Dimensional ETF Trust - Dimensional US Large Cap Value ETF

10-Year Study

DFLV.US · · US · ETF

Executive Summary: Dimensional ETF Trust - Dimensional US Large Cap Value ETF has compounded at 15.0% annually over the last 10 years, with a maximum drawdown of 10.0% and an annualized volatility of 12.6%.

1Y CAGR
+28.4%
3Y CAGR
+18.5%
5Y CAGR
+15.0%
10Y CAGR
+15.0%

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 →
10.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.85
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.74
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +15.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 8.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.93.7-4.03.8————————8.4%
20254.30.3-2.3-4.92.74.40.94.31.3-0.22.62.015.9%
20240.83.76.4-4.32.5-1.34.91.30.7-0.56.4-7.512.9%
20236.4-3.3-2.41.1-4.67.64.1-2.8-3.0-4.17.66.212.3%

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 12.6%. The dominant macroeconomic risk driver is VTV.US, accounting for 69.7% of variance. Idiosyncratic stock-specific factors contribute 2.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-12-0110000
2023-01-0110644.07099941163
2023-02-0110297.577379137372
2023-03-0110051.707773774195
2023-04-0110158.473160487358
2023-05-019696.152409092667
2023-06-0110432.129252255772
2023-07-0110863.356624736416
2023-08-0110557.36170103115
2023-09-0110239.041087065754
2023-10-019822.200844331255
2023-11-0110573.337857047762
2023-12-0111230.67937315061
2024-01-0111317.904031402595
2024-02-0111741.358059154725
2024-03-0112491.807925375892
2024-04-0111950.336487049435
2024-05-0112250.232985608576
2024-06-0112093.778317951272
2024-07-0112687.773516515135
2024-08-0112855.093688129973
2024-09-0112944.981039051394
2024-10-0112881.935348104118
2024-11-0113701.271650482933
2024-12-0112677.122745837394
2025-01-0113225.938062332776
2025-02-0113259.694133916262
2025-03-0112958.294502398569
2025-04-0112326.720979870903
2025-05-0112657.324337440465
2025-06-0113211.078519371089
2025-07-0113326.04671737235
2025-08-0113896.764828406634
2025-09-0114074.091570859833
2025-10-0114039.863086060805
2025-11-0114407.74414100246
2025-12-0114692.051003448616
2026-01-0115413.554823553663
2026-02-0115976.156016611767
2026-03-0115336.250842828123
2026-04-0115924.620029461405
Annual Return Matrix
YearAnnual Return
20230.12306793731506094
20240.12879393353039914
20250.15894207999783183
20260.08389359836305177
Total Factor Risk
0.12571554818702368
VTI.US Exposure
0.11103705830247784
VEA.US Exposure
0.12272107298007416
VWO.US Exposure
-0.04493109363679731
QQQ.US Exposure
-0.05430213781933364
VTV.US Exposure
0.6968756205933362
IJR.US Exposure
0.14665204554142497
QUAL.US Exposure
-0.027768278403213966
SHV.US Exposure
0.03622743238247262
TLT.US Exposure
0.01753891756327534
LQD.US Exposure
0.003981115029966779
HYG.US Exposure
-0.012730170595014856
GLD.US Exposure
-0.00040973108126920066
USO.US Exposure
0.007085230594585108
VNQ.US Exposure
-0.005230566048483273
BTC-USD.CC Exposure
0.007461212767150379
CPER.US Exposure
0.021804903217274168
VIX.INDX Exposure
-0.015114342575268275
UUP.US Exposure
-0.018797676785498478
TIP.US Exposure
-0.012515888656997686
Idiosyncratic Exposure
0.02041527662983917
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
12.6%

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
$56
Avg Yield on Cost
0.56%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$56.260.56%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 →
+2.0%
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 →
+9.8%
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 →
0.4% 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 →
0.84
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust - Dimensional US Large Cap Value ETF a high-risk investment?

Dimensional ETF Trust - Dimensional US Large Cap Value ETF (DFLV.US) has an annualized volatility of 12.6% and experienced a maximum drawdown of 10.0% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, DFLV.US has generated a Compound Annual Growth Rate (CAGR) of 15.0%. It has had a positive return in 100% 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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