Dimensional US Sustainability Core 1 ETF

10-Year Study

DFSU.US · · US · ETF

Executive Summary: Dimensional US Sustainability Core 1 ETF has compounded at 17.3% annually over the last 10 years, with a maximum drawdown of 10.0% and an annualized volatility of 14.3%.

1Y CAGR
+20.3%
3Y CAGR
+19.9%
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 →
10.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.98
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.03
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +26.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 1.7%
% 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.
20261.4-0.9-5.97.5————————1.7%
20253.4-2.4-6.2-1.16.14.82.33.03.01.50.60.415.7%
20241.05.83.6-5.24.62.43.01.91.8-0.77.2-3.923.0%
20237.9-1.91.00.60.17.44.1-2.2-4.7-3.29.36.426.3%
2022———————————-5.5-5.5%

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 14.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 89.2% of variance. Idiosyncratic stock-specific factors contribute 0.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-11-0110000
2022-12-019448.789368002439
2023-01-0110199.662476267864
2023-02-0110006.328569977577
2023-03-0110104.694861357439
2023-04-0110161.65199115563
2023-05-0110169.230649030013
2023-06-0110919.674039580908
2023-07-0111366.658593182332
2023-08-0111115.586252158357
2023-09-0110591.721292903409
2023-10-0110257.674367728981
2023-11-0111208.249017509044
2023-12-0111930.99514809635
2024-01-0112050.183216007375
2024-02-0112754.998398324884
2024-03-0113209.366283566815
2024-04-0112522.208592791681
2024-05-0113101.858724441565
2024-06-0113414.302568149324
2024-07-0113818.354415544845
2024-08-0114087.709292059599
2024-09-0114342.063113812688
2024-10-0114237.915165910104
2024-11-0115260.174543522591
2024-12-0114670.133056230516
2025-01-0115173.332499941404
2025-02-0114812.604011219539
2025-03-0113891.5626880015
2025-04-0113732.528068379808
2025-05-0114570.438546460298
2025-06-0115265.60461282434
2025-07-0115615.629223929807
2025-08-0116082.380792399466
2025-09-0116557.531388925785
2025-10-0116805.830097428727
2025-11-0116905.25115047152
2025-12-0116966.036674453673
2026-01-0117208.24120445969
2026-02-0117059.793266714067
2026-03-0116051.909899914841
2026-04-0117262.93254994492
Annual Return Matrix
YearAnnual Return
20230.2627009327247469
20240.2295816798292143
20250.15650189466059872
20260.017499424361040683
Total Factor Risk
0.1426096238343745
VTI.US Exposure
0.8919403316143222
VEA.US Exposure
0.0053786528632084486
VWO.US Exposure
-0.003437882810716991
QQQ.US Exposure
-0.1171144987056064
VTV.US Exposure
-0.050650319272547005
IJR.US Exposure
0.09865729044991162
QUAL.US Exposure
0.10340359152577341
SHV.US Exposure
0.10033431699768022
TLT.US Exposure
-0.003951923823870841
LQD.US Exposure
0.010956798520120622
HYG.US Exposure
-0.0011709898209881836
GLD.US Exposure
-0.001658611573094895
USO.US Exposure
0.003292508546338111
VNQ.US Exposure
-0.01676159424518023
BTC-USD.CC Exposure
-0.007672903705180523
CPER.US Exposure
0.002362153597882934
VIX.INDX Exposure
-0.014270094387441912
UUP.US Exposure
-0.00013684286637289533
TIP.US Exposure
-0.003340400595427944
Idiosyncratic Exposure
0.0038404176911903606
Value Score
42.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
10.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.3%

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 →17.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.85%
Market Cap$156.2B
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
$38
Avg Yield on Cost
0.38%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$37.50.38%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 →
+3.4%
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 →
+4.5%
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 →
0.7% 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 →
1.09
Market sensitivity coefficient

Frequently Asked Questions & Methodology

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

Dimensional US Sustainability Core 1 ETF (DFSU.US) has an annualized volatility of 14.3% and experienced a maximum drawdown of 10.0% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DFSU.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.

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