Dimensional U.S. Core Equity 2 ETF

10-Year Study

DFAC.US · · US · ETF

Executive Summary: Dimensional U.S. Core Equity 2 ETF has compounded at 10.6% annually over the last 10 years, with a maximum drawdown of 22.5% and an annualized volatility of 12.4%.

1Y CAGR
+24.5%
3Y CAGR
+19.8%
5Y CAGR
+10.6%
10Y CAGR
+10.6%

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 →
22.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.47
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.89
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +22.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.80.7-5.16.9————————4.9%
20253.1-1.9-5.5-2.26.15.02.23.02.51.21.20.515.7%
20240.15.14.1-4.74.71.43.41.51.6-0.87.2-4.819.6%
20237.0-2.20.50.6-1.27.63.9-2.3-4.6-3.38.76.522.0%
2022-5.4-1.22.1-7.80.9-8.99.1-3.5-9.09.85.6-5.4-14.9%
2021——————0.42.5-4.15.9-1.34.78.1%

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 12.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 86.3% of variance. Idiosyncratic stock-specific factors contribute 0.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-06-0110000
2021-07-0110040.806246766075
2021-08-0110296.541072800537
2021-09-019876.52288442542
2021-10-0110463.842764633018
2021-11-0110326.293177791365
2021-12-0110811.695438794548
2022-01-0110229.51063863148
2022-02-0110102.623202721985
2022-03-0110316.179814039544
2022-04-019511.971400348088
2022-05-019601.737303416594
2022-06-018749.11802060304
2022-07-019541.40991266444
2022-08-019210.96163193628
2022-09-018381.548207033884
2022-10-019206.884927168101
2022-11-019726.978377785095
2022-12-019197.594744186776
2023-01-019841.596500305752
2023-02-019625.68794392963
2023-03-019675.392382833938
2023-04-019736.150963513493
2023-05-019614.67300123869
2023-06-0110345.147937344183
2023-07-0110752.857613246155
2023-08-0110505.197798579426
2023-09-0110019.011555890054
2023-10-019690.131238534268
2023-11-0110535.263496244728
2023-12-0111217.56275773398
2024-01-0111232.88959969895
2024-02-0111808.56735186666
2024-03-0112287.070574031392
2024-04-0111706.37533907208
2024-05-0112260.18000219515
2024-06-0112435.870298069838
2024-07-0112856.31967637236
2024-08-0113049.17917117456
2024-09-0113263.754958684167
2024-10-0113155.447888737319
2024-11-0114099.244241654515
2024-12-0113417.180174671119
2025-01-0113836.100788685575
2025-02-0113568.449441021057
2025-03-0112827.900340248052
2025-04-0112547.940480110386
2025-05-0113317.849695031124
2025-06-0113978.432663812973
2025-07-0114290.45737491572
2025-08-0114723.37206202863
2025-09-0115084.434827602427
2025-10-0115260.399517067282
2025-11-0115440.323314047384
2025-12-0115518.917478087713
2026-01-0115946.18749706007
2026-02-0116052.025024695424
2026-03-0115232.76416262916
2026-04-0116283.299622120829
Annual Return Matrix
YearAnnual Return
2022-0.14929209796421516
20230.21961915802214493
20240.19608692765463753
20250.1566452321616909
20260.04925486233897436
Total Factor Risk
0.12426266628888663
VTI.US Exposure
0.8632034858715486
VEA.US Exposure
0.05039494735378107
VWO.US Exposure
-0.004429727975044048
QQQ.US Exposure
-0.1151514620703741
VTV.US Exposure
0.08911370336414716
IJR.US Exposure
0.19524558996555674
QUAL.US Exposure
0.002581296137877413
SHV.US Exposure
0.00003900601755110984
TLT.US Exposure
0.01176911586378701
LQD.US Exposure
-0.0001328764385713329
HYG.US Exposure
-0.017277986010281885
GLD.US Exposure
-0.001439211808923516
USO.US Exposure
-0.0005201864574080079
VNQ.US Exposure
-0.05068437285513448
BTC-USD.CC Exposure
0.00012849050843369511
CPER.US Exposure
0.0015015967882013965
VIX.INDX Exposure
-0.01782625731097972
UUP.US Exposure
-0.004959625111382867
TIP.US Exposure
-0.0054805860832302334
Idiosyncratic Exposure
0.003925060250446055
Value Score
43
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
12.4%

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 →17.5x
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$114.9B
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$38.420.38%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 →
+3.4%
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 →
+6.9%
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 →
1.05
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional U.S. Core Equity 2 ETF a high-risk investment?

Dimensional U.S. Core Equity 2 ETF (DFAC.US) has an annualized volatility of 12.4% and experienced a maximum drawdown of 22.5% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DFAC.US has generated a Compound Annual Growth Rate (CAGR) of 10.6%. It has had a positive return in 80% 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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