Dimensional U.S. Equity ETF

10-Year Study

DFUS.US · · US · ETF

Executive Summary: Dimensional U.S. Equity ETF has compounded at 11.8% annually over the last 10 years, with a maximum drawdown of 24.2% and an annualized volatility of 12.5%.

1Y CAGR
+22.5%
3Y CAGR
+21.0%
5Y CAGR
+11.8%
10Y CAGR
+11.8%

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 →
24.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.55
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.95
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +26.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -18.3%
% 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.
20261.5-0.7-5.27.8————————3.1%
20253.1-1.9-5.9-0.96.65.12.32.43.52.30.20.117.5%
20241.35.43.2-4.14.73.11.82.02.1-0.86.7-2.924.3%
20236.3-2.23.01.20.56.93.6-1.8-4.7-2.69.35.126.4%
2022-5.6-2.63.4-9.10.2-8.49.3-3.8-9.08.45.2-5.6-18.3%
2021——————2.22.9-4.56.7-0.94.110.4%

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 12.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 96.1% of variance. Idiosyncratic stock-specific factors contribute 0.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-06-0110000
2021-07-0110215.382889200562
2021-08-0110510.361851332396
2021-09-0110035.568022440391
2021-10-0110710.148667601683
2021-11-0110612.263674614307
2021-12-0111044.353436185133
2022-01-0110424.841514726508
2022-02-0110149.273492286115
2022-03-0110496.13464235624
2022-04-019539.029453015428
2022-05-019558.305750350632
2022-06-018758.552594670406
2022-07-019573.138849929874
2022-08-019207.764375876579
2022-09-018375.023842917251
2022-10-019082.636746143056
2022-11-019550.810659186536
2022-12-019018.704067321178
2023-01-019590.911640953716
2023-02-019378.490883590464
2023-03-019660.14025245442
2023-04-019775.371669004207
2023-05-019825.391304347826
2023-06-0110506.232819074332
2023-07-0110879.28190743338
2023-08-0110687.304347826088
2023-09-0110188.723702664796
2023-10-019923.882187938289
2023-11-0110845.352033660589
2023-12-0111396.039270687237
2024-01-0111541.138849929874
2024-02-0112167.786816269287
2024-03-0112554.883590462832
2024-04-0112045.91304347826
2024-05-0112607.775596072932
2024-06-0113002.322580645163
2024-07-0113229.890603085554
2024-08-0113499.444600280505
2024-09-0113777.548387096775
2024-10-0113666.782608695652
2024-11-0114586.030855539972
2024-12-0114169.873772791025
2025-01-0114605.531556802243
2025-02-0114321.009817671807
2025-03-0113472.830294530153
2025-04-0113356.992987377278
2025-05-0114239.14726507714
2025-06-0114970.793828892007
2025-07-0115312.561009817671
2025-08-0115676.656381486675
2025-09-0116221.35203366059
2025-10-0116599.80925666199
2025-11-0116628.914446002804
2025-12-0116644.039270687237
2026-01-0116897.615708274894
2026-02-0116785.41374474053
2026-03-0115912.482468443197
2026-04-0117153.43618513324
Annual Return Matrix
YearAnnual Return
2022-0.1834104079128096
20230.2636005334713458
20240.24340338219425162
20250.1746074479962625
20260.030605366050963978
Total Factor Risk
0.1252855325552738
VTI.US Exposure
0.9611439089616187
VEA.US Exposure
-0.004540772268395406
VWO.US Exposure
0.0009374531646331961
QQQ.US Exposure
0.01792371367185662
VTV.US Exposure
0.04110670320860692
IJR.US Exposure
-0.019483508219056263
QUAL.US Exposure
0.01611731006473955
SHV.US Exposure
0.00937862779245572
TLT.US Exposure
0.0004631045137904905
LQD.US Exposure
0.0013226807690104273
HYG.US Exposure
-0.0023135847398476927
GLD.US Exposure
0.0005601439252756077
USO.US Exposure
0.000075693687056151
VNQ.US Exposure
-0.027365264088475463
BTC-USD.CC Exposure
-0.0006901658923215349
CPER.US Exposure
-0.0008667225420725111
VIX.INDX Exposure
0.005629534442243363
UUP.US Exposure
-0.0006766350925752775
TIP.US Exposure
0.000539785573231953
Idiosyncratic Exposure
0.0007379930682255603
Value Score
42
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
10.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.5%

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 →20.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.87%
Market Cap$287.3B
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$37.920.38%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 →
+4.0%
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 →
+5.7%
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 →
0.0% 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 U.S. Equity ETF a high-risk investment?

Dimensional U.S. Equity ETF (DFUS.US) has an annualized volatility of 12.5% and experienced a maximum drawdown of 24.2% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, DFUS.US has generated a Compound Annual Growth Rate (CAGR) of 11.8%. 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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