Dimensional ETF Trust - Dimensional Global Sustainability Fixed Income ETF

10-Year Study

DFSB.US · · US · ETF

Executive Summary: Dimensional ETF Trust - Dimensional Global Sustainability Fixed Income ETF has compounded at 13.8% annually over the last 10 years, with a maximum drawdown of 8.0% and an annualized volatility of 35.4%.

1Y CAGR
+4.2%
3Y CAGR
+4.7%
5Y CAGR
+14.9%
10Y CAGR
+13.8%

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 →
8.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
3.22
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
30.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +62.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.4%
% 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.
20260.61.4-2.10.5————————0.4%
20250.51.4-0.60.5-0.11.4-0.10.51.20.90.1-0.55.2%
2024-0.1-1.21.6-2.31.40.52.01.31.3-1.81.3-1.42.5%
20233.6-2.63.00.4-0.80.00.2-0.1-2.1-1.14.93.99.4%
2022-0.4-0.21.3-3.90.6-3.84.0-1.4-3.53.672.1-1.762.5%
2021-0.20.60.51.20.40.60.50.6-0.61.4-0.41.05.6%
2020——————1.61.3-0.3-0.62.40.44.9%

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 35.4%. The dominant macroeconomic risk driver is LQD.US, accounting for 54.5% of variance. Idiosyncratic stock-specific factors contribute 18.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-06-0110000
2020-07-0110161.772524336153
2020-08-0110293.26203791451
2020-09-0110261.784384869708
2020-10-0110203.21177626833
2020-11-0110443.878321076276
2020-12-0110486.430230040476
2021-01-0110465.142953785067
2021-02-0110524.501840022407
2021-03-0110578.129566529902
2021-04-0110702.987644197423
2021-05-0110745.971342171239
2021-06-0110809.424025474458
2021-07-0110866.735622772881
2021-08-0110928.141017137183
2021-09-0110858.54802864112
2021-10-0111005.921599765008
2021-11-0110962.527975516236
2021-12-0111071.42079119519
2022-01-0111022.296007216577
2022-02-0110996.505788432287
2022-03-0111141.013779691253
2022-04-0110705.44329778739
2022-05-0110770.124198291569
2022-06-0110361.163006909952
2022-07-0110779.130083349333
2022-08-0110623.160553442634
2022-09-0110254.317480169915
2022-10-0110625.2070615696
2022-11-0118289.520413274397
2022-12-0117986.87292324517
2023-01-0118628.397178114374
2023-02-0118144.439565896664
2023-03-0118688.779302798954
2023-04-0118754.728864064622
2023-05-0118595.52474006575
2023-06-0118602.15653952263
2023-07-0118641.087658556557
2023-08-0118621.43788238801
2023-09-0118233.436677126683
2023-10-0118035.05581189178
2023-11-0118927.319398078314
2023-12-0119671.923103764988
2024-01-0119646.910576183785
2024-02-0119413.078239778137
2024-03-0119714.702303965252
2024-04-0119252.97350103821
2024-05-0119518.654849650364
2024-06-0119618.172778537293
2024-07-0120002.366839665963
2024-08-0120264.977910751786
2024-09-0120531.396125970266
2024-10-0120164.845926359594
2024-11-0120432.08288225176
2024-12-0120154.120423534267
2025-01-0120245.123449414827
2025-02-0120535.326081203977
2025-03-0120410.30438033163
2025-04-0120511.746349801724
2025-05-0120501.430217313242
2025-06-0120778.86049459284
2025-07-0120755.076078022164
2025-08-0120860.52987679334
2025-09-0121111.76045251488
2025-10-0121293.93025241074
2025-11-0121319.188402194053
2025-12-0121205.38344855125
2026-01-0121324.51021657303
2026-02-0121625.80678449067
2026-03-0121182.049339351106
2026-04-0121287.25751592017
Annual Return Matrix
YearAnnual Return
20210.055785481648358504
20220.6246219218358728
20230.09368221967822765
20240.024511956315902417
20250.052161195970100716
20260.0038610038610038533
Total Factor Risk
0.35352685745982737
VTI.US Exposure
-0.004950392703028446
VEA.US Exposure
0.015788058562370533
VWO.US Exposure
-0.0029838019215173207
QQQ.US Exposure
-0.014001113237611247
VTV.US Exposure
-0.01111468703748618
IJR.US Exposure
0.010476391757764011
QUAL.US Exposure
0.10025465146784979
SHV.US Exposure
0.055976146901051564
TLT.US Exposure
-0.029233309630427924
LQD.US Exposure
0.5447156871430295
HYG.US Exposure
0.1063576682983198
GLD.US Exposure
-0.0009177685116278108
USO.US Exposure
-0.001904440949837627
VNQ.US Exposure
0.01108936912576147
BTC-USD.CC Exposure
0.001941391054955588
CPER.US Exposure
0.005164218227929167
VIX.INDX Exposure
-0.0035246382497025174
UUP.US Exposure
0.009791756262164547
TIP.US Exposure
0.02347111212475062
Idiosyncratic Exposure
0.18360370131529236
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
40.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
35.4%

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 →3.35%
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
$126
Avg Yield on Cost
1.26%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$125.721.26%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 →
-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 →
+0.7%
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 →
0.87
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust - Dimensional Global Sustainability Fixed Income ETF a high-risk investment?

Dimensional ETF Trust - Dimensional Global Sustainability Fixed Income ETF (DFSB.US) has an annualized volatility of 35.4% and experienced a maximum drawdown of 8.0% over the last 10 years. Its primary macro risk driver is LQD.US.

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

Over the past 10 years, DFSB.US has generated a Compound Annual Growth Rate (CAGR) of 13.8%. 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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