Dimensional US Core Equity Market ETF

10-Year Study

DFAU.US · · US · ETF

Executive Summary: Dimensional US Core Equity Market ETF has compounded at 14.2% annually over the last 10 years, with a maximum drawdown of 23.1% and an annualized volatility of 12.3%.

1Y CAGR
+23.1%
3Y CAGR
+20.5%
5Y CAGR
+11.8%
10Y CAGR
+14.2%

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 →
23.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.72
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.20
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +26.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -17.0%
% 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.
20261.9-0.3-5.17.4————————3.6%
20252.9-1.9-5.8-1.36.45.22.32.53.31.90.50.116.8%
20240.95.43.6-4.34.82.62.02.02.0-0.86.8-3.423.2%
20237.0-2.32.20.90.17.03.7-1.9-4.7-2.99.05.324.8%
2022-5.2-2.13.2-8.50.6-8.69.1-3.7-9.18.75.4-5.9-17.0%
2021-0.33.64.04.90.71.81.72.7-4.26.5-1.14.426.9%
2020———————————4.64.6%

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 12.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 93.2% of variance. Idiosyncratic stock-specific factors contribute 0.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-11-0110000
2020-12-0110462.126271121968
2021-01-0110426.623612649091
2021-02-0110800.711743772243
2021-03-0111234.985334020846
2021-04-0111781.176828598236
2021-05-0111860.931014953381
2021-06-0112075.553038435855
2021-07-0112279.397469167632
2021-08-0112615.151182153997
2021-09-0112079.737280327301
2021-10-0112865.27586410935
2021-11-0112720.982916458863
2021-12-0113275.247039331874
2022-01-0112579.310403124233
2022-02-0112313.801235830635
2022-03-0112709.233227107125
2022-04-0111624.584745691078
2022-05-0111693.13868859942
2022-06-0110693.358466961396
2022-07-0111668.413622877239
2022-08-0111235.534779925782
2022-09-0110214.24163785598
2022-10-0111107.72520942342
2022-11-0111708.819029424942
2022-12-0111019.940659842267
2023-01-0111786.713552717221
2023-02-0111513.427612615278
2023-03-0111771.07547696131
2023-04-0111873.35694541889
2023-05-0111885.613815605955
2023-06-0112722.20860347757
2023-07-0113190.209719275408
2023-08-0112943.888893585006
2023-09-0112336.962493977227
2023-10-0111982.696680501433
2023-11-0113057.835521255103
2023-12-0113751.912494399878
2024-01-0113880.144715598346
2024-02-0114624.60165171892
2024-03-0115145.26504425153
2024-04-0114494.509767457586
2024-05-0115186.684812469888
2024-06-0115581.65188798066
2024-07-0115897.498753180445
2024-08-0116217.52986027168
2024-09-0116542.42145036813
2024-10-0116413.217132568618
2024-11-0117526.056415414918
2024-12-0116938.69874303683
2025-01-0117436.538997979733
2025-02-0117106.068418694686
2025-03-0116117.699765851514
2025-04-0115912.249262474534
2025-05-0116935.317537467985
2025-06-0117810.965249659766
2025-07-0118223.049678362822
2025-08-0118681.32982815023
2025-09-0119290.918927143473
2025-10-0119657.695201223996
2025-11-0119758.8777778717
2025-12-0119780.052577746595
2026-01-0120156.211697280665
2026-02-0120101.267106786923
2026-03-0119069.999408289026
2026-04-0120490.105747204165
Annual Return Matrix
YearAnnual Return
20210.26888614181371606
2022-0.16988809118260406
20230.24791166476178805
20240.23173404062414527
20250.1677433360031737
20260.03589743589743599
Total Factor Risk
0.12332156933695018
VTI.US Exposure
0.9316431894105657
VEA.US Exposure
0.01944243765965086
VWO.US Exposure
-0.0017159055135954012
QQQ.US Exposure
-0.016084834596175657
VTV.US Exposure
0.060973380255519675
IJR.US Exposure
0.03728933166186942
QUAL.US Exposure
0.0037387743420048973
SHV.US Exposure
0.006870775787409663
TLT.US Exposure
-0.00011961484157263139
LQD.US Exposure
-0.0009130135872195294
HYG.US Exposure
-0.00884979842713872
GLD.US Exposure
-0.00026469966190770483
USO.US Exposure
-0.00044037167716109293
VNQ.US Exposure
-0.0322613865550413
BTC-USD.CC Exposure
0.0011856398528380936
CPER.US Exposure
0.001063404312176586
VIX.INDX Exposure
-0.0023982890718935272
UUP.US Exposure
-0.003631143004019342
TIP.US Exposure
0.003146121733346389
Idiosyncratic Exposure
0.0013260019203437338
Value Score
42.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
11.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.3%

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 →19.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.94%
Market Cap$232.5B
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$46.490.46%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 →
+3.8%
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 →
+6.0%
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 →
1.03
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

Dimensional US Core Equity Market ETF (DFAU.US) has an annualized volatility of 12.3% and experienced a maximum drawdown of 23.1% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DFAU.US has generated a Compound Annual Growth Rate (CAGR) of 14.2%. 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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