Dimensional ETF Trust

10-Year Study

DFCF.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 0.1% annually over the last 10 years, with a maximum drawdown of 18.0% and an annualized volatility of 8.8%.

1Y CAGR
+5.9%
3Y CAGR
+4.8%
5Y CAGR
+0.1%
10Y CAGR
+0.1%

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 →
18.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.58
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.87
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
7.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +7.9%
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.
20260.31.6-2.30.7————————0.2%
20250.72.0-0.10.1-0.21.7-0.11.21.10.50.7-0.27.9%
20240.4-1.60.9-2.21.80.72.31.31.3-2.41.3-1.71.9%
20233.2-2.62.60.6-1.0-0.30.3-0.4-2.1-1.04.53.36.9%
2022-2.5-1.5-3.4-4.41.1-2.33.0-3.7-4.7-0.84.1-0.1-14.5%
2021———————————-0.3-0.3%

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 8.8%. The dominant macroeconomic risk driver is SHV.US, accounting for 54.9% of variance. Idiosyncratic stock-specific factors contribute 1.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-019969.614335800545
2022-01-019722.137620852074
2022-02-019581.140583867504
2022-03-019256.20049344241
2022-04-018848.107093529765
2022-05-018949.321811807202
2022-06-018743.539800025972
2022-07-019004.780961150263
2022-08-018673.041281533686
2022-09-018265.774220585285
2022-10-018200.25734556315
2022-11-018537.04949770396
2022-12-018525.834897474946
2023-01-018802.25708585662
2023-02-018574.06948330205
2023-03-018794.749206124352
2023-04-018843.385156591235
2023-05-018753.904451606048
2023-06-018724.699271641226
2023-07-018749.938024577683
2023-08-018711.784774114341
2023-09-018529.494398602306
2023-10-018442.964904203704
2023-11-018826.386183612518
2023-12-019118.036618620958
2024-01-019153.333097236486
2024-02-019004.04906092479
2024-03-019081.748533248337
2024-04-018881.018993991336
2024-05-019036.67764517005
2024-06-019100.329355101461
2024-07-019307.740435126489
2024-08-019431.809328186422
2024-09-019558.191970346237
2024-10-019326.462915087768
2024-11-019451.14565994971
2024-12-019287.436106290801
2025-01-019351.1350355916
2025-02-019539.06812574518
2025-03-019533.82677574341
2025-04-019545.584398720355
2025-05-019528.727083849795
2025-06-019693.782389536189
2025-07-019687.92718773241
2025-08-019808.124092502745
2025-09-019919.325707405178
2025-10-019971.054526566799
2025-11-0110043.418210149805
2025-12-0110019.997402934683
2026-01-0110046.888833799625
2026-02-0110206.46669263732
2026-03-019968.008877241444
2026-04-0110041.198899788695
Annual Return Matrix
YearAnnual Return
2022-0.14481798289238101
20230.06945967500747674
20240.018578504864072753
20250.07887659072536546
20260.0021159183981225294
Total Factor Risk
0.0881726957672576
VTI.US Exposure
0.012426281458223564
VEA.US Exposure
0.03598073771091551
VWO.US Exposure
-0.00995910922368616
QQQ.US Exposure
-0.02102520635175819
VTV.US Exposure
-0.0055244251179284035
IJR.US Exposure
0.0068826793330689865
QUAL.US Exposure
-0.006855974518027689
SHV.US Exposure
0.5488435453648708
TLT.US Exposure
-0.003302541436379486
LQD.US Exposure
0.37838912673385927
HYG.US Exposure
-0.017894247520901886
GLD.US Exposure
0.002351128926833925
USO.US Exposure
0.005919491293119659
VNQ.US Exposure
-0.01097123784840156
BTC-USD.CC Exposure
-0.0009322593484669579
CPER.US Exposure
-0.0025366827335024894
VIX.INDX Exposure
0.00001553103355454161
UUP.US Exposure
-0.006389830071772128
TIP.US Exposure
0.07732213034680452
Idiosyncratic Exposure
0.017260861969574156
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
8.8%

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
$60
Avg Yield on Cost
0.60%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$59.730.60%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 →
-0.2%
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 →
+0.9%
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 →
1.6% 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 →
0.93
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFCF.US) has an annualized volatility of 8.8% and experienced a maximum drawdown of 18.0% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFCF.US has generated a Compound Annual Growth Rate (CAGR) of 0.1%. 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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