Dimensional Global ex US Core Fixed Income ETF

10-Year Study

DFGX.US · · US · ETF

Executive Summary: Dimensional Global ex US Core Fixed Income ETF has compounded at -9.6% annually over the last 10 years, with a maximum drawdown of 96.5% and an annualized volatility of 1023.2%.

1Y CAGR
+2.5%
3Y CAGR
-43.5%
5Y CAGR
-14.1%
10Y CAGR
-9.6%

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 →
96.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
249.03
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2674.17
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
1299.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +5734.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · -95.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
71%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.71.4-2.50.6————————0.2%
20250.50.8-1.31.30.20.60.00.20.91.2-0.4-0.63.5%
2024-0.3-0.11.2-1.60.40.52.20.60.9-1.01.8-0.93.7%
2023-4.6-4.3-17.738.1-10.1-17.6-94.31276.6-15.9-13.0-63.93.5-83.6%
20221025.658.14.4-93.120.88.37.214.1524.60.76.7325.15734.7%
202111.9—-95.0-16.71936.0-6.1-3.8-17.0-92.4-9.6-18.610.7-95.7%
2020———————————1655.11655.1%
2019————————-93.6———-93.6%

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 1023.2%. The dominant macroeconomic risk driver is SHV.US, accounting for 65.7% of variance. Idiosyncratic stock-specific factors contribute 14.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-06-0110000
2019-09-01639.8495790356355
2020-12-0111229.755268743473
2021-01-0112561.147962782536
2021-03-01623.7959947958223
2021-04-01519.3193644043276
2021-05-0110573.166740979908
2021-06-019929.767996746627
2021-07-019551.953959044291
2021-08-017924.590538395986
2021-09-01598.6606390532166
2021-10-01541.2347822128298
2021-11-01440.3266032473761
2021-12-01487.60667870926
2022-01-015488.304794797797
2022-02-018679.26818846535
2022-03-019057.08295223746
2022-04-01622.6952276377589
2022-05-01752.271318697364
2022-06-01814.8061201292608
2022-07-01873.6352883270271
2022-08-01996.8521426427966
2022-09-016226.328582440975
2022-10-016271.885104395402
2022-11-016693.124649262919
2022-12-0128450.300632820636
2023-01-0127153.168267178575
2023-02-0125980.704986160745
2023-03-0121394.59706794147
2023-04-0129546.628237245623
2023-05-0126551.709491351092
2023-06-0121888.5060322966
2023-07-011238.410746529695
2023-08-0117048.291118547517
2023-09-0114339.82577665324
2023-10-0112481.206228429828
2023-11-014510.440720432569
2023-12-014666.658036310894
2024-01-014653.572516400282
2024-02-014648.357341919544
2024-03-014705.571993339617
2024-04-014630.779919901435
2024-05-014650.35585768771
2024-06-014674.376113872718
2024-07-014777.756479537429
2024-08-014806.420905697985
2024-09-014847.637914230975
2024-10-014798.360225433048
2024-11-014884.382054139974
2024-12-014841.490099058426
2025-01-014865.548422210445
2025-02-014902.397246278729
2025-03-014838.2448901205935
2025-04-014902.140294251393
2025-05-014909.553836077114
2025-06-014941.03521779661
2025-07-014943.34778604263
2025-08-014953.254714207683
2025-09-014996.59395615163
2025-10-015057.244151344597
2025-11-015039.209925722335
2025-12-015009.1370217823105
2026-01-015046.252314619684
2026-02-015118.103714856136
2026-03-014991.626216956474
2026-04-015020.557111886118
Annual Return Matrix
YearAnnual Return
202016.550617577444786
2021-0.9565790467343088
202257.346823115981955
2023-0.8359715738494735
20240.037464082730548576
20250.03462713323662281
20260.002279851809632527
Total Factor Risk
10.232101973747373
VTI.US Exposure
0.13082370784123715
VEA.US Exposure
0.04439270604848198
VWO.US Exposure
0.007575286983833504
QQQ.US Exposure
-0.009110657956166456
VTV.US Exposure
-0.004994184344949039
IJR.US Exposure
-0.003176927607738201
QUAL.US Exposure
0.012224213877686612
SHV.US Exposure
0.6566351485046837
TLT.US Exposure
0.003880345403486901
LQD.US Exposure
-0.0008756530566913323
HYG.US Exposure
-0.0017112484904990425
GLD.US Exposure
0.00020573168573083834
USO.US Exposure
0.008394292151601396
VNQ.US Exposure
-0.0005502023054680817
BTC-USD.CC Exposure
-0.0004951624993772595
CPER.US Exposure
0.002082486856171493
VIX.INDX Exposure
0.003497834833780822
UUP.US Exposure
0.003462241142452699
TIP.US Exposure
0.0005343071940840143
Idiosyncratic Exposure
0.14720573373765833
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
33
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
1023.2%

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 →2.75%
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
$0
Avg Yield on Cost
0.00%

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 →
+0.3%
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 →
1.9% 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 Global ex US Core Fixed Income ETF a high-risk investment?

Dimensional Global ex US Core Fixed Income ETF (DFGX.US) has an annualized volatility of 1023.2% and experienced a maximum drawdown of 96.5% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFGX.US has generated a Compound Annual Growth Rate (CAGR) of -9.6%. It has had a positive return in 71% 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.

Run a Full Backtest on Dimensional Global ex US Core Fixed Income ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest