WisdomTree Japan SmallCap Dividend Fund

10-Year Study

DFJ.US · · US · ETF

Executive Summary: WisdomTree Japan SmallCap Dividend Fund has compounded at 8.9% annually over the last 10 years, with a maximum drawdown of 27.7% and an annualized volatility of 27.8%.

1Y CAGR
+31.5%
3Y CAGR
+21.2%
5Y CAGR
+10.2%
10Y CAGR
+8.9%

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 →
27.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.41
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.57
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +32.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -18.5%
% 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.
20266.310.2-9.63.6————————9.8%
20251.11.43.04.32.42.61.57.21.7-3.54.62.131.9%
2024-0.21.62.6-3.81.6-0.35.9-0.21.6-6.22.9-2.32.8%
20235.8-2.74.00.2-3.74.05.2-0.1-1.4-1.04.55.821.8%
2022-2.62.1-7.2-6.31.1-3.45.3-3.5-5.6-0.610.91.7-9.0%
2021-0.51.14.5-2.3-0.10.11.31.51.3-3.1-6.94.00.4%
2020-5.6-11.2-5.84.97.9-1.4-3.27.55.2-2.82.95.01.3%
20195.61.0-0.80.3-5.63.6-0.1-1.65.95.21.51.217.0%
20184.2-2.2-0.70.1-1.6-3.10.4-1.92.0-9.22.0-9.3-18.5%
20174.13.7-0.21.62.51.93.01.52.33.62.32.032.1%
2016———0.03.5-1.56.6-1.04.72.7-1.80.914.5%

