Dimensional International Sustainability Core 1 ETF

10-Year Study

DFSI.US · · US · ETF

Executive Summary: Dimensional International Sustainability Core 1 ETF has compounded at 17.3% annually over the last 10 years, with a maximum drawdown of 11.0% and an annualized volatility of 15.0%.

1Y CAGR
+21.2%
3Y CAGR
+18.4%
5Y CAGR
+17.3%
10Y CAGR
+17.3%

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 →
11.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.99
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.79
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 →
2025 · +33.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · 5.0%
% 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.
20264.44.4-9.16.6————————5.5%
20254.22.2-0.05.25.53.1-1.84.22.00.41.82.933.6%
2024-0.82.93.1-3.64.8-1.93.53.61.5-5.20.4-2.85.0%
20239.0-3.12.62.6-4.14.12.7-3.7-4.1-3.69.66.117.9%
2022———————————-1.3-1.3%

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 15.0%. The dominant macroeconomic risk driver is VEA.US, accounting for 86.9% of variance. Idiosyncratic stock-specific factors contribute 0.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-11-0110000
2022-12-019874.9614137249
2023-01-0110761.283389037306
2023-02-0110427.250103849481
2023-03-0110699.316689469091
2023-04-0110973.479319662043
2023-05-0110521.305340340474
2023-06-0110948.403004584621
2023-07-0111243.22120130031
2023-08-0110826.146441106863
2023-09-0110380.260595505319
2023-10-0110004.230199048017
2023-11-0110969.592109726027
2023-12-0111639.602285069686
2024-01-0111540.78331091201
2024-02-0111878.703806035846
2024-03-0112249.132046997129
2024-04-0111806.752312318262
2024-05-0112376.45722735224
2024-06-0112141.662125236759
2024-07-0112565.558557768894
2024-08-0113018.913944031798
2024-09-0113212.474132904472
2024-10-0112519.2169177474
2024-11-0112574.704934088924
2024-12-0112219.596873463695
2025-01-0112733.280233537476
2025-02-0113015.636492517122
2025-03-0113010.377326133103
2025-04-0113685.341788650112
2025-05-0114438.583988506052
2025-06-0114889.119242070283
2025-07-0114617.090766352008
2025-08-0115226.468088674119
2025-09-0115525.973803253824
2025-10-0115586.6447661767
2025-11-0115865.304364727002
2025-12-0116328.187226323273
2026-01-0117038.9368861924
2026-02-0117782.079962194977
2026-03-0116158.59816538935
2026-04-0117221.864412593037
Annual Return Matrix
YearAnnual Return
20230.17869850801565312
20240.04982941634852778
20250.33622961505234805
20260.0547321741159994
Total Factor Risk
0.15020953604554343
VTI.US Exposure
0.26921994025214013
VEA.US Exposure
0.8689274036847268
VWO.US Exposure
-0.01495522982470638
QQQ.US Exposure
-0.11974338892156035
VTV.US Exposure
-0.11125124497406484
IJR.US Exposure
-0.02146632711366621
QUAL.US Exposure
0.010079094125277565
SHV.US Exposure
0.04319026652327006
TLT.US Exposure
-0.01566768789548036
LQD.US Exposure
0.03269835730870797
HYG.US Exposure
0.02821537293267795
GLD.US Exposure
-0.010920482434667724
USO.US Exposure
0.01347177196993366
VNQ.US Exposure
0.005287663076304377
BTC-USD.CC Exposure
0.0003209401068129871
CPER.US Exposure
0.005406896816759896
VIX.INDX Exposure
-0.007030875352604878
UUP.US Exposure
0.019491648130774315
TIP.US Exposure
0.001538574627868516
Idiosyncratic Exposure
0.003187306961496798
Value Score
44.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
24.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.0%

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 →14.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.05%
Market Cap$24.8B
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
$38
Avg Yield on Cost
0.38%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$38.110.38%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 →
+2.1%
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 →
+7.8%
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 →
3.2% 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 →
1.04
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional International Sustainability Core 1 ETF a high-risk investment?

Dimensional International Sustainability Core 1 ETF (DFSI.US) has an annualized volatility of 15.0% and experienced a maximum drawdown of 11.0% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, DFSI.US has generated a Compound Annual Growth Rate (CAGR) of 17.3%. 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.

Run a Full Backtest on Dimensional International Sustainability Core 1 ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest