Dimensional ETF Trust

10-Year Study

DFSD.US · · US · ETF

Executive Summary: Dimensional ETF Trust has compounded at 2.5% annually over the last 10 years, with a maximum drawdown of 7.4% and an annualized volatility of 8.4%.

1Y CAGR
+4.1%
3Y CAGR
+5.4%
5Y CAGR
+2.5%
10Y CAGR
+2.5%

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 →
7.4%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.70
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.91
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
2.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +6.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -5.9%
% 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.
20260.40.6-1.20.4————————0.3%
20250.60.90.30.70.40.80.11.00.30.40.40.36.6%
20240.2-0.00.5-0.20.80.51.10.80.7-0.50.7-0.14.6%
20231.2-0.30.80.3-0.10.20.50.4-0.10.11.61.46.1%
2022-1.2-0.8-2.0-1.30.8-1.11.5-1.6-1.2-0.51.50.1-5.9%
2021———————————-0.1-0.1%

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 8.4%. The dominant macroeconomic risk driver is SHV.US, accounting for 90.9% of variance. Idiosyncratic stock-specific factors contribute 0.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-019990.443318673571
2022-01-019865.765740689196
2022-02-019786.667965633062
2022-03-019590.802390098166
2022-04-019463.573270982946
2022-05-019539.029300970515
2022-06-019433.001169069756
2022-07-019575.307576685409
2022-08-019419.82593850322
2022-09-019305.632874983763
2022-10-019259.635547143203
2022-11-019394.588877136337
2022-12-019403.426487780438
2023-01-019513.421106348236
2023-02-019480.761379873446
2023-03-019555.591122492533
2023-04-019582.498283508694
2023-05-019571.201915047597
2023-06-019589.758577817365
2023-07-019636.962088737962
2023-08-019679.085713225333
2023-09-019670.596040008166
2023-10-019684.791887027037
2023-11-019841.920429030044
2023-12-019975.597988457755
2024-01-0110000.440720740784
2024-02-019995.80155504834
2024-03-0110046.762790179815
2024-04-0110022.476757779881
2024-05-0110106.352873499229
2024-06-0110152.23422219748
2024-07-0110267.81903542467
2024-08-0110351.90391360018
2024-09-0110423.555827719943
2024-10-0110372.80335504463
2024-11-0110442.877952828963
2024-12-0110434.597042067955
2025-01-0110499.151032678285
2025-02-0110598.034849412683
2025-03-0110631.135296628254
2025-04-0110705.222772736552
2025-05-0110746.186605800815
2025-06-0110836.557553489582
2025-07-0110850.335875596133
2025-08-0110960.12173170777
2025-09-0110998.32526118503
2025-10-0111042.977230974782
2025-11-0111089.206517099965
2025-12-0111122.399747629388
2026-01-0111171.110987400027
2026-02-0111240.698472786655
2026-03-0111106.162667705841
2026-04-0111152.554324630259
Annual Return Matrix
YearAnnual Return
2022-0.058757836080798764
20230.06084712858880148
20240.04601218434637033
20250.06591559815760006
20260.0027111574556828444
Total Factor Risk
0.0841404374040839
VTI.US Exposure
0.013608486286583588
VEA.US Exposure
0.017703455237827927
VWO.US Exposure
-0.0027084032658083144
QQQ.US Exposure
-0.007029140832586161
VTV.US Exposure
-0.004127751807365016
IJR.US Exposure
0.0009579451373158802
QUAL.US Exposure
-0.0027230912574542354
SHV.US Exposure
0.9092364299792252
TLT.US Exposure
-0.013968876262998323
LQD.US Exposure
0.0704028287542216
HYG.US Exposure
-0.0033192899317977123
GLD.US Exposure
0.001126024610974353
USO.US Exposure
0.003598350389758218
VNQ.US Exposure
-0.0019722382161532297
BTC-USD.CC Exposure
-0.0005864470575960154
CPER.US Exposure
-0.0009588878358797561
VIX.INDX Exposure
-0.0008687281430866127
UUP.US Exposure
-0.002656368766210702
TIP.US Exposure
0.016917392650879954
Idiosyncratic Exposure
0.007368310330149433
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
45.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
8.4%

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 →3.78%
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
$35
Avg Yield on Cost
0.35%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$34.560.35%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 →
-0.1%
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 →
+0.9%
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 →
0.8% 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 →
0.24
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional ETF Trust a high-risk investment?

Dimensional ETF Trust (DFSD.US) has an annualized volatility of 8.4% and experienced a maximum drawdown of 7.4% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, DFSD.US has generated a Compound Annual Growth Rate (CAGR) of 2.5%. 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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