Dimensional ETF Trust - Dimensional Gloabl Real Estate ETF

10-Year Study

DFGR.US · · US · ETF

Executive Summary: Dimensional ETF Trust - Dimensional Gloabl Real Estate ETF has compounded at 8.2% annually over the last 10 years, with a maximum drawdown of 17.2% and an annualized volatility of 14.4%.

1Y CAGR
+11.7%
3Y CAGR
+10.3%
5Y CAGR
+8.2%
10Y CAGR
+8.2%

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 →
17.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.31
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +9.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · 1.9%
% 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.
20262.66.2-7.67.5————————8.2%
20251.43.4-1.70.12.00.7-1.23.60.2-1.51.7-1.17.7%
2024-4.70.62.7-7.05.10.96.55.63.4-4.62.6-7.81.9%
20239.0-5.2-2.41.4-4.53.02.8-3.4-6.7-3.311.68.99.6%

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 14.4%. The dominant macroeconomic risk driver is VNQ.US, accounting for 80.9% of variance. Idiosyncratic stock-specific factors contribute 0.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-12-0110000
2023-01-0110899.80201624832
2023-02-0110338.210864073915
2023-03-0110094.167444189065
2023-04-0110238.081150581434
2023-05-019781.671711080264
2023-06-0110074.96074460096
2023-07-0110360.011833511595
2023-08-0110008.875133695925
2023-09-019333.864324238219
2023-10-019025.646860705914
2023-11-0110071.092096579661
2023-12-0110963.475411328312
2024-01-0110444.439387388209
2024-02-0110511.935916983366
2024-03-0110795.257492660949
2024-04-0110038.367885670074
2024-05-0110545.752452040144
2024-06-0110645.062922422228
2024-07-0111339.371458480306
2024-08-0111969.824545433858
2024-09-0112379.218533099698
2024-10-0111808.706733723233
2024-11-0112113.283116764898
2024-12-0111170.06121566575
2025-01-0111323.123136790842
2025-02-0111703.616048062264
2025-03-0111506.81564754341
2025-04-0111519.969050815831
2025-05-0111752.22447261225
2025-06-0111835.195594292607
2025-07-0111698.47302186924
2025-08-0112117.515872835265
2025-09-0112139.817490840407
2025-10-0111961.996222378992
2025-11-0112162.028081833285
2025-12-0112024.668320324057
2026-01-0112334.160162028084
2026-02-0113098.787065061559
2026-03-0112097.48993013677
2026-04-0113007.760052795667
Annual Return Matrix
YearAnnual Return
20230.09634754113283117
20240.01884309460155098
20250.07650872167645262
20260.0817562452687357
Total Factor Risk
0.14438037868825646
VTI.US Exposure
-0.025158708163771155
VEA.US Exposure
0.11868858478340752
VWO.US Exposure
-0.006138738685240275
QQQ.US Exposure
0.003704167423353954
VTV.US Exposure
-0.023547700803237707
IJR.US Exposure
0.002335618709320944
QUAL.US Exposure
-0.014816922982670752
SHV.US Exposure
0.05849337406684555
TLT.US Exposure
-0.00873770611922956
LQD.US Exposure
0.0016178705240134253
HYG.US Exposure
0.020313971229894503
GLD.US Exposure
0.015337609617708307
USO.US Exposure
-0.0022906428450513707
VNQ.US Exposure
0.8087084099342657
BTC-USD.CC Exposure
-0.005001429330218918
CPER.US Exposure
-0.013032119705980156
VIX.INDX Exposure
0.012400444785634382
UUP.US Exposure
0.019433393424342766
TIP.US Exposure
0.029892829677073105
Idiosyncratic Exposure
0.0077976944595398185
Value Score
39.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
44.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.4%

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 →26.7x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.72%
Market Cap$19.6B
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
$46
Avg Yield on Cost
0.46%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$45.510.46%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 →
+3.1%
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 →
+6.8%
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 →
0.8% 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 →
1.07
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust - Dimensional Gloabl Real Estate ETF a high-risk investment?

Dimensional ETF Trust - Dimensional Gloabl Real Estate ETF (DFGR.US) has an annualized volatility of 14.4% and experienced a maximum drawdown of 17.2% over the last 10 years. Its primary macro risk driver is VNQ.US.

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

Over the past 10 years, DFGR.US has generated a Compound Annual Growth Rate (CAGR) of 8.2%. 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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