Dimensional Emerging Core Equity Market ETF

10-Year Study

DFAE.US · · US · ETF

Executive Summary: Dimensional Emerging Core Equity Market ETF has compounded at 24.2% annually over the last 10 years, with a maximum drawdown of 31.0% and an annualized volatility of 14.7%.

1Y CAGR
+43.6%
3Y CAGR
+21.6%
5Y CAGR
+7.3%
10Y CAGR
+24.2%

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 →
31.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.60
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
3.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
48.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +31.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -17.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.66.2-9.09.7————————14.0%
20250.90.21.10.44.87.21.02.75.83.6-1.52.031.5%
2024-3.83.92.70.42.02.90.80.85.3-3.5-2.0-1.67.7%
20238.6-6.53.4-0.4-1.74.95.8-5.6-2.5-3.77.23.812.6%
20220.0-2.3-1.6-5.60.4-6.3-0.4-1.0-11.0-1.615.0-2.7-17.5%
20212.12.4-0.02.72.30.8-5.62.1-3.81.1-3.33.33.5%
2020———————————108.2108.2%

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 14.7%. The dominant macroeconomic risk driver is VWO.US, accounting for 74.0% of variance. Idiosyncratic stock-specific factors contribute 1.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-11-0110000
2020-12-0120819.753591377208
2021-01-0121265.43426079488
2021-02-0121765.421655015645
2021-03-0121758.459254399862
2021-04-0122339.81970581757
2021-05-0122851.382091062063
2021-06-0123031.36014698
2021-07-0121736.96284249864
2021-08-0122195.610983063205
2021-09-0121349.940398268922
2021-10-0121577.17574836647
2021-11-0120864.22592531051
2021-12-0121554.809036388273
2022-01-0121554.809036388273
2022-02-0121058.476902490795
2022-03-0120718.537692425296
2022-04-0119549.985779074173
2022-05-0119628.92199605559
2022-06-0118389.440626431202
2022-07-0118317.98899011175
2022-08-0118143.31976466335
2022-09-0116153.46566867318
2022-10-0115888.111175204229
2022-11-0118276.12755640937
2022-12-0117777.967792350246
2023-01-0119308.738597737367
2023-02-0118061.424527420226
2023-03-0118670.72161130875
2023-04-0118597.790464858444
2023-05-0118281.4363868789
2023-06-0119169.316525406353
2023-07-0120288.783514416224
2023-08-0119152.95488395927
2023-09-0118669.76428122408
2023-10-0117983.271580508084
2023-11-0119281.93335536661
2023-12-0120022.645750877993
2024-01-0119266.877164034984
2024-02-0120022.645750877993
2024-03-0120554.312067900562
2024-04-0120629.157874520206
2024-05-0121044.900221290023
2024-06-0121659.94128568656
2024-07-0121835.741901235033
2024-08-0122003.274666052257
2024-09-0123161.731098510496
2024-10-0122342.082486017694
2024-11-0121902.667977154226
2024-12-0121559.682716819323
2025-01-0121763.594024854003
2025-02-0121814.593609364598
2025-03-0122048.878390085625
2025-04-0122133.993737613546
2025-05-0123190.015851012107
2025-06-0124853.072268099062
2025-07-0125093.449149358898
2025-08-0125771.67399934365
2025-09-0127264.93487141325
2025-10-0128233.404797068368
2025-11-0127801.03971882837
2025-12-0128345.67350699783
2026-01-0130495.31469712017
2026-02-0132383.865864150735
2026-03-0129468.3606062925
2026-04-0132322.94485876265
Annual Return Matrix
YearAnnual Return
20210.035305674574145574
2022-0.17522035280674764
20230.126261785640855
20240.07676492832491544
20250.3147537410132928
20260.14031317163033474
Total Factor Risk
0.14702297140193377
VTI.US Exposure
-0.11766676688085098
VEA.US Exposure
0.18188285431083592
VWO.US Exposure
0.7402786838728233
QQQ.US Exposure
0.0929748465940742
VTV.US Exposure
0.059006091112136984
IJR.US Exposure
-0.02487828993382798
QUAL.US Exposure
-0.018691309966846984
SHV.US Exposure
0.055997278332506575
TLT.US Exposure
0.044724400366075626
LQD.US Exposure
-0.05054492013093124
HYG.US Exposure
0.00037229409754329154
GLD.US Exposure
0.02092862787513278
USO.US Exposure
-0.0057350287322654285
VNQ.US Exposure
0.02757763575256291
BTC-USD.CC Exposure
-0.0021722602269186515
CPER.US Exposure
0.00928039846239054
VIX.INDX Exposure
0.0032407456626611614
UUP.US Exposure
-0.026407736434808038
TIP.US Exposure
-0.0026788192342443906
Idiosyncratic Exposure
0.012511275101950402
Value Score
45.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
23
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.7%

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 →11.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.92%
Market Cap$37.7B
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
$46
Avg Yield on Cost
0.46%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$46.130.46%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 →
+2.6%
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 →
+10.9%
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 →
61.3% 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 →
0.92
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional Emerging Core Equity Market ETF a high-risk investment?

Dimensional Emerging Core Equity Market ETF (DFAE.US) has an annualized volatility of 14.7% and experienced a maximum drawdown of 31.0% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, DFAE.US has generated a Compound Annual Growth Rate (CAGR) of 24.2%. It has had a positive return in 83% 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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