905519731769
BTC-USD.CC Exposure
-0.005167670458730426
CPER.US Exposure
-0.0027277871794880466
VIX.INDX Exposure
-0.007290928770574465
UUP.US Exposure
0.002991379194716831
TIP.US Exposure
0.011731124685533292
Idiosyncratic Exposure
0.0014464378733055937
Value Score
42.9
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
11.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →17.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.94%
Market Cap$143.2B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$38
Avg Yield on Cost
0.38%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$38.290.38%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DCOR.US) has an annualized volatility of 15.3% and experienced a maximum drawdown of 9.8% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of DCOR.US?

Over the past 10 years, DCOR.US has generated a Compound Annual Growth Rate (CAGR) of 21.1%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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