Dimensional World ex U.S. Core Equity 2 ETF

10-Year Study

DFAX.US · · US · ETF

Executive Summary: Dimensional World ex U.S. Core Equity 2 ETF has compounded at 10.9% annually over the last 10 years, with a maximum drawdown of 25.9% and an annualized volatility of 13.9%.

1Y CAGR
+34.7%
3Y CAGR
+21.4%
5Y CAGR
+10.9%
10Y CAGR
+10.9%

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 →
25.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.49
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.84
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +35.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.5%
% 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.
20266.06.6-8.27.2————————11.3%
20252.71.71.22.75.64.6-0.34.53.11.21.32.535.4%
2024-2.02.83.5-1.84.2-1.22.32.02.5-4.60.0-2.74.8%
20238.7-3.72.21.7-3.84.74.5-3.9-2.9-3.67.85.116.7%
2022-2.1-2.0-0.4-6.11.6-8.83.4-4.0-10.24.113.0-1.9-14.5%
2021—————————1.7-3.94.21.9%

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 13.9%. The dominant macroeconomic risk driver is VEA.US, accounting for 81.5% of variance. Idiosyncratic stock-specific factors contribute 0.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-09-0110000
2021-10-0110170.044052863435
2021-11-019772.026431718063
2021-12-0110185.198237885463
2022-01-019974.581497797357
2022-02-019779.515418502202
2022-03-019739.295154185023
2022-04-019145.947136563876
2022-05-019294.31718061674
2022-06-018477.841409691631
2022-07-018762.555066079294
2022-08-018410.616740088104
2022-09-017551.718061674009
2022-10-017859.559471365639
2022-11-018878.98678414097
2022-12-018710.528634361235
2023-01-019468.678414096918
2023-02-019113.788546255508
2023-03-019316.960352422908
2023-04-019478.590308370045
2023-05-019114.933920704845
2023-06-019539.955947136563
2023-07-019965.594713656388
2023-08-019580.881057268723
2023-09-019301.806167400882
2023-10-018963.127753303965
2023-11-019665.286343612335
2023-12-0110161.71806167401
2024-01-019957.84140969163
2024-02-0110240.792951541851
2024-03-0110597.97356828194
2024-04-0110402.15859030837
2024-05-0110839.603524229076
2024-06-0110713.480176211455
2024-07-0110957.929515418504
2024-08-0111181.277533039649
2024-09-0111462.775330396475
2024-10-0110936.563876651984
2024-11-0110940.792951541851
2024-12-0110647.356828193833
2025-01-0110930.044052863437
2025-02-0111118.502202643172
2025-03-0111250.176211453743
2025-04-0111559.339207048459
2025-05-0112212.02643171806
2025-06-0112771.497797356828
2025-07-0112736.69603524229
2025-08-0113310.704845814978
2025-09-0113725.991189427314
2025-10-0113887.84140969163
2025-11-0114062.775330396475
2025-12-0114418.50220264317
2026-01-0115286.343612334804
2026-02-0116295.154185022027
2026-03-0114964.757709251102
2026-04-0116048.458149779737
Annual Return Matrix
YearAnnual Return
2022-0.14478555734329857
20230.1666017630190817
20240.047791009706465104
20250.35418606094457883
20260.11304613504430194
Total Factor Risk
0.13915861167526278
VTI.US Exposure
0.11628065683030532
VEA.US Exposure
0.8149685262742611
VWO.US Exposure
0.17201462692085862
QQQ.US Exposure
-0.010046906104480797
VTV.US Exposure
0.00644767627345078
IJR.US Exposure
-0.013716396761998298
QUAL.US Exposure
-0.11392589416138177
SHV.US Exposure
0.03247067297562868
TLT.US Exposure
-0.003446340596133182
LQD.US Exposure
-0.014258172000377795
HYG.US Exposure
0.0041910782802015495
GLD.US Exposure
-0.005377874399783902
USO.US Exposure
-0.0034939454966957566
VNQ.US Exposure
-0.00025842989471968014
BTC-USD.CC Exposure
-0.0022697953845529474
CPER.US Exposure
0.017643385890220412
VIX.INDX Exposure
-0.007495223495780231
UUP.US Exposure
-0.006869228164480911
TIP.US Exposure
0.011098181867281301
Idiosyncratic Exposure
0.006043401148177687
Value Score
44.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
27.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.9%

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 →13.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.28%
Market Cap$18.9B
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
$26
Avg Yield on Cost
0.26%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$25.550.26%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 →
+3.5%
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 →
+12.7%
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 →
1.8% 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 →
0.98
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional World ex U.S. Core Equity 2 ETF a high-risk investment?

Dimensional World ex U.S. Core Equity 2 ETF (DFAX.US) has an annualized volatility of 13.9% and experienced a maximum drawdown of 25.9% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, DFAX.US has generated a Compound Annual Growth Rate (CAGR) of 10.9%. 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.

Run a Full Backtest on Dimensional World ex U.S. Core Equity 2 ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest