Dimensional ETF Trust

10-Year Study

DFIP.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 0.3% annually over the last 10 years, with a maximum drawdown of 14.3% and an annualized volatility of 7.6%.

1Y CAGR
+4.8%
3Y CAGR
+4.1%
5Y CAGR
+0.3%
10Y CAGR
+0.3%

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 →
14.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.56
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.76
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
7.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +7.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.4%
% 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.
20260.61.2-1.40.8————————1.2%
20251.42.20.80.3-0.41.00.21.80.20.20.3-0.77.5%
20240.5-1.30.8-1.71.80.82.10.71.5-2.20.5-1.61.7%
20232.2-1.83.60.1-1.5-0.60.4-1.0-2.1-0.72.82.74.1%
2022-2.21.0-2.1-2.6-0.7-3.35.4-2.9-7.41.32.0-1.0-12.4%
2021———————————0.50.5%

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 7.6%. The dominant macroeconomic risk driver is TIP.US, accounting for 97.3% of variance. Idiosyncratic stock-specific factors contribute 0.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-0110046.835018702655
2022-01-019824.18780311928
2022-02-019923.067090802537
2022-03-019717.904627309495
2022-04-019469.235277235817
2022-05-019398.813930885788
2022-06-019089.731747727585
2022-07-019577.881909190226
2022-08-019304.540970994605
2022-09-018612.651243105582
2022-10-018722.672538327783
2022-11-018894.095459511344
2022-12-018802.113605066479
2023-01-018996.712866607017
2023-02-018836.33548536466
2023-03-019158.82666460869
2023-04-019166.568189327307
2023-05-019027.437796487133
2023-06-018970.787199714456
2023-07-019009.615407804711
2023-08-018923.445726123666
2023-09-018735.98506681587
2023-10-018674.48697325677
2023-11-018920.38287989543
2023-12-019160.249561675353
2024-01-019202.405901887629
2024-02-019082.593145494842
2024-03-019153.59329743131
2024-04-018996.206411718884
2024-05-019158.079040726208
2024-06-019232.479675483002
2024-07-019423.196116214514
2024-08-019492.315149995056
2024-09-019636.558325515438
2024-10-019427.416573615628
2024-11-019473.359267039192
2024-12-019318.359954370826
2025-01-019448.856497213294
2025-02-019654.790701488253
2025-03-019734.907041411127
2025-04-019759.964499924032
2025-05-019718.386965298192
2025-06-019819.919111919296
2025-07-019839.791437053687
2025-08-0110019.293519547951
2025-09-0110037.067674431504
2025-10-0110061.908080849493
2025-11-0110093.356517712655
2025-12-0110021.77756018975
2026-01-0110083.275653748851
2026-02-0110208.683530810546
2026-03-0110061.570444257404
2026-04-0110143.567902336203
Annual Return Matrix
YearAnnual Return
2022-0.12389189344893892
20230.04068749537642091
20240.017260489643969423
20250.07548727557889445
20260.012152568884610915
Total Factor Risk
0.07556471385657744
VTI.US Exposure
0.011153907155900554
VEA.US Exposure
0.0049605492271528814
VWO.US Exposure
-0.0027148105301594756
QQQ.US Exposure
-0.0009248875366374812
VTV.US Exposure
0.000012992207887682734
IJR.US Exposure
0.0023015809281982736
QUAL.US Exposure
-0.010810182774390635
SHV.US Exposure
0.022583398357466054
TLT.US Exposure
-0.02320390821383331
LQD.US Exposure
0.03376354249866141
HYG.US Exposure
-0.002313977574009578
GLD.US Exposure
-0.00010545117251196393
USO.US Exposure
0.0003794670068108114
VNQ.US Exposure
-0.010734260645905623
BTC-USD.CC Exposure
0.0003729251369373878
CPER.US Exposure
-0.0031019639745992183
VIX.INDX Exposure
-0.001277513350256241
UUP.US Exposure
0.0007055927574004547
TIP.US Exposure
0.9727204266509645
Idiosyncratic Exposure
0.0062325738449233925
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
7.6%

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
$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 →
+0.2%
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 →
+1.1%
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 →
0.6% 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 →
0.79
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFIP.US) has an annualized volatility of 7.6% and experienced a maximum drawdown of 14.3% over the last 10 years. Its primary macro risk driver is TIP.US.

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

Over the past 10 years, DFIP.US has generated a Compound Annual Growth Rate (CAGR) of 0.3%. 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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