Dimensional ETF Trust - Dimensional Emerging Markets Value ETF

10-Year Study

DFEV.US · · US · ETF

Executive Summary: Dimensional ETF Trust - Dimensional Emerging Markets Value ETF has compounded at 15.0% annually over the last 10 years, with a maximum drawdown of 16.7% and an annualized volatility of 15.7%.

1Y CAGR
+45.3%
3Y CAGR
+22.9%
5Y CAGR
+15.0%
10Y CAGR
+15.0%

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 →
16.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.75
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.19
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +32.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · 7.3%
% 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.
20268.66.3-8.28.5————————15.0%
20250.81.21.4-0.85.56.90.32.54.74.5-0.72.632.5%
2024-2.73.42.51.72.52.40.10.24.7-3.5-1.6-2.27.3%
20236.7-5.22.22.2-2.15.16.1-5.3-1.3-4.37.04.615.5%
2022————-0.4-6.70.2-0.4-10.2-0.113.7-2.1-7.4%

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 15.7%. The dominant macroeconomic risk driver is VWO.US, accounting for 42.9% of variance. Idiosyncratic stock-specific factors contribute 2.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-04-0110000
2022-05-019962.715501695158
2022-06-019296.553776238909
2022-07-019316.480920435692
2022-08-019280.594027266825
2022-09-018335.993291495346
2022-10-018325.443626920578
2022-11-019462.012190723508
2022-12-019263.552261415278
2023-01-019886.343143619706
2023-02-019374.188487340403
2023-03-019577.787996826082
2023-04-019783.912212363846
2023-05-019583.152997186755
2023-06-0110069.249080285652
2023-07-0110684.871600663637
2023-08-0110118.841520594387
2023-09-019988.864242948855
2023-10-019558.446945105676
2023-11-0110225.194763038304
2023-12-0110700.605929452498
2024-01-0110413.96162446801
2024-02-0110764.26458919426
2024-03-0111034.858977133375
2024-04-0111224.437351222678
2024-05-0111507.114260982471
2024-06-0111777.6184808483
2024-07-0111786.18444781072
2024-08-0111807.599365216764
2024-09-0112359.382889706412
2024-10-0111920.760297193969
2024-11-0111729.694149895404
2024-12-0111477.178460650652
2025-01-0111573.52304695953
2025-02-0111709.271081295534
2025-03-0111868.552982759864
2025-04-0111772.028060304407
2025-05-0112417.000288537834
2025-06-0113279.322657433455
2025-07-0113319.176945827021
2025-08-0113655.684195340114
2025-09-0114292.766717160788
2025-10-0114938.189785760656
2025-11-0114830.619274327344
2025-12-0115211.3539637885
2026-01-0116518.791026473344
2026-02-0117564.740676621223
2026-03-0116131.068311332323
2026-04-0117497.114621654764
Annual Return Matrix
YearAnnual Return
20230.15512987107795184
20240.07257276235738241
20250.32535657748465074
20260.15026674570243026
Total Factor Risk
0.15739097101322622
VTI.US Exposure
0.10043240734246801
VEA.US Exposure
0.2734663522098027
VWO.US Exposure
0.42893597728818766
QQQ.US Exposure
0.06269243278179307
VTV.US Exposure
0.12608981914743372
IJR.US Exposure
-0.06090008042272335
QUAL.US Exposure
-0.1542976374982613
SHV.US Exposure
0.18618213092003344
TLT.US Exposure
0.08188727802178081
LQD.US Exposure
-0.08154203737881073
HYG.US Exposure
0.015073766574376419
GLD.US Exposure
-0.009627132962934255
USO.US Exposure
-0.002537250360916171
VNQ.US Exposure
-0.02999384632604111
BTC-USD.CC Exposure
-0.007972707212167866
CPER.US Exposure
0.04124689728401934
VIX.INDX Exposure
-0.007022352841481516
UUP.US Exposure
-0.018022664079450038
TIP.US Exposure
0.028907790146257203
Idiosyncratic Exposure
0.02700085736663385
Value Score
46
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
27.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.7%

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 →9.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.32%
Market Cap$15.6B
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
$14
Avg Yield on Cost
0.14%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$14.430.14%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 →
+4.9%
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 →
+16.1%
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 →
0.89
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust - Dimensional Emerging Markets Value ETF a high-risk investment?

Dimensional ETF Trust - Dimensional Emerging Markets Value ETF (DFEV.US) has an annualized volatility of 15.7% and experienced a maximum drawdown of 16.7% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, DFEV.US has generated a Compound Annual Growth Rate (CAGR) of 15.0%. 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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