Dimensional ETF Trust

10-Year Study

DFAW.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 21.5% annually over the last 10 years, with a maximum drawdown of 6.6% and an annualized volatility of 13.0%.

1Y CAGR
+26.9%
3Y CAGR
+21.5%
5Y CAGR
+21.5%
10Y CAGR
+21.5%

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 →
6.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.44
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.80
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
12.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +20.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 6.7%
% 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.
20263.52.7-6.27.0————————6.7%
20253.4-1.5-3.5-0.96.14.71.43.42.61.11.21.420.6%
2024-0.44.33.9-4.04.50.93.31.62.0-1.85.1-4.215.5%
2023—————————-3.38.56.011.2%

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 13.0%. The dominant macroeconomic risk driver is VTI.US, accounting for 74.9% of variance. Idiosyncratic stock-specific factors contribute 0.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-09-0110000
2023-10-019666.83698256077
2023-11-0110493.29485869365
2023-12-0111120.462198247702
2024-01-0111070.85420401052
2024-02-0111550.87279915568
2024-03-0111996.1092590421
2024-04-0111513.26369926122
2024-05-0112034.660680481798
2024-06-0112140.996431742416
2024-07-0112536.583016434088
2024-08-0112736.418005461279
2024-09-0112986.55202452549
2024-10-0112751.201983482151
2024-11-0113401.969242624762
2024-12-0112843.298209170256
2025-01-0113283.341430318464
2025-02-0113085.935536830115
2025-03-0112629.349337443253
2025-04-0112511.873251470022
2025-05-0113279.572144137504
2025-06-0113901.336840165515
2025-07-0114096.146114284755
2025-08-0114568.647077546784
2025-09-0114941.366659407302
2025-10-0115109.790930259833
2025-11-0115284.455463789724
2025-12-0115491.766203742485
2026-01-0116027.84246059002
2026-02-0116465.498467156955
2026-03-0115449.885246176269
2026-04-0116528.319903506275
Annual Return Matrix
YearAnnual Return
20240.154924856558033
20250.20621400760446362
20260.06690997566909984
Total Factor Risk
0.12996046959840685
VTI.US Exposure
0.7494759725770508
VEA.US Exposure
0.2409032861423494
VWO.US Exposure
0.02319335808115487
QQQ.US Exposure
-0.14282121548789328
VTV.US Exposure
0.014958820745767931
IJR.US Exposure
0.08120620049654287
QUAL.US Exposure
-0.015619886643321137
SHV.US Exposure
0.08444615489213353
TLT.US Exposure
0.008116664244114169
LQD.US Exposure
-0.020939856075100512
HYG.US Exposure
0.011631049789895227
GLD.US Exposure
0.0028801688542752827
USO.US Exposure
-0.0006808878873491827
VNQ.US Exposure
-0.026938186974002153
BTC-USD.CC Exposure
-0.006417315046165823
CPER.US Exposure
-0.0018030943045109968
VIX.INDX Exposure
-0.010583414648562094
UUP.US Exposure
-0.00553514413699338
TIP.US Exposure
0.01209632307564357
Idiosyncratic Exposure
0.002431002304970945
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
13.0%

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
$34
Avg Yield on Cost
0.34%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$34.340.34%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 →
+3.6%
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 →
+8.7%
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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFAW.US) has an annualized volatility of 13.0% and experienced a maximum drawdown of 6.6% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DFAW.US has generated a Compound Annual Growth Rate (CAGR) of 21.5%. 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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