Dimensional ETF Trust

10-Year Study

DFAR.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 2.7% annually over the last 10 years, with a maximum drawdown of 27.5% and an annualized volatility of 16.2%.

1Y CAGR
+11.7%
3Y CAGR
+10.6%
5Y CAGR
+2.7%
10Y CAGR
+2.7%

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 →
27.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.00
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.00
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +11.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · 1.3%
% 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.
20262.77.5-6.47.4————————10.9%
20250.74.1-2.5-2.01.3-0.0-1.43.30.5-2.42.3-2.21.3%
2024-4.81.81.7-7.75.22.47.05.93.0-3.53.7-7.95.2%
202310.1-5.9-1.70.4-4.25.02.0-3.3-7.1-2.911.78.711.0%
2022——7.4-4.1-4.5-6.88.5-5.9-12.63.26.1-5.0-14.9%

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 16.2%. The dominant macroeconomic risk driver is VNQ.US, accounting for 95.2% of variance. Idiosyncratic stock-specific factors contribute 0.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-02-0110000
2022-03-0110735.640379020937
2022-04-0110292.143633618964
2022-05-019828.798021274817
2022-06-019163.090789861675
2022-07-019940.233345216247
2022-08-019357.354423304596
2022-09-018182.706399609186
2022-10-018441.401831729141
2022-11-018958.79269596905
2022-12-018512.655303080315
2023-01-019369.941509658169
2023-02-018818.53030363045
2023-03-018665.28472781526
2023-04-018697.544637945224
2023-05-018330.626669659401
2023-06-018743.315861049128
2023-07-018913.945699485515
2023-08-018621.449979534984
2023-09-018013.484906499073
2023-10-017783.572531984843
2023-11-018694.948001249906
2023-12-019452.461743619535
2024-01-018995.189620494946
2024-02-019153.144350994864
2024-03-019308.854531131034
2024-04-018593.107029843717
2024-05-019042.501221299462
2024-06-019258.110088593725
2024-07-019903.264280401554
2024-08-0110489.752087211784
2024-09-0110802.09667410449
2024-10-0110418.718669817841
2024-11-0110802.09667410449
2024-12-019948.419352425217
2025-01-0110021.081169102667
2025-02-0110427.256763358377
2025-03-0110169.881654981802
2025-04-019968.796348864742
2025-05-0110097.131816721461
2025-06-0110096.735719598446
2025-07-019950.39983804029
2025-08-0110277.488040067426
2025-09-0110326.824137278463
2025-10-0110080.011618848943
2025-11-0110309.483885448713
2025-12-0110078.911349062791
2026-01-0110351.338148113919
2026-02-0111125.92807756462
2026-03-0110408.552176993799
2026-04-0111178.741027299895
Annual Return Matrix
YearAnnual Return
20230.11040109191301917
20240.05246861846761286
20250.013116857262934323
20260.10912187240731841
Total Factor Risk
0.1618032027658897
VTI.US Exposure
-0.11267284775148814
VEA.US Exposure
0.004918305117299168
VWO.US Exposure
0.0009973487351814284
QQQ.US Exposure
0.05531129747459607
VTV.US Exposure
0.02912920151321046
IJR.US Exposure
-0.024739737544415354
QUAL.US Exposure
0.016695664699154778
SHV.US Exposure
0.07495252511105788
TLT.US Exposure
0.0006934212477615207
LQD.US Exposure
-0.02221372398152723
HYG.US Exposure
0.005713526491376779
GLD.US Exposure
0.0007947164746671711
USO.US Exposure
-0.0015892728204011392
VNQ.US Exposure
0.9515476853876402
BTC-USD.CC Exposure
-0.0005915691346357339
CPER.US Exposure
0.0005237463283383235
VIX.INDX Exposure
0.00415037365963048
UUP.US Exposure
0.0052481249700638945
TIP.US Exposure
0.006873957910587029
Idiosyncratic Exposure
0.004257256111902273
Value Score
36.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
32.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.2%

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 →34.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.69%
Market Cap$26.3B
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
$19
Avg Yield on Cost
0.19%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$18.920.19%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 →
+3.7%
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 →
+8.3%
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 →
1.09
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFAR.US) has an annualized volatility of 16.2% and experienced a maximum drawdown of 27.5% over the last 10 years. Its primary macro risk driver is VNQ.US.

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

Over the past 10 years, DFAR.US has generated a Compound Annual Growth Rate (CAGR) of 2.7%. 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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