Distillate US Fundamental Stability & Value

10-Year Study

DSTL.US · · US · ETF

Executive Summary: Distillate US Fundamental Stability & Value has compounded at 13.7% annually over the last 10 years, with a maximum drawdown of 19.6% and an annualized volatility of 11.2%.

1Y CAGR
+13.5%
3Y CAGR
+13.9%
5Y CAGR
+9.0%
10Y CAGR
+13.7%

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 →
19.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.63
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +35.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -10.6%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.73.5-6.72.9————————1.1%
20253.5-2.1-2.2-3.11.83.7-1.04.81.2-1.73.10.68.7%
20240.44.44.4-5.52.0-0.86.82.11.4-2.26.2-6.312.8%
20236.9-2.92.2-0.0-2.07.44.0-1.2-3.7-3.07.56.622.7%
2022-3.9-1.41.7-5.61.6-8.99.6-4.1-9.18.96.9-4.5-10.6%
2021-1.02.37.93.51.50.62.01.1-4.55.8-1.58.828.9%
2020-1.2-8.8-10.613.97.20.55.15.8-3.3-2.511.33.519.3%
20198.43.71.24.7-6.77.32.1-2.42.63.54.62.835.5%
2018——————————2.0-9.3-7.5%

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 11.2%. The dominant macroeconomic risk driver is VTV.US, accounting for 42.7% of variance. Idiosyncratic stock-specific factors contribute 6.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-10-0110000
2018-11-0110201.353503885384
2018-12-019254.868829808767
2019-01-0110032.121516135561
2019-02-0110406.007163538121
2019-03-0110525.736814777658
2019-04-0111015.83194726791
2019-05-0110278.48914468763
2019-06-0111025.46840210858
2019-07-0111255.467258054581
2019-08-0110980.058258749812
2019-09-0111268.66788112399
2019-10-0111663.982539975888
2019-11-0112196.891693287926
2019-12-0112539.0958453239
2020-01-0112392.348918868971
2020-02-0111301.405426336125
2020-03-0110108.025098784663
2020-04-0111508.259189833761
2020-05-0112338.138360130599
2020-06-0112396.44111202049
2020-07-0113023.558711971205
2020-08-0113781.098467847683
2020-09-0113327.701067490385
2020-10-0112988.709067067968
2020-11-0114450.23805123602
2020-12-0114960.574139099364
2021-01-0114804.058751573075
2021-02-0115145.910886993868
2021-03-0116339.423220776021
2021-04-0116905.245927607783
2021-05-0117162.57007330746
2021-06-0117259.24263625243
2021-07-0117611.127245205975
2021-08-0117805.704429249065
2021-09-0117006.318698242558
2021-10-0117995.353380679568
2021-11-0117724.608601525993
2021-12-0119279.774005333056
2022-01-0118534.070808142144
2022-02-0118275.82261882761
2022-03-0118589.117406341582
2022-04-0117544.772113243744
2022-05-0117824.66932439211
2022-06-0116231.046105376174
2022-07-0117794.615905870756
2022-08-0117065.23747920902
2022-09-0115507.167938326691
2022-10-0116881.396801929055
2022-11-0118041.29154896111
2022-12-0117227.693147116544
2023-01-0118414.209150671915
2023-02-0117877.955839515627
2023-03-0118276.130633365898
2023-04-0118271.906433983688
2023-05-0117902.993021270606
2023-06-0119236.431959588495
2023-07-0119999.251964692736
2023-08-0119761.244730751292
2023-09-0119031.206272936084
2023-10-0118457.815208877862
2023-11-0119836.9723050928
2023-12-0121140.09381242795
2024-01-0121229.99005553062
2024-02-0122172.030519840537
2024-03-0123151.51675159068
2024-04-0121880.340752083503
2024-05-0122326.9618325985
2024-06-0122156.101768003453
2024-07-0123673.689398139595
2024-08-0124178.129207698603
2024-09-0124522.709471887076
2024-10-0123975.895662275263
2024-11-0125452.07733805036
2024-12-0123841.0732986597
2025-01-0124668.48835265025
2025-02-0124156.30417755718
2025-03-0123634.48354762345
2025-04-0122906.821201960734
2025-05-0123329.461150566305
2025-06-0124199.822231609334
2025-07-0123968.107294664307
2025-08-0125109.213154860907
2025-09-0125421.45189252933
2025-10-0124995.995811002278
2025-11-0125764.536086103264
2025-12-0125917.223292939427
2026-01-0126370.444684989136
2026-02-0127285.687884468145
2026-03-0125468.40210857953
2026-04-0126203.23679277662
Annual Return Matrix
YearAnnual Return
20190.3548647826252329
20200.1931142662633436
20210.2887054885778406
2022-0.10643697678452424
20230.22709950960359615
20240.1277657284871596
20250.08708290806674568
20260.011035653650254718
Total Factor Risk
0.11219129594279967
VTI.US Exposure
-0.22611467080959924
VEA.US Exposure
-0.054874877813986214
VWO.US Exposure
-0.011195641951327112
QQQ.US Exposure
0.03238976039936838
VTV.US Exposure
0.42683045005897424
IJR.US Exposure
0.23596277136125357
QUAL.US Exposure
0.40277394773905684
SHV.US Exposure
0.04846054930723517
TLT.US Exposure
0.03378236042491846
LQD.US Exposure
-0.01654604501249632
HYG.US Exposure
0.07810382856943432
GLD.US Exposure
0.0036716446704996805
USO.US Exposure
0.0030421989311791788
VNQ.US Exposure
0.002219801402021481
BTC-USD.CC Exposure
-0.00498900123188359
CPER.US Exposure
0.01729526052940349
VIX.INDX Exposure
-0.026830887478415874
UUP.US Exposure
0.00564422854105018
TIP.US Exposure
-0.018859630662707728
Idiosyncratic Exposure
0.06923395302602083
Value Score
44.3
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
14.9
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.2%

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 →14.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.24%
Market Cap$39.3B
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
$81
Avg Yield on Cost
0.81%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$81.40.81%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 →
-0.2%
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 →
+2.6%
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 →
4.0% 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 →
0.83
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Distillate US Fundamental Stability & Value a high-risk investment?

Distillate US Fundamental Stability & Value (DSTL.US) has an annualized volatility of 11.2% and experienced a maximum drawdown of 19.6% over the last 10 years. Its primary macro risk driver is VTV.US.

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

Over the past 10 years, DSTL.US has generated a Compound Annual Growth Rate (CAGR) of 13.7%. It has had a positive return in 88% 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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