Dimensional U.S. Targeted Value ETF

10-Year Study

DFAT.US · · US · ETF

Executive Summary: Dimensional U.S. Targeted Value ETF has compounded at 9.6% annually over the last 10 years, with a maximum drawdown of 18.6% and an annualized volatility of 16.9%.

1Y CAGR
+30.0%
3Y CAGR
+17.7%
5Y CAGR
+9.6%
10Y CAGR
+9.6%

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 →
18.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.36
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.81
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +20.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -6.2%
% 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.
20266.52.6-4.14.2————————9.3%
20253.0-4.5-5.7-4.75.64.60.88.2-0.6-2.23.71.28.7%
2024-3.42.45.3-6.15.3-3.210.0-2.20.0-1.710.9-7.97.8%
20239.8-1.0-6.6-2.1-3.110.47.2-3.4-4.5-5.48.711.820.9%
2022-4.12.6-0.1-6.13.5-10.89.7-2.1-9.413.95.7-5.9-6.2%
2021——————-1.42.7-1.84.8-2.35.27.0%

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 16.9%. The dominant macroeconomic risk driver is IJR.US, accounting for 93.9% of variance. Idiosyncratic stock-specific factors contribute 2.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-06-0110000
2021-07-019858.705179615905
2021-08-0110122.092481711206
2021-09-019935.251815743528
2021-10-0110411.87105772882
2021-11-0110174.683961509343
2021-12-0110704.80225651363
2022-01-0110260.998951514093
2022-02-0110526.822371202223
2022-03-0110512.7072192673
2022-04-019869.47664073714
2022-05-0110217.05330081992
2022-06-019115.713197308807
2022-07-019999.64174741282
2022-08-019786.600875569322
2022-09-018864.291531625344
2022-10-0110092.620235539134
2022-11-0110670.362241132649
2022-12-0110037.640405159793
2023-01-0111019.706280645523
2023-02-0110912.349922020354
2023-03-0110193.336979548552
2023-04-019975.734358094956
2023-05-019666.490724840518
2023-06-0110672.392339126674
2023-07-0111436.18685499607
2023-08-0111042.777747259965
2023-09-0110551.064129601455
2023-10-019982.971060356007
2023-11-0110848.96309759517
2023-12-0112131.889495795309
2024-01-0111723.863682502228
2024-02-0112004.375458264767
2024-03-0112644.716132591671
2024-04-0111875.762779466872
2024-05-0112505.33199267254
2024-06-0112099.360160879296
2024-07-0113312.331770555937
2024-08-0113018.421348032836
2024-09-0113024.272806956787
2024-10-0112808.891351543709
2024-11-0114199.580127967824
2024-12-0113078.416714632707
2025-01-0113473.163298694288
2025-02-0112869.292737742388
2025-03-0112135.257070114809
2025-04-0111564.918951323027
2025-05-0112215.386232114239
2025-06-0112775.860463005643
2025-07-0112882.404782433203
2025-08-0113936.001757826027
2025-09-0113847.155116205196
2025-10-0113547.417118263957
2025-11-0114046.988409334628
2025-12-0114220.239360495249
2026-01-0115146.919386002834
2026-02-0115545.773933064087
2026-03-0114915.249379625937
2026-04-0115540.997231901674
Annual Return Matrix
YearAnnual Return
2022-0.062323603497475455
20230.20863958122657777
20240.07801976923425213
20250.08730587736855178
20260.09287873698354043
Total Factor Risk
0.1692999466510737
VTI.US Exposure
0.06129804922384888
VEA.US Exposure
0.044019998076324694
VWO.US Exposure
-0.006044722730831681
QQQ.US Exposure
-0.05093954507306964
VTV.US Exposure
0.13978009378287565
IJR.US Exposure
0.9393741209722981
QUAL.US Exposure
-0.053960174656565794
SHV.US Exposure
0.009740927973837058
TLT.US Exposure
0.0014504583580280568
LQD.US Exposure
0.00034209462273559327
HYG.US Exposure
-0.04065769676783645
GLD.US Exposure
-0.007461963823026191
USO.US Exposure
0.0005999977454806625
VNQ.US Exposure
-0.06862983675865192
BTC-USD.CC Exposure
-0.0009754504793894692
CPER.US Exposure
0.02799653751596054
VIX.INDX Exposure
-0.01685443462648521
UUP.US Exposure
-0.0031311322191006547
TIP.US Exposure
0.003394998836472875
Idiosyncratic Exposure
0.020657680027094897
Value Score
45.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
17
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.9%

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 →11.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.42%
Market Cap$4.7B
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
$50
Avg Yield on Cost
0.50%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$49.680.50%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 →
+1.8%
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 →
+9.2%
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 →
1.15
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional U.S. Targeted Value ETF a high-risk investment?

Dimensional U.S. Targeted Value ETF (DFAT.US) has an annualized volatility of 16.9% and experienced a maximum drawdown of 18.6% over the last 10 years. Its primary macro risk driver is IJR.US.

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

Over the past 10 years, DFAT.US has generated a Compound Annual Growth Rate (CAGR) of 9.6%. 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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