Dimensional ETF Trust

10-Year Study

DFCA.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 2.6% annually over the last 10 years, with a maximum drawdown of 2.7% and an annualized volatility of 4.4%.

1Y CAGR
+4.5%
3Y CAGR
+2.6%
5Y CAGR
+2.6%
10Y CAGR
+2.6%

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 →
2.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.54
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.93
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
3.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +3.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.3%
% 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.
20260.80.8-1.80.5————————0.3%
20250.10.9-1.3-0.40.10.5-0.10.61.20.80.40.23.0%
20240.00.1-0.3-0.6-0.10.70.90.40.6-0.51.0-0.71.5%
2023——————0.2-0.5-1.7-0.53.51.72.6%

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 4.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 55.6% of variance. Idiosyncratic stock-specific factors contribute 4.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-06-0110000
2023-07-0110017.36420398325
2023-08-019965.035490372418
2023-09-019796.201338911056
2023-10-019742.885291081153
2023-11-0110084.030727558
2023-12-0110257.15763649359
2024-01-0110260.806480346682
2024-02-0110270.37932951421
2024-03-0110239.922215234566
2024-04-0110182.420728867291
2024-05-0110169.864413255176
2024-06-0110244.343755433021
2024-07-0110337.110244451073
2024-08-0110375.294322184327
2024-09-0110438.63395871655
2024-10-0110381.497356734586
2024-11-0110480.3166337913
2024-12-0110409.700773340259
2025-01-0110415.925271677888
2025-02-0110509.378601891816
2025-03-0110375.616278994894
2025-04-0110329.039860399527
2025-05-0110335.071184650817
2025-06-0110386.434027829948
2025-07-0110381.239791286132
2025-08-0110444.042833134079
2025-09-0110574.413877626363
2025-10-0110658.015329436941
2025-11-0110702.123412484627
2025-12-0110720.410559324835
2026-01-0110801.565139375101
2026-02-0110891.798901483362
2026-03-0110699.698004511689
2026-04-0110757.650230413758
Annual Return Matrix
YearAnnual Return
20240.014871872135799213
20250.029848099647620918
20260.0034737168770584415
Total Factor Risk
0.04440775678241795
VTI.US Exposure
0.0014740840342688574
VEA.US Exposure
-0.03549657967516639
VWO.US Exposure
0.04059880045362912
QQQ.US Exposure
0.0054935044916289335
VTV.US Exposure
0.012108071469703413
IJR.US Exposure
0.004397141733457016
QUAL.US Exposure
0.024577101691820383
SHV.US Exposure
0.5564101415721863
TLT.US Exposure
0.10510284756011529
LQD.US Exposure
0.13110455844689542
HYG.US Exposure
0.023238375607466374
GLD.US Exposure
0.003168373071689061
USO.US Exposure
0.021546227400938426
VNQ.US Exposure
0.08386758819140999
BTC-USD.CC Exposure
-0.0028314224529711733
CPER.US Exposure
-0.0008731269208096674
VIX.INDX Exposure
-0.018825383263544864
UUP.US Exposure
-0.007265578455838996
TIP.US Exposure
0.00832661179105172
Idiosyncratic Exposure
0.043878663252070835
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
33.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
4.4%

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 →2.80%
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
$50
Avg Yield on Cost
0.50%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$49.580.50%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 →
-0.3%
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 →
+1.1%
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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFCA.US) has an annualized volatility of 4.4% and experienced a maximum drawdown of 2.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFCA.US has generated a Compound Annual Growth Rate (CAGR) of 2.6%. 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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