Dimensional Global Credit ETF

10-Year Study

DGCB.US · · US · ETF

Executive Summary: Dimensional Global Credit ETF has compounded at 6.2% annually over the last 10 years, with a maximum drawdown of 2.0% and an annualized volatility of 5.7%.

1Y CAGR
+5.6%
3Y CAGR
+6.2%
5Y CAGR
+6.2%
10Y CAGR
+6.2%

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 →
2.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.39
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
4.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +6.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.7%
% 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.
20260.71.1-2.00.8————————0.7%
20250.61.7-0.6-0.00.51.50.20.71.30.50.4-0.36.7%
20240.2-1.01.3-1.81.60.72.11.21.5-1.91.8-1.63.8%
2023———————————3.73.7%

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 5.7%. The dominant macroeconomic risk driver is LQD.US, accounting for 83.6% of variance. Idiosyncratic stock-specific factors contribute 1.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-11-0110000
2023-12-0110365.568458635717
2024-01-0110384.722019399067
2024-02-0110276.192229791935
2024-03-0110409.949692802284
2024-04-0110222.646916276717
2024-05-0110385.65324224281
2024-06-0110458.944712876484
2024-07-0110673.930204847862
2024-08-0110799.708781219777
2024-09-0110959.582812166005
2024-10-0110746.861884837364
2024-11-0110939.66734180323
2024-12-0110759.941332960845
2025-01-0110827.052870176954
2025-02-0111005.784163708979
2025-03-0110941.699100735032
2025-04-0110938.397492470853
2025-05-0110991.075075608946
2025-06-0111159.838051881812
2025-07-0111180.409611066316
2025-08-0111261.701132493965
2025-09-0111410.887264892688
2025-10-0111463.818817897258
2025-11-0111509.596886329438
2025-12-0111479.014681574698
2026-01-0111564.094586843938
2026-02-0111695.31235118953
2026-03-0111457.215601368898
2026-04-0111554.443731917876
Annual Return Matrix
YearAnnual Return
20240.03804642995691876
20250.06682874249612514
20260.006571038755116332
Total Factor Risk
0.05721279809408812
VTI.US Exposure
0.07801784282628446
VEA.US Exposure
0.047465618193862115
VWO.US Exposure
-0.0035930026714216657
QQQ.US Exposure
-0.05947507882530907
VTV.US Exposure
-0.07604584028752623
IJR.US Exposure
0.05190500354837016
QUAL.US Exposure
0.08158038331218699
SHV.US Exposure
0.00016699958072984773
TLT.US Exposure
0.029941852398928
LQD.US Exposure
0.8355294943402699
HYG.US Exposure
-0.02286936189148362
GLD.US Exposure
0.020788484613317025
USO.US Exposure
-0.001263776140350338
VNQ.US Exposure
0.004814621747605834
BTC-USD.CC Exposure
-0.00621697736170492
CPER.US Exposure
0.0021659518221139058
VIX.INDX Exposure
-0.017889900728968077
UUP.US Exposure
-0.02433468812073259
TIP.US Exposure
0.04791670981604229
Idiosyncratic Exposure
0.011395663827786085
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
5.7%

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 →0.00%
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
$0
Avg Yield on Cost
0.00%

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 →
+1.1%
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 →
1.2% 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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Dimensional Global Credit ETF a high-risk investment?

Dimensional Global Credit ETF (DGCB.US) has an annualized volatility of 5.7% and experienced a maximum drawdown of 2.0% over the last 10 years. Its primary macro risk driver is LQD.US.

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

Over the past 10 years, DGCB.US has generated a Compound Annual Growth Rate (CAGR) of 6.2%. 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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