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 27.8%. The dominant macroeconomic risk driver is SHV.US, accounting for 65.2% of variance. Idiosyncratic stock-specific factors contribute 4.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110000
2016-05-0110352.279096368315
2016-06-0110194.269373748928
2016-07-0110864.489562482127
2016-08-0110758.295682013155
2016-09-0111262.77380611953
2016-10-0111561.292536459823
2016-11-0111354.349442379184
2016-12-0111452.422076065199
2017-01-0111918.490134400916
2017-02-0112356.831569917073
2017-03-0112334.641120960823
2017-04-0112530.694881326852
2017-05-0112846.965970832143
2017-06-0113085.090077209035
2017-07-0113478.890477552188
2017-08-0113684.209322276238
2017-09-0114001.853016871604
2017-10-0114500.200171575636
2017-11-0114830.540463254218
2017-12-0115133.016871604232
2018-01-0115763.340005719188
2018-02-0115410.557620817845
2018-03-0115302.350586216757
2018-04-0115317.403488704604
2018-05-0115072.805261652846
2018-06-0114604.4724049185
2018-07-0114663.26565627681
2018-08-0114381.744352301972
2018-09-0114674.65827852445
2018-10-0113318.341435516157
2018-11-0113589.613954818416
2018-12-0112329.104947097514
2019-01-0113024.14641120961
2019-02-0113160.102945381755
2019-03-0113058.621675722048
2019-04-0113098.83900486131
2019-05-0112363.557334858451
2019-06-0112811.049470975122
2019-07-0112803.294252216187
2019-08-0112597.883900486131
2019-09-0113338.12982556477
2019-10-0114032.462110380326
2019-11-0114247.755218758937
2019-12-0114422.464969974262
2020-01-0113616.860165856448
2020-02-0112097.775235916499
2020-03-0111396.053760366027
2020-04-0111950.769230769232
2020-05-0112895.533314269374
2020-06-0112715.539033457248
2020-07-0112311.169573920504
2020-08-0113229.922790963685
2020-09-0113917.986845867887
2020-10-0113530.11152416357
2020-11-0113916.133828996282
2020-12-0114608.018301401202
2021-01-0114542.201887331998
2021-02-0114705.244495281671
2021-03-0115362.882470689163
2021-04-0115007.354875607663
2021-05-0114995.275950814987
2021-06-0115011.88447240492
2021-07-0115209.104947097512
2021-08-0115434.806977409207
2021-09-0115628.824706891623
2021-10-0115146.765799256507
2021-11-0114099.285101515587
2021-12-0114663.906205318845
2022-01-0114286.142407778098
2022-02-0114591.9816985988
2022-03-0113547.772376322562
2022-04-0112690.626251072348
2022-05-0112834.52101801544
2022-06-0112404.392336288249
2022-07-0113064.958535887905
2022-08-0112602.82527881041
2022-09-0111898.724621103804
2022-10-0111823.460108664569
2022-11-0113115.607663711755
2022-12-0113343.574492422076
2023-01-0114118.93623105519
2023-02-0113743.391478410067
2023-03-0114290.80926508436
2023-04-0114325.032885330282
2023-05-0113792.645124392338
2023-06-0114341.68716042322
2023-07-0115084.495281670004
2023-08-0115066.102373462969
2023-09-0114847.675150128684
2023-10-0114706.388332856737
2023-11-0115367.572204746926
2023-12-0116254.114955676294
2024-01-0116223.734629682587
2024-02-0116478.101229625394
2024-03-0116907.841006577066
2024-04-0116269.488132685157
2024-05-0116533.806119531026
2024-06-0116484.96425507578
2024-07-0117456.67715184444
2024-08-0117421.17243351444
2024-09-0117706.262510723478
2024-10-0116609.207892479266
2024-11-0117093.80611953103
2024-12-0116708.676008006863
2025-01-0116884.346582785245
2025-02-0117116.362596511295
2025-03-0117631.409779811267
2025-04-0118386.068058335717
2025-05-0118821.13811838719
2025-06-0119309.25936517015
2025-07-0119600.68630254504
2025-08-0121021.652845295972
2025-09-0121388.733199885617
2025-10-0120639.428081212467
2025-11-0121593.503002573638
2025-12-0122039.46239633972
2026-01-0123423.505862167574
2026-02-0125823.277094652556
2026-03-0123348.01258221333
2026-04-0124196.740062911067
Annual Return Matrix
YearAnnual Return
20170.3213813437099242
2018-0.18528439823311194
20190.1697901049475261
20200.012865576849258265
20210.0038258374794259975
2022-0.09003956342941288
20230.2181229973203309
20240.02796590608409777
20250.3190430160820834
20260.0978824994810048
Total Factor Risk
0.27801033839921546
VTI.US Exposure
0.16597056245778632
VEA.US Exposure
0.2526727064791312
VWO.US Exposure
-0.017100007694596478
QQQ.US Exposure
-0.04321864851899848
VTV.US Exposure
-0.0379916895468146
IJR.US Exposure
0.004298706754329494
QUAL.US Exposure
-0.030815012150305136
SHV.US Exposure
0.6516844075039232
TLT.US Exposure
0.0019822591508187413
LQD.US Exposure
0.03830402380834433
HYG.US Exposure
-0.013562546945270332
GLD.US Exposure
0.0075080468169221055
USO.US Exposure
0.00007452430898804113
VNQ.US Exposure
-0.01378187368123791
BTC-USD.CC Exposure
-0.0014487654853884797
CPER.US Exposure
-0.011558107105679123
VIX.INDX Exposure
0.009199135720721069
UUP.US Exposure
-0.011144114345142434
TIP.US Exposure
0.0066899540818247715
Idiosyncratic Exposure
0.04223643839064349
Value Score
45.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
27.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
27.8%

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 →12.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.28%
Market Cap$1.2B
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 →
+10.4%
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 →
6.3% 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 →
0.77
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is WisdomTree Japan SmallCap Dividend Fund a high-risk investment?

WisdomTree Japan SmallCap Dividend Fund (DFJ.US) has an annualized volatility of 27.8% and experienced a maximum drawdown of 27.7% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFJ.US has generated a Compound Annual Growth Rate (CAGR) of 8.9%. 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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