Dimensional International Core Equity 2 ETF

10-Year Study

DFIC.US · · US · ETF

Executive Summary: Dimensional International Core Equity 2 ETF has compounded at 31.9% annually over the last 10 years, with a maximum drawdown of 79.4% and an annualized volatility of 165.5%.

1Y CAGR
+29.3%
3Y CAGR
+20.8%
5Y CAGR
+26.5%
10Y CAGR
+31.9%

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 →
79.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.74
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
8.07
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
310.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +372.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · -55.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.36.1-7.85.8————————9.1%
20253.72.61.34.05.53.5-0.94.72.10.42.52.837.1%
2024-1.32.43.8-2.75.1-2.53.32.61.4-5.00.4-3.04.1%
20239.2-2.91.82.4-4.84.63.7-3.4-3.3-3.48.05.517.3%
2022-10.6-29.5724.1-6.32.4-9.55.0-5.5-9.86.112.2-1.5372.9%
202119.45.8-10.018.6-11.07.0-8.7-7.0-10.5-19.0-12.1-36.4-55.8%
2020——————————-2.222.519.8%

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 165.5%. The dominant macroeconomic risk driver is TIP.US, accounting for 28.5% of variance. Idiosyncratic stock-specific factors contribute 18.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-10-0110000
2020-11-019777.453945750854
2020-12-0111976.16451955595
2021-01-0114296.48568154722
2021-02-0115130.732136147077
2021-03-0113622.7657136495
2021-04-0116156.512541693535
2021-05-0114377.977695408723
2021-06-0115379.303306256697
2021-07-0114037.140299033683
2021-08-0113061.352702947193
2021-09-0111692.813171213716
2021-10-019468.612712874778
2021-11-018322.42555471537
2021-12-015292.472896303134
2022-01-014729.575966895682
2022-02-013333.819951197109
2022-03-0127475.253768538838
2022-04-0125747.903563260516
2022-05-0126372.249941315917
2022-06-0123855.041978836616
2022-07-0125052.293652376822
2022-08-0123666.66789632633
2022-09-0121336.496304990236
2022-10-0122639.427176530073
2022-11-0125412.259620246703
2022-12-0125029.91738950923
2023-01-0127336.983057232057
2023-02-0126541.896064687026
2023-03-0127008.02767105367
2023-04-0127659.006666326466
2023-05-0126317.890215762593
2023-06-0127533.869848441977
2023-07-0128554.908451899923
2023-08-0127590.54016635662
2023-09-0126685.03118096502
2023-10-0125776.481942466406
2023-11-0127839.232870509968
2023-12-0129364.223828985763
2024-01-0128984.678631106737
2024-02-0129669.100410556635
2024-03-0130809.43854593363
2024-04-0129968.747756783465
2024-05-0131488.99592041232
2024-06-0130702.543246691195
2024-07-0131724.43312101911
2024-08-0132547.733662397186
2024-09-0133017.7567927408
2024-10-0131375.168844085896
2024-11-0131504.197185947363
2024-12-0130567.556008739986
2025-01-0131691.111946966284
2025-02-0132513.196387101565
2025-03-0132942.8449561841
2025-04-0134247.721589712426
2025-05-0136134.016227425185
2025-06-0137393.04584409981
2025-07-0137038.187501449705
2025-08-0138770.15889145068
2025-09-0139598.93188842137
2025-10-0139767.96996117108
2025-11-0140746.20180088235
2025-12-0141906.84882701416
2026-01-0144132.31410134486
2026-02-0146838.13936658301
2026-03-0143208.07715681408
2026-04-0145725.406729417664
Annual Return Matrix
YearAnnual Return
2021-0.5580828162755259
20223.729342573864285
20230.17316503175089037
20240.040979533011405556
20250.37095843760070335
20260.09112013929193274
Total Factor Risk
1.6545453024218126
VTI.US Exposure
-0.048048344695170775
VEA.US Exposure
0.008862176903290293
VWO.US Exposure
0.003972189015102669
QQQ.US Exposure
0.08401027638823913
VTV.US Exposure
0.04073107739553653
IJR.US Exposure
-0.018385190276065402
QUAL.US Exposure
0.025116779831306328
SHV.US Exposure
0.28265847964755986
TLT.US Exposure
0.0023702408991051263
LQD.US Exposure
0.11076862233050072
HYG.US Exposure
-0.003713620802573673
GLD.US Exposure
0.002559551212404148
USO.US Exposure
-0.0015837584714312888
VNQ.US Exposure
0.04069751303014278
BTC-USD.CC Exposure
0.008849543468853933
CPER.US Exposure
0.003152427101204732
VIX.INDX Exposure
-0.008011628826476987
UUP.US Exposure
0.0006061090488302023
TIP.US Exposure
0.2853066981823789
Idiosyncratic Exposure
0.18008085861726283
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
165.5%

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
$86
Avg Yield on Cost
0.86%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$86.340.86%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 →
+4.6%
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 →
+12.6%
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 →
2.4% 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 →
1.02
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional International Core Equity 2 ETF a high-risk investment?

Dimensional International Core Equity 2 ETF (DFIC.US) has an annualized volatility of 165.5% and experienced a maximum drawdown of 79.4% over the last 10 years. Its primary macro risk driver is TIP.US.

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

Over the past 10 years, DFIC.US has generated a Compound Annual Growth Rate (CAGR) of 31.9%. It has had a positive return in 83% 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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