Dimensional ETF Trust - Dimensional Emerging Markets Core Equity 2 ETF

10-Year Study

DFEM.US · · US · ETF

Executive Summary: Dimensional ETF Trust - Dimensional Emerging Markets Core Equity 2 ETF has compounded at -25.6% annually over the last 10 years, with a maximum drawdown of 90.6% and an annualized volatility of 92.4%.

1Y CAGR
+42.3%
3Y CAGR
+21.4%
5Y CAGR
-25.6%
10Y CAGR
-25.6%

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 →
90.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.21
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.16
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
46.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +29.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -89.5%
% 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.
20267.56.1-8.59.5————————14.4%
20250.10.21.00.55.46.90.93.14.83.2-1.31.929.5%
2024-3.63.42.50.92.22.40.60.84.9-3.6-1.4-1.57.5%
20238.5-5.93.0-0.1-1.94.65.7-5.3-2.0-3.67.73.713.9%
2022-24.5-17.415.6-83.90.0-7.0-0.1-1.1-11.2-1.015.9-3.5-89.5%
2021————————-0.914.64.411.632.2%

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 92.4%. The dominant macroeconomic risk driver is VNQ.US, accounting for 20.0% of variance. Idiosyncratic stock-specific factors contribute 38.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-08-0110000
2021-09-019912.282795942196
2021-10-0111356.89200870711
2021-11-0111853.184416725395
2021-12-0113222.433880150365
2022-01-019983.021198561359
2022-02-018247.656741522866
2022-03-019535.172166753306
2022-04-011537.6852106034764
2022-05-011537.6852106034764
2022-06-011430.3144244838522
2022-07-011428.4901797144112
2022-08-011412.684496931005
2022-09-011255.1469796517501
2022-10-011242.250767540774
2022-11-011439.3690700548009
2022-12-011388.3834260972092
2023-01-011505.8341632421393
2023-02-011417.4381858557533
2023-03-011459.9750465563347
2023-04-011458.736690617955
2023-05-011431.5061756288521
2023-06-011497.9779266438165
2023-07-011583.9304812915716
2023-08-011499.2229404098218
2023-09-011469.5157135439592
2023-10-011415.92685898472
2023-11-011524.9887333212712
2023-12-011581.427138104309
2024-01-011525.0353381146508
2024-02-011577.6255185300358
2024-03-011617.106436350422
2024-04-011631.0679008815098
2024-05-011667.2265627166732
2024-06-011707.8592847163054
2024-07-011717.4465564973095
2024-08-011730.8620791630901
2024-09-011815.895853598499
2024-10-011751.3881617331158
2024-11-011726.8740404152975
2024-12-011700.5489899832896
2025-01-011702.4997334776187
2025-02-011705.0962862516408
2025-03-011721.947247972281
2025-04-011729.7568797772244
2025-05-011822.8199943292245
2025-06-011948.1336259001037
2025-07-011965.2042959323921
2025-08-012025.5907924974686
2025-09-012121.909584758435
2025-10-012190.059108335075
2025-11-012161.6102108904693
2025-12-012202.4093785807436
2026-01-012368.189286460612
2026-02-012513.329928700818
2026-03-012300.279444678497
2026-04-012519.321973563947
Annual Return Matrix
YearAnnual Return
2022-0.8949978923183377
20230.13904207467367424
20240.0753255391973191
20250.2951166897005335
20260.14389359129383328
Total Factor Risk
0.9244659731873831
VTI.US Exposure
0.08934303810184274
VEA.US Exposure
-0.04813757791206586
VWO.US Exposure
0.028775568765861074
QQQ.US Exposure
0.05900117296878181
VTV.US Exposure
-0.029657811065597003
IJR.US Exposure
-0.0341580208793878
QUAL.US Exposure
-0.01566259602052317
SHV.US Exposure
0.12555396136098104
TLT.US Exposure
0.021248331446641452
LQD.US Exposure
0.04077764634553768
HYG.US Exposure
0.10152181774563808
GLD.US Exposure
0.028877128443498063
USO.US Exposure
-0.0006200526387585933
VNQ.US Exposure
0.20027878380990763
BTC-USD.CC Exposure
0.006350122880331249
CPER.US Exposure
0.017638865342511044
VIX.INDX Exposure
-0.0106002302065176
UUP.US Exposure
0.03672814786633297
TIP.US Exposure
-0.003780499876095855
Idiosyncratic Exposure
0.38652220352108113
Value Score
45.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
24.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
92.4%

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 →11.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.03%
Market Cap$20.8B
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
$3
Avg Yield on Cost
0.03%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$3.050.03%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 →
+4.0%
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 →
+12.5%
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 →
47.0% 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 →
0.89
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust - Dimensional Emerging Markets Core Equity 2 ETF a high-risk investment?

Dimensional ETF Trust - Dimensional Emerging Markets Core Equity 2 ETF (DFEM.US) has an annualized volatility of 92.4% and experienced a maximum drawdown of 90.6% over the last 10 years. Its primary macro risk driver is VNQ.US.

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

Over the past 10 years, DFEM.US has generated a Compound Annual Growth Rate (CAGR) of -25.6%. 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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