Dimensional U.S. Small Cap ETF

10-Year Study

DFAS.US · · US · ETF

Executive Summary: Dimensional U.S. Small Cap ETF has compounded at 7.1% annually over the last 10 years, with a maximum drawdown of 21.9% and an annualized volatility of 16.0%.

1Y CAGR
+26.6%
3Y CAGR
+16.0%
5Y CAGR
+7.1%
10Y CAGR
+7.1%

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 →
21.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.23
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.50
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +17.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -13.8%
% 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.
20265.42.3-5.36.1————————8.3%
20253.3-5.2-6.1-3.05.74.21.35.80.5-0.82.80.18.2%
2024-3.44.43.9-6.04.9-1.98.7-1.40.9-1.510.6-7.710.2%
20239.5-0.9-4.9-2.0-2.59.15.2-3.6-5.3-5.78.711.117.8%
2022-7.61.4-0.2-7.51.8-8.910.5-3.2-9.212.14.8-6.1-13.8%
2021——————-1.32.3-2.34.8-2.34.96.0%

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 16.0%. The dominant macroeconomic risk driver is IJR.US, accounting for 87.1% of variance. Idiosyncratic stock-specific factors contribute 0.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-06-0110000
2021-07-019873.293467431082
2021-08-0110101.033726405973
2021-09-019868.947138697613
2021-10-0110344.372885538698
2021-11-0110107.516386211826
2021-12-0110601.395613522976
2022-01-019795.556799702388
2022-02-019936.941400070351
2022-03-019919.979668021519
2022-04-019180.311867503275
2022-05-019348.4190229232
2022-06-018518.399151360898
2022-07-019416.37645100159
2022-08-019114.693353616201
2022-09-018277.822489304534
2022-10-019283.205675273994
2022-11-019729.82778593226
2022-12-019133.82825003177
2023-01-0110001.67591489299
2023-02-019915.964838937212
2023-03-019429.599603673754
2023-04-019241.731385834282
2023-05-019010.915546781047
2023-06-019834.821091481012
2023-07-0110349.897879691413
2023-08-019973.019611887577
2023-09-019448.200417321226
2023-10-018909.992320258129
2023-11-019689.403245381565
2023-12-0110762.799109370944
2024-01-0110394.539832445344
2024-02-0110847.644602909462
2024-03-0111272.037820426642
2024-04-0110590.364041864725
2024-05-0111105.698663135583
2024-06-0110893.870387320509
2024-07-0111845.808463186046
2024-08-0111682.618552562031
2024-09-0111790.669021541953
2024-10-0111617.976120975272
2024-11-0112850.473399915652
2024-12-0111861.388946696698
2025-01-0112256.886444795178
2025-02-0111622.617116063551
2025-03-0110913.355200032413
2025-04-0110586.42287936912
2025-05-0111192.809404276715
2025-06-0111668.290401059327
2025-07-0111825.807984353216
2025-08-0112514.42483890038
2025-09-0112572.474110798235
2025-10-0112469.63555296904
2025-11-0112820.39901507771
2025-12-0112830.878087320692
2026-01-0113521.502356410007
2026-02-0113827.218699526877
2026-03-0113099.76113608613
2026-04-0113900.885288229738
Annual Return Matrix
YearAnnual Return
2022-0.13843152514931156
20230.17834480950892728
20240.10207287399513354
20250.08173487480941155
20260.08339313908425439
Total Factor Risk
0.15963541354794122
VTI.US Exposure
0.3368171842188763
VEA.US Exposure
0.05756225517041341
VWO.US Exposure
-0.018161902374661063
QQQ.US Exposure
-0.11556536862767391
VTV.US Exposure
-0.057467239768274496
IJR.US Exposure
0.87097175694008
QUAL.US Exposure
-0.030477441837287716
SHV.US Exposure
0.0011300859513596589
TLT.US Exposure
-0.0005594704919641978
LQD.US Exposure
0.016443101734603165
HYG.US Exposure
-0.024882155793101997
GLD.US Exposure
0.004561790671940404
USO.US Exposure
-1.0608260366976523e-7
VNQ.US Exposure
-0.02858908537489879
BTC-USD.CC Exposure
0.000822228033053829
CPER.US Exposure
0.004284259221559219
VIX.INDX Exposure
-0.010169257076353608
UUP.US Exposure
-0.008633159106151846
TIP.US Exposure
-0.0056585570387853905
Idiosyncratic Exposure
0.007571081629870553
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.0%

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 →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
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
$30
Avg Yield on Cost
0.30%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$30.390.30%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 →
+2.9%
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 →
1.2% 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 →
1.18
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional U.S. Small Cap ETF a high-risk investment?

Dimensional U.S. Small Cap ETF (DFAS.US) has an annualized volatility of 16.0% and experienced a maximum drawdown of 21.9% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, DFAS.US has generated a Compound Annual Growth Rate (CAGR) of 7.1%. 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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