Dimensional International Core Equity Market ETF

10-Year Study

DFAI.US · · US · ETF

Executive Summary: Dimensional International Core Equity Market ETF has compounded at 12.1% annually over the last 10 years, with a maximum drawdown of 25.7% and an annualized volatility of 14.0%.

1Y CAGR
+26.5%
3Y CAGR
+19.5%
5Y CAGR
+9.6%
10Y CAGR
+12.1%

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 →
25.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.59
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.05
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +34.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.9%
% 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.
20265.15.5-7.85.9————————8.2%
20254.12.40.63.65.22.9-1.44.72.20.82.02.634.0%
2024-0.72.63.7-3.14.9-2.13.23.11.0-5.10.5-3.04.7%
20238.8-3.02.32.7-4.44.63.1-3.5-3.4-3.28.25.317.6%
2022-2.9-2.50.8-6.42.2-9.15.1-5.8-9.25.912.2-1.8-12.9%
2021-0.73.22.92.93.9-1.30.71.4-2.73.4-4.84.613.9%
2020———————————5.05.0%

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 14.0%. The dominant macroeconomic risk driver is VEA.US, accounting for 101.0% of variance. Idiosyncratic stock-specific factors contribute 0.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-11-0110000
2020-12-0110500.44610268473
2021-01-0110423.617306981732
2021-02-0110757.788772631824
2021-03-0111070.285956326998
2021-04-0111395.89585530051
2021-05-0111840.601652832978
2021-06-0111687.214426690458
2021-07-0111771.207901875434
2021-08-0111939.194852245382
2021-09-0111616.423788538315
2021-10-0112006.155315831691
2021-11-0111431.584070078676
2021-12-0111955.011220158434
2022-01-0111611.376970286858
2022-02-0111316.228224331071
2022-03-0111410.450518650696
2022-04-0110680.824794297094
2022-05-0110911.896972810267
2022-06-019917.763899027586
2022-07-0110418.97603662548
2022-08-019819.17069961518
2022-09-018917.142058921603
2022-10-019446.33700128874
2022-11-0110599.71521525581
2022-12-0110407.215147664494
2023-01-0111325.736069429799
2023-02-0110984.940654824668
2023-03-0111240.21052441849
2023-04-0111544.641811086778
2023-05-0111035.814385234453
2023-06-0111542.974558628706
2023-07-0111902.109750272619
2023-08-0111483.809626805814
2023-09-0111089.031281260985
2023-10-0110736.520038572111
2023-11-0111619.893476086192
2023-12-0112238.399077153235
2024-01-0112148.682870558123
2024-02-0112469.15582952569
2024-03-0112934.364326204704
2024-04-0112532.06081415993
2024-05-0113144.077648903669
2024-06-0112863.213201034598
2024-07-0113279.395463270877
2024-08-0113695.577725507159
2024-09-0113837.97009760186
2024-10-0113136.958030298936
2024-11-0113206.622146519949
2024-12-0112811.618496588892
2025-01-0113342.525752291345
2025-02-0113662.773406872684
2025-03-0113744.378655563667
2025-04-0114241.670496841232
2025-05-0114976.658465587007
2025-06-0115413.79403574229
2025-07-0115199.799929705028
2025-08-0115917.664765097648
2025-09-0116270.806860067953
2025-10-0116396.12115968674
2025-11-0116731.86975604041
2025-12-0117172.700318129795
2026-01-0118042.375248961347
2026-02-0119033.714548354827
2026-03-0117555.71777471364
2026-04-0118583.105775903245
Annual Return Matrix
YearAnnual Return
20210.13852412585612028
2022-0.12946839145446043
20230.17595330772994333
20240.04683777803142153
20250.34040053742640275
20260.08213067436368404
Total Factor Risk
0.1399366641126125
VTI.US Exposure
0.08826051822717622
VEA.US Exposure
1.0098276357349072
VWO.US Exposure
0.00039019673092451594
QQQ.US Exposure
-0.04310777089403806
VTV.US Exposure
-0.010856713740324882
IJR.US Exposure
-0.0037996620064432557
QUAL.US Exposure
-0.03789935917625998
SHV.US Exposure
0.000588443478154684
TLT.US Exposure
-0.01431667527698567
LQD.US Exposure
0.010499450519848932
HYG.US Exposure
-0.0015088131649666971
GLD.US Exposure
-0.012498173381744785
USO.US Exposure
-0.00037447204402268506
VNQ.US Exposure
-0.013305901469846419
BTC-USD.CC Exposure
0.0013662297160192743
CPER.US Exposure
0.005729487623605085
VIX.INDX Exposure
-0.001062569066527732
UUP.US Exposure
0.009997951522687242
TIP.US Exposure
0.009553263991469026
Idiosyncratic Exposure
0.0025169326763679343
Value Score
44.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
26.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.0%

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 →14.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.20%
Market Cap$36.9B
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
$46
Avg Yield on Cost
0.46%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$45.960.46%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 →
+2.3%
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 →
+10.2%
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 →
2.5% 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 International Core Equity Market ETF a high-risk investment?

Dimensional International Core Equity Market ETF (DFAI.US) has an annualized volatility of 14.0% and experienced a maximum drawdown of 25.7% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, DFAI.US has generated a Compound Annual Growth Rate (CAGR) of 12.1%. 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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