Dimensional International Value ETF

10-Year Study

DFIV.US · · US · ETF

Executive Summary: Dimensional International Value ETF has compounded at 31.4% annually over the last 10 years, with a maximum drawdown of 27.1% and an annualized volatility of 117.1%.

1Y CAGR
+38.4%
3Y CAGR
+25.9%
5Y CAGR
+47.4%
10Y CAGR
+31.4%

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 →
27.1%
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 →
4.57
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
104.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +201.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -8.3%
% 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.
20266.06.0-5.84.8————————10.9%
20254.84.02.22.15.33.10.35.81.90.54.24.145.4%
2024-1.32.65.9-1.65.0-3.53.71.90.9-3.90.4-2.57.3%
20239.0-1.7-0.63.4-5.66.34.8-3.2-1.2-4.56.64.517.7%
20223.4-2.00.9-5.54.8-10.92.8-3.7-9.57.811.8-1.1-3.7%
20215.8-1.2-3.2-6.6-7.24.4-8.6-1.8260.13.4-6.45.4201.9%
2020-15.7-5.810.13.114.6-12.15.8-5.71.4-7.2-0.17.6-8.3%
2019———————————6.56.5%

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 117.1%. The dominant macroeconomic risk driver is SHV.US, accounting for 43.4% of variance. Idiosyncratic stock-specific factors contribute 13.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-11-0110000
2019-12-0110647.181514088397
2020-01-018977.03596029131
2020-02-018455.115288076344
2020-03-019311.064871953793
2020-04-019603.340169658462
2020-05-0111002.087730472125
2020-06-019665.97108833752
2020-07-0110229.645374510297
2020-08-019645.093783616274
2020-09-019780.793277850327
2020-10-019081.419497443496
2020-11-019070.980845082873
2020-12-019759.916968613763
2021-01-0110323.59125478654
2021-02-0110198.330412913108
2021-03-019874.73915812657
2021-04-019227.557644038172
2021-05-018559.49882522853
2021-06-018935.2823463335
2021-07-018162.839492629332
2021-08-018016.701346034656
2021-09-0128871.92089799089
2021-10-0129867.32800403928
2021-11-0127941.649491834934
2021-12-0129462.526330669352
2022-01-0130458.872893927724
2022-02-0129839.457440143004
2022-03-0130112.630719980312
2022-04-0128448.747616959
2022-05-0129806.889590196784
2022-06-0126570.250733522887
2022-07-0127324.426104873517
2022-08-0126312.73507385202
2022-09-0123807.724615489064
2022-10-0125656.158868205595
2022-11-0128687.57851656457
2022-12-0128373.486656025598
2023-01-0130940.188137844365
2023-02-0130408.14220458843
2023-03-0130219.311305381052
2023-04-0131241.231981577956
2023-05-0129487.891675338997
2023-06-0131354.48876744861
2023-07-0132853.02740151222
2023-08-0131793.52843691584
2023-09-0131404.07123130903
2023-10-0129988.83113653092
2023-11-0131962.4219664446
2023-12-0133408.45538088339
2024-01-0132961.16936479516
2024-02-0133826.51383932758
2024-03-0135817.84997209656
2024-04-0135252.50549995331
2024-05-0137016.5973720399
2024-06-0135725.36562898007
2024-07-0137037.4741989285
2024-08-0137743.21533189758
2024-09-0138089.457505844985
2024-10-0136589.14434149584
2024-11-0136739.14434269042
2024-12-0135833.40320812858
2025-01-0137550.41783558137
2025-02-0139045.09425667059
2025-03-0139892.797812482146
2025-04-0140713.67464574185
2025-05-0142852.2967922099
2025-06-0144179.749829921435
2025-07-0144324.217471990545
2025-08-0146903.0275134047
2025-09-0147780.89808407027
2025-10-0147998.43462024947
2025-11-0150018.68515825917
2025-12-0152087.683087053745
2026-01-0155219.20712034355
2026-02-0158507.30735529783
2026-03-0155093.94615901195
2026-04-0157745.303173863984
Annual Return Matrix
YearAnnual Return
2020-0.08333327879313446
20212.018727149566522
2022-0.036963553716373054
20230.17745329595538184
20240.07258485313369989
20250.4536069260437421
20260.108617234468938
Total Factor Risk
1.1713070438158246
VTI.US Exposure
0.2880737640397291
VEA.US Exposure
0.052899677779322786
VWO.US Exposure
-0.003934900270554624
QQQ.US Exposure
0.006281804686769899
VTV.US Exposure
0.011256601882428788
IJR.US Exposure
-0.0016829970878053007
QUAL.US Exposure
0.025567002453223506
SHV.US Exposure
0.4337610750968774
TLT.US Exposure
-0.000386544946372332
LQD.US Exposure
0.04988092277919994
HYG.US Exposure
-0.0012022177207087615
GLD.US Exposure
0.004208379165703499
USO.US Exposure
0.0005201864802842605
VNQ.US Exposure
0.00019487083209422356
BTC-USD.CC Exposure
0.0009603924105423933
CPER.US Exposure
0.005604505144873083
VIX.INDX Exposure
-0.005193990668956805
UUP.US Exposure
0.0009175680384576872
TIP.US Exposure
-0.000003359657968959639
Idiosyncratic Exposure
0.13227725956286043
Value Score
45.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
31.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
117.1%

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 →12.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.60%
Market Cap$43.6B
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
$105
Avg Yield on Cost
1.05%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$105.431.05%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 →
+4.8%
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 →
+16.2%
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 →
1.6% 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 →
0.96
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional International Value ETF a high-risk investment?

Dimensional International Value ETF (DFIV.US) has an annualized volatility of 117.1% and experienced a maximum drawdown of 27.1% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFIV.US has generated a Compound Annual Growth Rate (CAGR) of 31.4%. 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.

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